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Database Agnostic Consumer (DBAC)
The Wombat DBAC (Database Agnostic Consumer) real-time tick capture adapter is designed to integrate the Wombat Market Data Platform with the leading tick capture vendor solutions including OneTickTM, KDB+, Vhayu and Sybase IQ. In our experience the effort in integrating the ticker plant with your timeseries database accounts for over 75% of the overall cost and lead time associated with a tick capture project. DBAC focuses on solving this problem by mapping the various market data input streams to the underlying database schema in a flexible and configurable manner allowing you to decide the tick types and fields of interest.
As with many Wombat products DBAC is designed to be agnostic to the third party tick capture products. The base DBAC module has an ASCII mode which can be used to write an ASCII database. DBAC then provides a number of interfaces that allow a shared object with the proprietary database connectivity logic to be loaded. Wombat has implemented a number of these interfaces during integration projects. Customers can write and load custom modules to connect to proprietary systems.
DBAC is currently available with the Wombat MAMA and MDRV market data platforms. It can be used to capture data from any (or all) of the 50 or so data feeds currently support ed by the Wombat Universal Feed Handler Suite.
To date DBAC has been integrated with a number of the leading time series engines on the market including k db & kdb+ from Kx Systems, and VhaYu. We plan to integrate with QAI FastTick and Streambase in the near future.
Message Types Supported
DBAC provides an extremely flexible, configurable and complete module for capturing market data from any real-time market source. Data types currently supported include:
- Trade reports
- Trade cancellations and corrections
- Trade recaps
- Opening prices
- Closing prices
- Quote recaps
- Quotes
- Order imbalance messages
- Level II
- Order book deltas
- Option chaining
- Risk and calculated data
- Symbol announce messages
- Data quality messages
- Request/Reply
- Blending yield curve, option, contract and underlying fields
- Blending trade and quote fields
- Replay files (binary and ASCII)
Latency and Value Added Data
DBAC also supports (or adds) various value added fields, including a full range of latency figures and timestamps from the exchange through each hop in the market data infrastructure. This allows the generation of tick level granularity latency profiles for the overall system.
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