I need an interface that runs 24/7 and receives real-time stock-market prices from an external pricing-source and then pushes them into my stock-trading-application.
The Interface needs to do the following tasks:
1) First, one has to decide how the communication between the interface and my trading should work. As I subscribe to 10 000 real-time stocks simultaneously, the communication needs to be fast. A database solution is too slow. A TCP/IP solution probably as well, direct memory connection is required, probably a DLL.
2) The streaming of the stock prices into the interface is not a problem. I have created a little demo that shows how the multi-threaded, event-driven streaming of the stock-prices works (written in VB.NET).
3) The interface receives the stock prices updates (event-driven) and stores them into an array. Every few seconds, my trading-program will communicate with the interface and request the stock price updates. Only those new stock-prices will be delivered, the unchanged prices not.
4) However at startup of my trading-program, the program will request from the interface the latest prices for all 10 000 stocks.
5) Of course, the interface needs to know which stock prices to subscribe to. This list with the 10 000 stocks will be provided in a CSV file.
6) Furthermore, the Interface will deliver the “Intraday Low” and “Intraday High” prices. These prices will not be provided by the pricing source but need to be calculated by the interface
7) After finishing the project, I will get
a) the interface + the source-code, written in C# or –preferred- in VB.NET
b) a small demo client program that shows how the prices are received from the interface