Multi-Venue Best-Quote and Book Consolidation

Install and import

bash

npm install fintech-algorithms

import { consolidateVenues } from "fintech-algorithms/market-data-engineering/order-book-feed-engineering/multi-venue-best-quote-and-book-consolidation";

Signature

consolidateVenues(quotes)

Merges books from several venues into one consolidated view and identifies the best bid and offer across them. Venue clocks differ, so a naive merge can produce a consolidated book that was never simultaneously true.

Parameters

Name	Type	Notes
`quotes`	`VenueQuote[]`	Per-venue quotes with their own timestamps, which is what makes staleness assessable per venue rather than globally.

Returns

{ best_bid, best_ask, consolidated, contributors, stale_venues, … }

The consolidated top of book with which venue contributed each side, and any venue excluded as stale.

Errors

When no venue supplies a usable quote — reported as a status rather than thrown

Complexity: time O(venues × 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

quotes

[
  {
    "venue": "X1",
    "receive_time_ns": 950000,
    "eligible": true,
    "status": "open",
    "bids": [
      {
        "price_ticks": 10000,
        "quantity": 10
      },
      {
        "price_ticks": 9999,
        "quantity": 16
      },
      {
        "price_ticks": 9998,
        "quantity": 22
      }
    ],
    "asks": [
      {
        "price_ticks": 10003,
        "quantity": 9
      },
      {
        "price_ticks": 10004,
        "quantity": 15
      },
      {
        "price_ticks": 10005,
        "quantity": 21
      }
    ]
  },
  {
    "venue": "X2",
    "receive_time_ns": 980000,
    "eligible": true,
    "status": "open",
    "bids": [
      {
        "price_ticks": 10001,
        "quantity": 6
      },
      {
        "price_ticks": 10000,
        "quantity": 12
      },
      {
        "price_ticks": 9999,
        "quantity": 18
      }
    ],
    "asks": [
      {
        "price_ticks": 10002,
        "quantity": 7
      },
      {
        "price_ticks": 10003,
        "quantity": 11
      },
      {
        "price_ticks": 10004,
        "quantity": 17
      }
    ]
  },
  {
    "venue": "X3",
    "receive_time_ns": 850000,
    "eligible": true,
    "status": "open",
    "bids": [
      {
        "price_ticks": 10001,
        "quantity": 20
      },
      {
        "price_ticks": 10000,
        "quantity": 20
      }
    ],
    "asks": [
      {
        "price_ticks": 10003,
        "quantity": 20
      },
      {
        "price_ticks": 10004,
        "quantity": 20
      }
    ]
  }
]

Showing 3 of 5 elements.

argument 2

{
  "as_of_receive_time_ns": 1000000,
  "max_staleness_ns": 100000
}

Call

consolidateVenues(quotes)

Returns

object with 13 fields: as_of_receive_time_ns, max_staleness_ns, eligible_venue_count, excluded, best_bid_ticks, best_bid_quantity, best_bid_venues, best_ask_ticks, …

{
  "as_of_receive_time_ns": 1000000,
  "max_staleness_ns": 100000,
  "eligible_venue_count": 3,
  "excluded": [
    {
      "venue": "X3",
      "reason": "stale"
    },
    {
      "venue": "X4",
      "reason": "not-open"
    }
  ],
  "best_bid_ticks": 10001,
  "best_bid_quantity": 10,
  "best_bid_venues": ["X2", "X5"],
  "best_ask_ticks": 10002,
  "best_ask_quantity": 12,
  "best_ask_venues": ["X2", "X5"],
  "consolidated_book": {
    "bids": [
      {
        "price_ticks": 10001,
        "quantity": 10,
        "venues": ["X2", "X5"]
      },
      {
        "price_ticks": 10000,
        "quantity": 31,
        "venues": ["X1", "X2", "X5"]
      },
      {
        "price_ticks": 9999,
        "quantity": 48,
        "venues": ["X1", "X2", "X5"]
      }
    ],
    "asks": [
      {
        "price_ticks": 10002,
        "quantity": 12,
        "venues": ["X2", "X5"]
      },
      {
        "price_ticks": 10003,
        "quantity": 30,
        "venues": ["X1", "X2", "X5"]
      },
      {
        "price_ticks": 10004,
        "quantity": 47,
        "venues": ["X1", "X2", "X5"]
      }
    ]
  },
  "consolidated_levels": [
    {
      "side": "bid",
      "price_ticks": 10001,
      "quantity": 10,
      "venues": ["X2", "X5"]
    },
    {
      "side": "bid",
      "price_ticks": 10000,
      "quantity": 31,
      "venues": ["X1", "X2", "X5"]
    },
    {
      "side": "bid",
      "price_ticks": 9999,
      "quantity": 48,
      "venues": ["X1", "X2", "X5"]
    }
  ],
  "state": "normal"
}

Other exports

This module also exports normalizeEvents, reconstructL2, aggregatePriceLevels, reconstructL3, recoverSequenceStream, reconcileSnapshotIncrementals, 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.