Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

stream through full chains #1096

Open
DaveSkender opened this issue Oct 12, 2023 · 1 comment
Open

stream through full chains #1096

DaveSkender opened this issue Oct 12, 2023 · 1 comment
Labels
enhancement New feature or request
Milestone

Comments

@DaveSkender
Copy link
Owner

Refactor chainable streaming mechanism to support more than current use of Quote or Use bases. The current form of observable management won't work.

@DaveSkender DaveSkender added the enhancement New feature or request label Oct 12, 2023
@DaveSkender DaveSkender added this to the v3 milestone Oct 12, 2023
@DaveSkender
Copy link
Owner Author

Steaming that process individual increments as a whole is innately slower than processing a static batch entirely alone. Streaming requires additional 10x overhead costs to manage quote and indicator history caches needed for handling each increment. For example, both of these are true:

  • processing a static batch of 500 quotes into indicators is 25us
  • processing and caching 500 quotes and indicators is 250us
  • adding one quote and recalculating static batch is 25us
  • adding one quote and calculating stream increment is 5us

In other words, streaming has a 90% more efficient steady state for handling new quote arrivals, but is 10x slower when processing batches of quotes. As a result, the more proficient way to initialize an indicator data series is with a batch method, then turn on the streaming quote handler (e.g. do not emulate the stream to catch up the initial load).

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
enhancement New feature or request
Projects
Development

No branches or pull requests

1 participant