Understanding how an exchange publishes information to participants

The previous section was dedicated to discussing the details of the matching engine, and in that discussion, we assumed that the matching engine receives market participants’ order requests from the order gateway server infrastructure. We also implicitly assumed that the matching engine would communicate changes to the limit order book it maintains to all the market participants listening to the market data feed. In this section, we will discuss the market data publisher and the order gateway server components that the matching engine relies on to communicate with the market participants.

Communicating market events through markets data

Let us discuss the market data publisher component first. This component is responsible for converting the updates to the limit order book maintained by the matching engine. We mentioned before that the market data network level protocol can be TCP or UDP but generally...