Monday, August 8, 2011

order book live feed - stream^snapshot

Refer to the blog on order-driven vs quote-driven markets. Suppose a ECN receives limit orders or executable quotes (like limit orders) from traders. ECN maintains them in an order book. Suppose you are a trader and want to receive all updates to that order book. There are 2 common formats

1) The snapshot feed can simplify development/integration with the ECN as the subscriber application does not need to manage the internal state of the ECN order book. The feed publishes a complete snapshot of the order book at a fixed interval; this interval could be something like 50ms. It is possible to subscribe to a specific list of securities upon connecting.

2) Streaming event-based format. consumes more bandwidth (1Mb/sec) and requires that the subscriber manages the state of the ECN order book by applying events received over the feed. The advantage of this feed is that subscriber's market data will be as accurate as possible and will not have the possible 50ms delay of the snapshot feed.

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