Working with saved and live data – keeping your app universal

In the previous chapter, we quickly observed various methods to get market data from LMAX, one of the most important ECNs in the FX market. Without going into too much technical detail, we can assume that most other brokers, trading venues, and data vendors use more or less the same protocols and APIs based on socket connections. So, it should not be a problem to re-adapt your code to start retrieving data from a new source.

However, from the previous chapter, I hope you also remember that despite similarities in the transport layer of the connection, almost every data source has its own features that can only be found in its documentation (and sometimes, unfortunately, only in direct talks with its technical support).

This means that even if you implemented—for example—Financial Information eXchange (FIX) protocol version 4.4 with one broker, it is quite possible that you will have to modify something...