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Date/Time: Wed, 24 Apr 2024 20:48:13 +0000

Post From: Technical Help for Rithmic is Now Discontinued as of December 1, 2019.

[2019-12-06 21:28:03] Link To Thread - Link To Post [Go To First Post]
uM8137 - Posts: 180
The only problem with translating Rithmic to DTC is that DTC does not support transactional (atomic) multi-part book depth updates. For example, the exchange can publish an atomic cancel/replace where an order is moved to a different price in the book and DTC will convey an invalid intermediate state between those two updates. I overload the timestamp field as an int64 in nanoseconds and use the convention that the same timestamp should all be applied at once before proceeding. Its a workaround that SC could use too if int64 nanosecond timestamps were used. The drawback is that you have to wait for another new (later) timestamp before you know the transaction is complete. Date Time Of Last Edit: 2019-12-06 21:38:57