Maintaining Real-Time Tick Series and Preparing Depth-of-Market Subscriptions

Summary

This article extends a multi-symbol trading library so it can keep tick histories current as new quotes arrive. The current symbol can be updated from its tick event handler, while a separate library timer polls other tracked symbols. A configurable per-symbol limit bounds memory use; when the collection fills, the oldest tick records are removed. The article gives a default capacity of 200,000 ticks and describes the intended coverage as roughly two days for statistical work, though actual coverage depends on market activity.

The second objective is preparation for Depth of Market support. The design adds symbol-level state for whether a DOM feed is subscribed, along with subscription-related messages and collection timer settings. The document focuses largely on library plumbing and implementation changes rather than a trading strategy or performance study. It introduces the subscription capability but leaves the fuller DOM functionality to later installments, so it provides no evidence about the usefulness of order-book signals or resulting trading outcomes.

Key ideas

• A timer is used to track new ticks for symbols that do not trigger the current symbol's tick handler.
• A per-symbol tick cap bounds memory, with oldest records removed as the limit is reached.
• The article sets a default cap of 200,000 stored tick objects per symbol.
• Symbol properties are extended to record Depth of Market subscription status.
• The described work prepares for DOM use but does not yet analyze order-book signals.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.