kdb+ 实时票务订阅


Table of Contents
1 Introduction .................................................................................................................... 3
2 The kdb+tick Environment .............................................................................................. 4
2.1 Tickerplant (TP) ........................................................................................................ 4
2.2 Feedhandler (FH) ..................................................................................................... 5
2.3 Historical Database (HDB) ....................................................................................... 6
3 Real-Time Database (RDB) ......................................................................................... 7
3.1 Real-time Updates ................................................................................................... 7
3.2 Tickerplant Log Replay ............................................................................................. 9
3.3 End Of Day ............................................................................................................. 12
3.4 Understanding The Code In r.q ............................................................................. 12
3.4.1 .u.end ............................................................................................................... 13
3.4.2 .u.rep ............................................................................................................... 14
3.4.3 Starting the RDB .............................................................................................. 16
4 Examples of custom real-time subscribers ................................................................... 17
4.1 Real-time Trade With As-Of Quotes ...................................................................... 17
4.1.1 Initialize Desired Table Schemas ..................................................................... 18
4.1.2 Intra-day Update Behavior .............................................................................. 18
4.1.3 EOD .................................................................................................................. 19
4.1.4 Replay Custom Logfile ..................................................................................... 20
4.1.5 Subscribe to TP ................................................................................................ 21
4.2 Real-time VWAP Subscriber .................................................................................. 21
4.2.1 Initialize Desired Table Schemas ..................................................................... 23
4.2.2 Intra-day Update Behavior .............................................................................. 24
4.2.3 EOD .................................................................................................................. 24
4.2.4 Subscribe to TP ................................................................................................ 24
5 Performance considerations ......................................................................................... 25
6 Conclusions ................................................................................................................... 28