Summary

This chapter was dedicated to building the important core infrastructure components inside the market participant’s trading system. First, we build the market data consumer component, which is responsible for subscribing to the multicast market data stream generated by the exchange. It needs to detect gaps in market data updates on the incremental market data stream and initiate snapshot recovery and synchronization mechanisms to re-synchronize with the incremental market data stream. It decodes the market data updates from the format that the exchange publishes to a simpler internal market data format.

The order book sub-component inside the trading engine component processes the market data updates it receives from the market data consumer. It builds and updates an order book data structure from these updates for the trading engine to get an accurate view of the market.

The order gateway component inside the trading system establishes and maintains a bi-directional...