4 ms·
by definition: an exchange doesn't need any reference to outside market data even for systems built on a sequencer which do (e.g. an OMS), the volume is too la
by blibble 10mo ago
by definition: an exchange doesn't need any reference to outside market data
even for systems built on a sequencer which do (e.g. an OMS), the volume is too large
the usual strategy is for processes which require it, is to sample it and them stamp it on commands
which maintains the invariants
(my background: I have been a developer on one of Mike Blum's original sequencers)
- usefulcat 10mo agoHow would an exchange enforce the trade through rule without any outside market data?
- alexpotato 10mo agoFair point that you don't actually need the market data you send out if you have the original order book data internally.