IMD Market Data Platform
Developing the next generation Market Data Platform which serves Market Data needs to more than 100+ applications across the Investment Management Division.
The Platform consumes the Data from the Firm Wide Market Data Infrastructure(which consumes from Reuters Infrastructure) and expose it as REST Service.
It abstracts the complexity of FID Mapping and provides synchronous behaviour to the users.
As Part of that I have contributed to:
Services Developed
Quotes
Quotes exposed as REST Service.
Quotes are called back in an asynchronous manner from the firm wide Market Data Infrastructure which are made synchronous at the request level while maintaining parallelization across the requests. I worked on synchronizing the quotes at a request level while un-affecting other requests.
Chains
Chain provides the Top Ten symbols for a given Exchange and Top Category(Volume, Advance, Decline). Chain follows the subscription model where the symbols are updated frequently and stored as a cache. I completely owned the chain functionality and developed it from end to end.
Historical
Historical service provides a historical data for a given symbol between the provided Dates. I developed the historical functionality from end to end.
Usage Metrics
Real Time quotes serviced needs to be stored for Analytical and Billing Purposes. I worked on storing the usage and persisting into the database.
FID Mapping
Reuters provides data in the form of Key-Value pairs(FIDS) which directly does not make sense. We mapped these FIDS into meaningful attributes by working along with Reuters and writing rules for the attributes.
Integration with Applications
Some of the Applications consume the Quotes as Java Objects (older MDP implementation). We developed an adaptor for these applications which consumes the data from new Market Data Platform as Json and converts them into Java Objects which in turn is consumed by these Applications.
