OneTick is a time-series database that is heavily used in financial services by hedge funds, brokerages and investment banks. OneMarketData, the maker of OneTick, describes it as “the premier enterprise-wide solution for tick data capture, streaming analytics, data management and research.” OneTick captures, compresses, archives, and provides uniform access to global historical data, up to and including the latest tick.
I myself have used OneTick for almost 5 years and found it to be a very nicely packaged solution thanks to built-in collectors for popular feeds such as Reuters’ Elektron and Bloomberg’s MBPIPE. OneTick also comes with a GUI that makes it easy for non-developers, such as researchers and portfolio managers, to write advanced queries using pre-built event processors (EPs). The GUI can be used to design queries that you can run from the GUI or APIs that OneTick supports, such as Python.
For example, here is a simple query that would select trade data for AAPL where price is greater than or equal to 21.5 (data is from 2003). In SQL, this would be
select * from <database_name> where symbol="AAPL" and price >= 21.5.
OneTick comes with a
DEMO database that I will be using for my examples. Here is what the query looks like in OneTick GUI:
When you run this query, you will see the result in OneTick’s GUI.
That’s useful information, but what if…
Solace PubSub+ Event Broker makes all of that possible!
Here are some of the many ways OneTick developers can leverage PubSub+:
In the rest of this post, I am going to show you how you can take data from your OneTick database and publish it to PubSub+, and vice versa. To follow along you will need access to an instance of PubSub+. If you don’t, there are two free ways to set up an instance:
Please post on Solace Community if you have any issues setting up an instance.
OneTick makes it extremely easy for you to publish data to PubSub+ by simply using a built-in event processor (EP). The EP is called
WRITE_TO_SOLACE and is part of OneTick’s Output Adapters (see OneTick docs:
docs/ep_guide/EP/OutputAdapters.htm) which contains other EPs such as
To publish results of our previous query to PubSub+, we would simply add
WRITE_TO_SOLACE EP at the end of our query and fill in appropriate connection and other details. Here is what the EP parameters look like:
You can find details about the
WRITE_TO_SOLACE EP and its parameters in OneTick docs (
The first few fields in the EP are for your PubSub+ connection details such as
The EP supports both direct and guaranteed message delivery. Direct messages are suitable for high throughput/low latency use cases such as market data distribution, and guaranteed messages are appropriate for critical messages that can’t be lost, such as order flow. You can learn more about the two delivery modes here.
The EP also allows you to specify the
ENDPOINT you would like to publish data to, and the
ENDPOINT_TYPE where you can specify if it is a topic or a queue. Publishing to a topic supports the pub/sub messaging pattern where your application publishes once to the topic and many applications can subscribe to that topic. On the other hand, publishing to a queue is point-to-point messaging because only the consumer binding to that specific queue can consume data published to it. Needless to say, we encourage clients to use the pub/sub messaging pattern as it provides more flexibility.
For this example today, I will publish to this topic:
EQ/US/<security_name; such as
Finally, you will notice that the EP allows users to specify the message format via
MSG_FORMAT field. Currently, you can only pick from
BINARY, but OneTick will support additional message formats soon.
Before publishing data to PubSub+, you need to determine how it will be consumed. Applications can either subscribe directly to the topic we are publishing to, or map the topic(s) to a queue and consume them from there. Using a queue introduces persistence so if your consumer disconnects abruptly, your messages won’t be lost. For our example, we will consume from a queue called
onetick_queue that I have created from PubSub+’s UI:
PubSub+ allows you to map one or many topics to a queue, which means your consumer only needs to worry about binding to one queue and it can have messages being published to different topics ordered and delivered to that queue.
Additionally, PubSub+ also supports rich hierarchical topics and wildcards so you can dynamically filter the data you are interested in consuming. PubSub+ supports two wildcards:
* lets you abstract away one topic level, and
> lets you abstract away one or more levels. So, if you wanted to subscribe to all the data for equities, you can simply subscribe to
EQ/> and if you wanted to subscribe to data for
AAPL from different regions/venues, you could subscribe to
You can learn more about Solace topics and wildcards here.
I have subscribed my queue to topic:
With that done, you’re ready to run the query!
Once you have run your OneTick query, go to the PubSub+ UI and note that messages are in the queue.
As you can see, there are 8,278 messages in our queue.
This is how easy it is to publish messages from OneTick to PubSub+!
Now it’s time to consume data from PubSub+ and write it to a OneTick database. To be efficient you can use the data in the
onetick_queue to write to OneTick db.
To read data from PubSub+, OneTick provides the
omd::OneTickSolaceConsumer interface via its C++ API. Use this interface to connect to a Solace broker, make subscriptions, process received messages, and propagate those messages to the Custom Serialization interface.
To make things simple for us, OneTick distribution comes with a C++ example (
examples/cplusplus/solace_consumer.cpp) that shows you how to do that. You can go through the code to see how to use the OneTick/Solace API but for the purpose of this post, we will simply run the code. However, before we can write the data from PubSub+ to a OneTick database, we need to create/configure that database.
