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Aggregator Service Overview

The main function of the Aggregator service is to record live market data for a defined set of instruments and store this data in TimeBase. This allows an end user to capture market data for back testing of algorithms and capture live data to verify trading signals generated during live algorithm execution.

A Data Feed Connector is a vendor-neutral abstraction layer for market data feed.

The default platform for Aggregator is JAVA 64.

Each Aggregator process is controlled by an XML configuration file that is stored within the QuantServerHome/config/aggregator folder.

Aggregator supports 3 different modes:

  1. Live (Configurable Feed).
  2. Historical (Batch Configurable Feed).
  3. HistoricalAndLive (Hybrid Configurable Feed).

In Historical (Batch Configurable Feed) mode, the aggregator process periodically downloads historical data from the data feed provider. This process never subscribes to live data.

In Live (Configurable Feed) mode, the aggregator process populates the time series database with live data.

In HistoricalAndLive (Hybrid Configurable Feed) mode, the aggregator process is used to merge historical and live data. For example, the process will download historical data and then transition to processing live data once the data set is backfilled.