Order book management
The primary goal of data handling is to copy the limit order book from the venues into your trading system. The book builder will be in charge of gathering the pricing and categorizing them for your tactics in order to integrate all of the many books you obtain.
The pricing changes are transformed by the gateway and then passed to the book builder, as shown in the following diagram. The book builder will use the books that the gateways have received from the venues, as well as gather and sort any pricing changes:
Figure 2.5 – Book builder getting price updates from Gateway IN
In the following diagram, we use an example of an order book for a given financial product. The order book will contain two parts, one for the bids and one for the offers. For each part, we will store the orders represented by the venue, the volume, and the price. Every venue will send its own order books. The goal of the book builder is to create a book...