I have created a database called solace by following these steps:
locatorfile. Here is my locator entry for
<db ID="solace" SYMBOLOGY="SOLACE" > <LOCATIONS> <location access_method="file" location="C:\omd\data\solace" start_time="20000101000000" end_time="20300101000000" /> </LOCATIONS> <RAW_DATA> <RAW_DB ID="PRIMARY" prefix="solace."> <LOCATIONS> <location mount="mount1" access_method="file" location="C:\omd\data\solace\raw_data" start_time="20000101000000" end_time="20300101000000" /> </LOCATIONS> </RAW_DB> </RAW_DATA> </db>
Now that we have our database configured, we are ready to run our sample code. We will need to provide the following details to run the example:
If the queue doesn’t exist, our code will administratively create it and map topics to it. In our case, we already have a queue (
onetick_queue) that we will be consuming from.
As soon as we run the example, it will consume all the messages from the queue:
C:\omd\one_market_data\one_tick\examples\cplusplus>solace_consumer.exe -hostname <host_name>.messaging.solace.cloud -username <username> -password <password> -vpn himanshu-demo-dev -queue onetick_queue -dbname solace 20200509021426 INFO: Relevant section in locator <DB DAY_BOUNDARY_TZ="GMT" ID="solace" SYMBOLOGY="SOLACE" TIME_SERIES_IS_COMPOSITE="YES" > <LOCATIONS > <LOCATION ACCESS_METHOD="file" END_TIME="20300101000000" LOCATION="C:\omd\data\solace" START_TIME="20000101000000" /> </LOCATIONS> <RAW_DATA > <RAW_DB ID="PRIMARY" PREFIX="solace." > <LOCATIONS > <LOCATION ACCESS_METHOD="file" END_TIME="20300101000000" LOCATION="C:\omd\data\solace\raw_data" MOUNT="mount1" START_TIME="20000101000000" /> </LOCATIONS> </RAW_DB> </RAW_DATA> </DB>
After running the example, you will notice new raw data files have been created:
C:\omd\data\solace\raw_data>dir Directory of C:\omd\data\solace\raw_data 05/11/2020 05:41 PM <DIR> . 05/11/2020 05:41 PM <DIR> .. 05/11/2020 05:41 PM 245,644 solace.mount1.20200511214039 05/11/2020 05:41 PM 0 solace_mount1_lock 2 File(s) 245,644 bytes 2 Dir(s) 172,622,315,520 bytes free
Now, we need to run OneTick’s
native_loader_daily.exe to archive the data:
C:\omd\one_market_data\one_tick\bin>native_loader_daily.exe -dbname solace -datadate 20200511 20200511214237 INFO: Native daily loader started 20200511214237 INFO: BuildNumber 20200420120000 Command and arguments: native_loader_daily.exe -dbname solace -datadate 20200511 ... 20200511214237 INFO: Picked up file C:\omd\data\solace\raw_data/solace.mount1.20200511214039 in raw db PRIMARY 20200511214237 INFO: Total processed messages: 8,468 (1,721,228 bytes) 20200511214237 INFO: Messages processed in last 0.046 seconds: 8,468 (1,721,228 bytes) at 184,652.958 msg/s (37,533,046.948 bytes/s) 20200511214237 INFO: Last measured message latency: NaN 20200511214237 INFO: Total processed messages: 8,468 (1,721,228 bytes) 20200511214237 INFO: Messages processed in last 0.005 seconds: 0 (0 bytes) at 0.000 msg/s (0.000 bytes/s) 20200511214237 INFO: Last measured message latency: NaN 20200511214237 INFO: persisting sorted batch 20200511214237 INFO: done persisting sorted batch 20200511214237 INFO: done persisting sorted batches for database solace, starting phase 2 of database load. Total symbols to load: 1, number of batches: 1 20200511214237 INFO: beginning sorted files cleanup 20200511214237 INFO: done with sorted files cleanup 20200511214237 INFO: loading index file; total records: 1 20200511214237 INFO: loading symbol file 20200511214237 INFO: renaming old archive directory, if exists 20200511214237 INFO: Load Complete for database solace for 20200511 Total ticks 8278 Total symbols 1 20200511214237 INFO: Processing time: 1
As you can see, 8,278 ticks have been archived – which is the same number of messages that were in the queue. You can now go to OneTick GUI and query the data from
I’ve shown you how easy it is to publish data from OneTick to PubSub+, read it back, and write to a OneTick database.
We are excited to have OneTick users like yourself take advantage of features like rich hierarchical topics, wildcards, support for open APIs and protocols and the dynamic message routing that enables event mesh.
If you would like to learn more about the API, please reach out to your OneTick account manager or support. If you would like to learn more about how to get started with PubSub+, please reach out to us here or check out our Solace with OneTick page.
As one of Solace's solutions architects, Himanshu is an expert in many areas of event-driven architecture, and specializes in the design of systems that capture, store and analyze market data in the capital markets and financial services sectors. This expertise and specialization is based on years of experience working at both buy- and sell-side firms as a tick data developer where he worked with popular time series databases kdb+ and OneTick to store and analyze real-time and historical financial market data across asset classes.
In addition to writing blog posts for Solace, Himanshu publishes two blogs of his own: enlist[q] focused on time series data analysis, and a bit deployed which is about general technology and latest trends. He has also written a whitepaper about publish/subscribe messaging for KX, publishes code samples at GitHub and kdb+ tutorials on YouTube!
Himanshu holds a bachelors of science degree in electrical engineering from City College at City University of New York. When he's not designing real-time market data systems he enjoys watching movies, writing, investing and tinkering with the latest technologies.[position] => [url] => https://solace.com/blog/author/himanshugupta/ ) )