DepthPlus was created to give SpryWare customers multiple views into sorted levels of the order book. Handling raw âOrder addâ and âOrder deleteâ exchange messages can be cumbersome. The messages are unsorted and it is left up to the users to build the various levels or orders. With DepthPlus the book is sorted, aggregated and provides all the levels of depth. The client-side API is extremely configurable for a wide assortment of âviewsâ of the data.
Client feedback has been extremely positive says Daniel May, Director at SpryWare. âDepthPlus is a new release, but we have it running in production at a handful of clients already. Delivering data âsmarterâ is always part of our thought process when developing new features. Although providing low latency is number one, delivering the data in a more usable fashion is important to us as well.â says Daniel May. After all, easy access saves valuable time too.
DepthPlus is available for all full depth of Book feeds (Itch, ARCA, BATS etc.), along with aggregated order feeds (CME, etc.). Different feed types can be joined together to produce hybrid views of different market centers.
The local cache has 3 views:
- A full depth of book view which can be sorted by price.
- An aggregate view in which all the orders are aggregated by price and sorted.
- A top of book view. This displays up to the top 10 aggregated prices of the book.
In addition, a top of book quote is generated every time one of the top 10 prices changes. Also, there are enhanced querying methods to pull the top N orders from the book or aggregate book in a single API call for optimal performance. Developers designing visual display applications can choose to poll the DepthPlus cache over and over instead of processing the large volume of order messages and those designing algorithmic or other program trading applications can process individual messages for the lowest latency possible.