The Market Depth Demo is a very simple market depth application based on Lightstreamer for its real-time communication needs.
This project includes the server-side part of this demo, the Metadata and Data Adapters implementation. The client-side part of this demo, a web client front-end, is covered in this project: Lightstreamer - Market Depth Demo - HTML Client.
Market depth is an electronic list of buy and sell orders, organized by price level and updated to reflect real-time market activity.
Market depth data are also known as Level II, Depth Of Market (DOM), and the order book.
Lightstreamer has semi-native support for market depth, which can be managed very easily via COMMAND mode subscriptions. Basically, the bid and ask lists for an instrument will be two items subscribed to in COMMAND mode.
You will be able to add, update, and remove rows, where each row is identified by a key, which is the price. Lightstreamer will take care of aggregating updates to market depth in the most optimized way, based on bandwidth and frequency constraints.
This way, you will be able to manage full market depths even on unreliable networks and also benefit from update resampling with conflation, if needed.
The project is comprised of source code and a deployment example. The main elements of the code are the Data Adapter, the MetaData Adapter, and the simulator of market orders.
The Data Adapter is implemented by the MarketDepthDataAdapter class. The class implement two interfaces:
- SmartDataProvider that concerns relations with Lightstreamer server;
- MarketMaker that models a very simple set of possible events from the trading market.
The Metadata Adapter is implemented by the MarketDepthMetadataAdapter class. The class inherits from the reusable LiteralBasedProvider and just adds a simple support for order entry by implementing the NotifyUserMessage method, to handle "sendMessage" requests from the client. A confirmation response is sent by NotifyUserMessage to the client. The communication to the Market Orders Simulator, through the Data Adapter, is handled here.
It should not be used as a reference for a real case of client-originated message handling, as no guaranteed delivery and no clustering support is shown.
The com.lightstreamer.adapters.MarketDepthDemo.orders_simulator package contains the implementation of a very simple market orders simulator.
Orders are randomly generated for ask or bid around a reference price that is also randomly determined. Four stocks are managed, each with a different order generation frequency.
The stocks are listed below in ascending order (from slower to faster):
- Old&Slow Company ..., Item name: "OS_C";
- BTTQ Industries Sa Item name: "BTTQ_I";
- AXY COMPANY Ltd, Item name: "AXY_COMP";
- SuperFast Tech., Item name: "SF_TECH".
Once a fixed number of executions has been reached, the stock simulates the "End of Day" phase, in which both the order books, for buy and sell, are cleaned up, and the reference price is recalculated (this phase lasts 15 seconds).
See the source code comments for further details.
This Adapter Set is configured and will be referenced by the clients as MARKETDEPTH.
The adapters.xml file for the Market Depth Demo, should look like this:
<?xml version="1.0"?>
<adapters_conf id="MARKETDEPTH">
<metadata_adapter_initialised_first>Y</metadata_adapter_initialised_first>
<metadata_provider>
<adapter_class>com.lightstreamer.adapters.MarketDepthDemo.MarketDepthMetadataAdapter</adapter_class>
<!-- configure the dedicated pool for notifyUserMessage call, see source code of MarketDepthMetadataAdapter -->
<messages_pool>
<max_pending_requests>100</max_pending_requests>
<max_queue>100</max_queue>
</messages_pool>
<param name="RND_GENERATOR_SUPERFAST">70</param>
<param name="RND_GENERATOR_FAST">700</param>
<param name="RND_GENERATOR_REGULAR">7000</param>
<param name="RND_GENERATOR_SLOW">35000</param>
<!-- Number of executions after which the "End Of Day" starts. -->
<param name="TRADING_DAY_LASTING">5000</param>
</metadata_provider>
<data_provider>
<adapter_class>com.lightstreamer.adapters.MarketDepthDemo.MarketDepthDataAdapter</adapter_class>
</data_provider>
</adapters_conf>NOTE: not all configuration options of an Adapter Set are exposed by the file suggested above.
You can easily expand your configurations using the generic template, see the Java In-Process Adapter Interface Project for details.
Please refer here for more details about Lightstreamer Adapters.
If you want to install a version of this demo on your local Lightstreamer Server, follow these steps:
- Download Lightstreamer Server (Lightstreamer Server comes with a free non-expiring demo license for 20 connected users) from Lightstreamer Download page, and install it, as explained in the
GETTING_STARTED.TXTfile in the installation home directory. - Get the
deploy.zipfile of the latest release, unzip it, and copy the just unzippedMarketDepthDemofolder into theadaptersfolder of your Lightstreamer Server installation. - [Optional] Customize the logging settings in log4j configuration file:
MarketDepthDemo/classes/log4j2.xml. - Launch Lightstreamer Server.
- Test the Adapter, launching one of the clients listed in Clients Using This Adapter.
To build your own version of example-marketdepth-adapter-java-x.y.z.jar instead of using the one provided in the deploy.zip file from the Install section above, you have two options:
either use Maven (or other build tools) to take care of dependencies and building (recommended) or gather the necessary jars yourself and build it manually.
For the sake of simplicity, only the Maven case is detailed here.
You can easily build and run this application using Maven through the pom.xml file located in the root folder of this project. As an alternative, you can use an alternative build tool (e.g. Gradle, Ivy, etc.) by converting the provided pom.xml file.
Assuming Maven is installed and available in your path you can build the demo by running
mvn install dependency:copy-dependencies - LiteralBasedProvider Metadata Adapter
- Lightstreamer - Stock-List Demos - HTML Clients
- Lightstreamer - Portfolio Demos - HTML Clients
- Compatible with Lightstreamer SDK for Java In-Process Adapters since version 8.0.
- For a version of this example compatible with Lightstreamer SDK for Java Adapters versions 7.3 to 7.4, please refer to this tag.
- For a version of this example compatible with Lightstreamer SDK for Java Adapters version 6.0, please refer to this tag.