I see. Btw if you're using gcc, you might want to be careful with unordered_map. The gcc 4.7 implementation is broken (slow).
Python eh?
I think the idea is to use orderid -> order object which maintains node pointers to maintain the linked list with.
Yes, you do know the composition exactly.
It's really stupid. It's like a (dynamically sized) array of linked lists for each side :P. Lookup is even more stupid. In fact it's so stupid...
I originally used a tree, but I found out that a different, smaller structure is faster. And yes, of course there are :).
I have been optimizing my order book implementation recently, and I'm curious as to how far behind the curve I am. Order book being a data...
Agreed. If you really insist on having all the quotes from the last 10 minutes, though, just stuff the quotes into some sort of FIFO queue (in...
Thanks for the info. The reason I thought that way is because when I got a similar message some weeks ago, I did some googling and came across...
I don't think the issue is technology. I think the issue is that by doing so, you compete with CME's registered market makers, who pay a nice sum...
Cool. What are you using it for?
Yeah. If you know where your bottlenecks are, the catch-all solution is not to just start spawning threads willy nilly, but to attack the...
That's fine reasoning. I agree that if it takes you 10ms to process each quote, you could look into threading. But do you know that it takes...
Okay -- I don't mean to be rude or anything, but why do you need multiple threads for multiple instruments? Just loop through them. Otherwise...
I see. Well I take it back. That is ****ing fantastic. I guess our 'use cases' are totally different :).
With all due respect -- what is the point of having a database and being able to locate random ticks quickly? First of all, 10ms is not fast --...
Why thread? It's expensive, and more importantly, bug prone (it's tricky to get the locking and syncing right). Locking and unlocking can take...
You need to know where your position is in the queue, or some way of estimating thereof. Most feeds, such as Nasdaq Totalview, can give you an...
Well that is always a possibility. But the code is simple, and also pretty well debugged. Also, the OP seemed to have the same problem, so that...
Of course this isn't the raw feed :). That would just be a bunch of bytes which you couldn't read. Those are just my debugging print statements.
Separate names with a comma.