Experience with a middleware infrastructure for service oriented financial applications

Financial institutions, acting as financial intermediaries, need to handle numerous information sources and feed them to multiple processing, storage, and display services. This requires filtering and routing, but these feeds are usually provided in custom formats and protocols that are not the best fit for further processing. Moreover, the sheer volume of information and stringent timeliness and reliability requirements make this a substantial task. In this paper, i) we characterize one of these information feeds (the Exchange Data Publisher feed from the NYSE Euronext European Cash Markets) and ii) we present and evaluate a dissemination system for this particular feeder based on commodity hardware and open-source message-oriented middleware (Apache Qpid). This allows us to assess the feasibility of this approach and to point out the main challenges to be overcome.