Level-2 Snapshot-and-Delta Reconstruction

Install and import

bash

npm install fintech-algorithms

import { reconstructL2 } from "fintech-algorithms/market-data-engineering/order-book-feed-engineering/level-2-snapshot-and-delta-reconstruction";

Signature

reconstructL2(snapshot)

Rebuilds an aggregated price-level book from a snapshot plus the deltas that follow it. Level 2 shows quantity per price, not individual orders — the distinction matters because a delta that is applied twice corrupts the book invisibly.

Parameters

Name	Type	Notes
`snapshot`	`L2Snapshot`	The starting snapshot with its sequence number, followed by the incremental updates to apply in order.

Returns

{ book, applied, gaps, state }

The reconstructed book with the updates applied and any sequence gaps encountered — a book rebuilt across a gap is wrong and must be said so.

Errors

When a delta's sequence precedes the snapshot — reported as a gap rather than thrown

Complexity: time O(updates × levels), space O(levels).

Worked example

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input

snapshot

{
  "bids": [
    {
      "price_ticks": 10000,
      "quantity": 20
    },
    {
      "price_ticks": 9999,
      "quantity": 25
    },
    {
      "price_ticks": 9998,
      "quantity": 30
    }
  ],
  "asks": [
    {
      "price_ticks": 10002,
      "quantity": 18
    },
    {
      "price_ticks": 10003,
      "quantity": 22
    },
    {
      "price_ticks": 10004,
      "quantity": 26
    }
  ]
}

argument 2

{
  "snapshot_sequence": 500,
  "deltas": [
    {
      "sequence": 501,
      "side": "bid",
      "price_ticks": 10000,
      "quantity": 12
    },
    {
      "sequence": 502,
      "side": "ask",
      "price_ticks": 10002,
      "quantity": 19
    },
    {
      "sequence": 503,
      "side": "bid",
      "price_ticks": 9999,
      "quantity": 26
    }
  ]
}

Call

reconstructL2(snapshot)

Returns

object with 12 fields: quantity_semantics, snapshot_sequence, last_sequence, applied_sequences, applied_count, discarded_sequences, discarded_count, bids, …

{
  "quantity_semantics": "absolute-replacement",
  "snapshot_sequence": 500,
  "last_sequence": 524,
  "applied_sequences": [501, 502, 503, 504, 505, 506],
  "applied_count": 24,
  "discarded_sequences": [],
  "discarded_count": 0,
  "bids": [
    {
      "price_ticks": 10000,
      "quantity": 17
    },
    {
      "price_ticks": 9998,
      "quantity": 14
    },
    {
      "price_ticks": 9997,
      "quantity": 28
    }
  ],
  "asks": [
    {
      "price_ticks": 10002,
      "quantity": 24
    },
    {
      "price_ticks": 10003,
      "quantity": 38
    },
    {
      "price_ticks": 10004,
      "quantity": 21
    }
  ],
  "best_bid_ticks": 10000,
  "best_ask_ticks": 10002,
  "state": "current"
}

Other exports

This module also exports normalizeEvents, aggregatePriceLevels, reconstructL3, recoverSequenceStream, reconcileSnapshotIncrementals, consolidateVenues, calculate. Every module additionally exports run as an alias of its primary function, and a meta object carrying its catalog id, domain, family, shape and article URL.