VMX-Capture Stack Probe Worked Examples

In the following worked examples, we present two extracts created from a Beeks Analytics for Markets template.

The Market Data Gap Detection example shows how a stack probe is configured to receive market data. Calculations (including when market data gaps occur) are performed in the VMX-Capture stack probes, and are then presented to VMX-Analysis as pre-aggregated statistics. An additional concept is also covered, which is specific to market data gaps - the concept of anomalies, which provide extra information about the gaps e.g. the exact sequence numbers that are affected by particular issues.

The Order Entry Stack Probe example shows how a set of stack probes are configured to capture and decode order traffic, and pass them to VMX-Analysis as individual Agent Events. VMX-Analysis is then configured to process the Agent Events. calculate Intervals between them, and persist them for future order searches.