[Rhm-users] XML Exchanges

[Andrew M]

Jonathan,
I'm checking out the FieldTable you mentioned last week. Thanks.

I'd like to give you a little background on my application.  If you can make
any suggestions I'd love to hear them.  I'm revamping my financial order
routing system.  I have trading applications and traders that generate
orders something like this:

<side=buy share_qty=100 symbol=IBM source=Joe exchange=NYSE>
<side=buy share_qty=100 symbol=IBM source=Joe exchange=ArcaECN>
<side=buy share_qty=100 symbol=MSFT source=automated_strategy_1
exchange=ArcaECN>

I have connections to multiple stock and options exchange destinations, some
use FIX protocol, going forward some will use their own proprietary
protocol. To some exchanges I have multiple connections for redundancy and
load distribution.  Currently I'm using FIX protocol for everything both
internal and external and my goal is to use AMQP internally to carry order
data in a protocol independent format.  AMQP msgs bound for a destination
talking FIX would eventually hit my FIX engine for translation into whatever
FIX version that counterparty wants.  

For routing, I would like an app/trader to just place an order on the bus
and then based on the stock/options exchange destination specified, have the
order routed to the appropriate destinations.  It would need to hit a queue
for orders going to the exchange and also a queue for an order book app that
needs all outgoing orders and incoming responses.  Also copies would hit
queues for other applications which display the order book on workstations,
manage risk, etc.

When an app/trader places an order on the bus he specifies an exchange
destination, say, NASDAQ.  There might be several FIX connections to NASDAQ,
I assume each FIX engine would draw from its own queue on the broker.  I
would like the broker to route all orders generated by certain sources down
specific exchange connections. In this way, latency sensitive applications
could have their traffic kept separate from other less sensitive stuff.  Ie.
Joe and Bill both send orders specifying NASDAQ.  Joe's orders need to go to
the connection NASDAQ1 and Bill's to NASDAQ 2.  This would require routing
based on both exchange and order source. In order for the routing to be
based on both sources and destination exchanges I think the XQuery would be
required, right? 

Some things I'd like to do in the future:

- Orders originating from some sources would go right to the exchange
without approval from a risk mgmt application.  Other traders' orders would
be required to hit a risk mgmt application which would look at orders and
place approved ones back on the bus for delivery to the exchange.  Broker
would need to know which sources' orders require approval and route
accordingly.

- Using multiple connections to an exchange, if the message
translation/gateway app talking to one of those links detects the link is
down it modifies the routing rules MRG is using so MRG routes all messages
for that exchange to queues for links which are up. 

Speed should obviously be as good as possible with latency to a minimum but
I'm not going to be shoveling OPRA message rates through it so I think the
XQuery performance hit would be ok.  I would think an 8 core box could still
saturate my exchange links w/orders anyhow.

Maybe I'm trying to do too much w/a broker?  Maybe building all this
functionality requires an ESB?

I appreciate any suggestions...

Andrew


-----Original Message-----
From: Jonathan Robie [mailto:jonathan.robie at redhat.com] 
Sent: Thursday, July 17, 2008 3:46 PM
To: Andrew M
Cc: rhemrg-users-list at redhat.com; rhm-users at redhat.com
Subject: Re: [Rhm-users] XML Exchanges

Andrew - do you have to route based on the values in these maps?

If not, the XML Exchange is not the most direct way to solve your 
problem. The XML Exchange should work fine in Java JMS, but you 
currently have to set up your queues in either the low level Java API or 
in C++ or Python. I haven't actually tested Java JMS programs that use 
the XML Exchange.

Jonathan

Andrew M wrote:
>
> I need to put Map objects on the bus and pass them around for use by 
> java, C++ and (potentially).NET applications.  Maps will definitely 
> consist of String-to-String mappings. There may also be 
> String-to-Float, or String-to-Long, etc.  What is the best way to do 
> this?  It does not appear that AMQP supports some native Map type like 
> JMS.    Is the correct plan to have C++ apps translate the Map to/from 
> XML using this:
>
> http://www.codesynthesis.com/products/xsd/
>
>  
>
> and java apps do the same using this:
>
> http://xerces.apache.org/
>
>  
>
> Then put those bits of XML on the bus destined for an XML Exchange?
>
>  
>
> This document...
>
>
http://www.redhat.com/docs/en-US/Red_Hat_Enterprise_MRG/1.0/pdf/Messaging_Tu
torial/Messaging_Tutorial.pdf 
>
>
> talks about XML based routing in Python and C++ but not in Java.  Is 
> it not possible in Java?
>
>  
>
> Thanks,
>
> Andrew
>
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