You need to add a new data-feed handler to an existing c# application: the new feed handler is a UDP connection to Selerity, a financial data provider. The received data then gets sent back via an exiting socket server to clients; and it is processed (via a xml settings file; multiplied by multiplyer and mapped to our internal EIID).
a) It is a binary format; defined in the PDF file.
b) A sample is defined in the attached c++ code.
c) We do not need all data sent via UDP; need the “release value” (a double), and the EIID (our timeseries ID)
Use of existing libraries: high precision logging, outgoing socket server, xml-mapping conversion.
Use of existing app: the app currently exists; it only uses currently not a UDP socket, but reads the data via a TCP socket it receives via Winpcap from a different application (and also in a different format). So the only thing that differs is that a new incoming protocol needs to be implemented.
The mapping is done via “SS-OS-ID” in the XML File.
The values that are received need to be multiplied by a mulitplyier in the XML file SS-Mulitplyer)