Order Book Synchronization is the process of maintaining a consistent and real-time representation of an exchange’s or liquidity provider’s order book across disparate trading systems. Its purpose is to ensure all market participants operate with accurate and current market depth information.
Mechanism
This typically involves consuming high-frequency market data feeds, often via WebSocket or FIX protocols, which deliver incremental updates on individual order additions, modifications, and cancellations. Client-side systems reconstruct and update their local order book models by applying these changes, validating message sequence numbers to detect any data loss or reordering.
Methodology
The strategic objective is to minimize information latency and prevent stale order book data from negatively influencing trading decisions. High-performance data processing pipelines and resilient network infrastructure are crucial to achieving low-latency synchronization, enabling algorithmic strategies to react promptly to market changes and maintain price accuracy.
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