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kdb Insights Enterprise ICE Order Book Accelerator - Release Notes

This section details the release notes for the kdb Insights ICE Order Book Accelerator.

Version 1.1.1

Release date

2024-09-23

New features

  • Improved UX/UI elements in the Dashboard
  • Compatibility fixes for Insights Enterprise 1.10
  • Added configuration to capture activity_time in the feed, allowing optional use instead of receive time
  • Added logic to handle ingest pipeline restarts
  • Updated the default subscription list to include instruments active in more trading sessions
  • Reference pipelines no longer automatically deploy during package deployment

Version 1.1.0

Release date

2024-06-28

New features

  • Updated feed configuration template values.yaml to be compatible with the official feed handler release
  • Enhanced the orderbook dashboard to display human readable instrument names when corresponding reference data is loaded
  • Various UX/UI improvements in the dashboard
  • Added top-of-book message handling
  • Added bid/ask counts to data set
  • Added total bid/ask sizes to data set

Fixes

  • Fixed an issue with the sorting order of bids

Version 1.0.0

Release date

2024-04-08

New features

  • Added ICE Realtime Feed Handler support
  • Stream processor ingestion pipeline
  • Templated helm chat values.yaml
  • Pipelines for L1 Trade and Quote data ingest icerealtime1-sp
  • Pipelines for L2 Quote data ingest icerealtime2-sp and orderbook construction orderbook-sp
  • Schemas for L1 data (Trade and Quote), L2 data (L2Quote), and constructed order book data
    • Snapshot formatting, with arrays of price levels in a single field OrderBookSnapshots
    • Depth formatting, with order book levels on individual rows Depth
  • Query and analytic API extensions via the FSI Library
  • An example Insight View for displaying streaming data
  • Example Jupyter notebooks, demonstrating Python and REST API access

Artifacts

Type Location
Accelerator Package https://portal.dl.kx.com/assets/raw/kxi-accelerators/fsi/fsi-ice-orderbook/

Version dependencies

To use the ICE Order Book Accelerator, you must have the following compatible versions of the underlying FSI Library, kdb Insights Enterprise, and the kxi CLI.

ICE OB Accelerator FSI Library Insights Enterprise kxi CLI
1.0.0 1.0.0 1.9.0 1.9.0
1.1.0 1.1.1 1.9.3 1.9.0
1.1.1 1.1.2 1.10.1 1.10.0

Known issues

  • ID Mapping is not applied to get* API calls. Data is only returned for underlying symbols, even when IDMapping is set on get* API calls. Requests for ID Mapped symbols do not return any results.
  • When holiday calendars are applied in get* API calls using applyHolidayCalendar, the call always returns an empty result.