Option Chains. optimal way to establish and subscribe to many to one relationship

johnffoley

Hi all,

We are looking to utilize LightStreamer for delivering different types of market data to our customers.
In dealing with option chains I was hoping to get some advice on how to optimally handle the process of receiving a single item expanding the list and subscribing to the variable number of options associated to that chain.

One such solution I can think of is for the metadata adapter to make a call to our back end to determine the list of options and pass them back to LS, so LS sets up individual subscriptions for each to the data adapter. Just wondering if there is a better solution using the data adapter to establish and manage the list associated to the chain?

Thanks in advance.

Dario Crivelli

This corresponds with what we call "two level push" technique, in which the list of options is returned and dynamically updated by a "list item" (which can be implemented by leveraging the COMMAND mode); then each option is subscribed to separately.

We show the technique in our Portfolio Demo, whose source code is included in the distribution package;
the architecture is quite complicated, but Lightstreamer helps by providing various pieces.

Note, however, that all second-level subscriptions (i.e. single options subscriptions) will be requested directly by the client, based on the information received from the "list item", hence with an additional roundtrip.