How can I compare market data feed sources for quality and latency improvement?

Posted by yves Baumes on Stack Overflow See other posts from Stack Overflow or by yves Baumes
Published on 2010-02-10T20:09:54Z Indexed on 2010/05/25 15:51 UTC
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I am in the very first stages of implementing a tool to compare 2 market data feed sources in order to prove the quality of new developed sources to my boss ( meaning there are no regressions, no missed updates, or wrong ), and to prove latencies improvement.

So the tool I need must be able to check updates differences as well as to tell which source is the best (in term of latency).

Concrectly, reference source could be Reuters while the other one is a Feed handler we develop internally. People warned me that updates might not arrive in the same order as Reuters implementation could differs totally from ours. Therefore a simple algorithm based on the fact that updates could arrive in the same order is likely not to work.

My very first idea would be to use fingerprint to compare feed sources, as Shazaam application does to find the title of the tube you are submitting. Google told me it is based on FFT. And I was wondering if signal processing theory could behaves well with market access applications.

I wanted to know your own experience in that field, is that possible to develop a quite accurate algorithm to meet the needs? What was your own idea? What do you think about fingerprint based comparison?

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