The problem with sending the full snapshot on the same channel is that is can be of arbitrary length. If you are doing UDP multicast there is a good chance that the snapshot message could be fragmented across multiple packets and resolving packet loss in this scenario becomes tricky without a more complex protocol (e.g. Aeron, PGM). Also you impact on the performance of the service producing the incremental updates as it can be expensive to calculate a full snapshot for the order book and render it, especially when you are measuring the latency of pushing out real-time updates in the < 100µs range. The other question is how often do you push out updates; on a time interval or upon request? If on time interval you force users to wait a specified amount of time before joining the incremental stream, which may be to long for their use case. If you push is out on request, you end up impacting the performance of increment update service (as above) also with UDP multicast all of the other consumers have to discard large messages that they have no interest in. For these reasons the de-facto approach in most exchanges is to use a separate snapshot service.
On 18 April 2017 at 14:50, Ayub Sayyad <[email protected]> wrote: > Great suggestion Mike, can be even simplified by sending snapshot on same > channel as incremental updates,. By doing this you will not need any > buffering. > > On 17-Apr-2017 11:17 PM, "Vero K." <[email protected]> wrote: > > Thanks, Mike. useful input > > -- > You received this message because you are subscribed to the Google Groups > "mechanical-sympathy" group. > To unsubscribe from this group and stop receiving emails from it, send an > email to [email protected]. > For more options, visit https://groups.google.com/d/optout. > > > -- > You received this message because you are subscribed to the Google Groups > "mechanical-sympathy" group. > To unsubscribe from this group and stop receiving emails from it, send an > email to [email protected]. > For more options, visit https://groups.google.com/d/optout. > -- You received this message because you are subscribed to the Google Groups "mechanical-sympathy" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. For more options, visit https://groups.google.com/d/optout.
