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The other thing people should understand about the consolidated feeds is that they only show the aggregated size at the best price at each exchange, whereas the
by minimax 13y ago
The other thing people should understand about the consolidated feeds is that they only show the aggregated size at the best price at each exchange, whereas the direct feeds show you every displayed order in the book. A direct feed is a firehose and requires significantly more network and processing power to actually make sense out of it.