Building a market participant’s interface to the exchange
We will now discuss the purpose and design of the components in the market participants’ systems. Specifically, we will start by discussing the market data consumer in the client’s trading system, which subscribes to, consumes, and decodes the public market data published by the exchange. We will also discuss the order gateway client infrastructure in the client’s trading system, which connects to the exchange order gateway server. The order gateway client is also responsible for sending order requests to the exchange and receiving and decoding responses for the client’s orders.
Understanding the market data consumer infrastructure
The market data consumer component in a market participant’s trading system is the direct complement of the market data publisher component in the electronic trading exchange. It is responsible for subscribing to and consuming the multicast network traffic...
