# Snapshot/Incremental-Feed Reconciliation

`D01-F05-A06` · Market Data Engineering → Order-Book Feed Engineering · archetype `record-transform` · difficulty 3/5 · verification **verified**

Full page: https://docs.thefintechbuilder.com/market-data-engineering/order-book-feed-engineering/snapshot-incremental-feed-reconciliation/
Agent skill: `npx skills add IslamBaraka90/Fintech-Algorithms-Library` — https://docs.thefintechbuilder.com/guides/agent-skill/

## Install and import

```bash
npm install fintech-algorithms
```

```ts
import { reconcileSnapshotIncrementals } from "fintech-algorithms/market-data-engineering/order-book-feed-engineering/snapshot-incremental-feed-reconciliation";
```

## Signature

```ts
reconcileSnapshotIncrementals(snapshot)
```

Reconciles a periodic snapshot against the book built from incrementals. Any divergence means the incremental path has been silently wrong — possibly for hours — and this is the only routine that catches it.

## Parameters

| Name | Type | Required | Notes |
| --- | --- | --- | --- |
| `snapshot` | `Snapshot` | yes | The authoritative snapshot, together with the incrementally-maintained book to compare it against. |

## Returns

`{ status, differences, matched_levels, … }`

Level-by-level differences, so a divergence can be localised rather than triggering a blanket rebuild.

## Errors

- When the snapshot and book are for different instruments — throws

## Complexity

Time `O(levels)`, space `O(differences)`.

## Worked example

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`:

```json
{
  "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`:

```json
{
  "snapshot_sequence": 200,
  "incrementals": [
    {
      "sequence": 201,
      "side": "bid",
      "price_ticks": 10000,
      "quantity": 10
    },
    {
      "sequence": 202,
      "side": "ask",
      "price_ticks": 10002,
      "quantity": 13
    },
    {
      "sequence": 203,
      "side": "bid",
      "price_ticks": 9999,
      "quantity": 16
    }
  ],
  "checkpoint": {
    "bids": [
      {
        "price_ticks": 10000,
        "quantity": 23
      },
      {
        "price_ticks": 9999,
        "quantity": 29
      },
      {
        "price_ticks": 9998,
        "quantity": 35
      }
    ],
    "asks": [
      {
        "price_ticks": 10002,
        "quantity": 26
      },
      {
        "price_ticks": 10004,
        "quantity": 38
      },
      {
        "price_ticks": 10005,
        "quantity": 15
      }
    ]
  },
  "checkpoint_sequence": 224
}
```

### Call

```ts
reconcileSnapshotIncrementals(snapshot)
```

### Returns

object with 11 fields: snapshot_sequence, checkpoint_sequence, compared_level_count, difference_count, mismatch_counts, replayed_incremental_count, pending_after_checkpoint_count, differences, …

```json
{
  "snapshot_sequence": 200,
  "checkpoint_sequence": 224,
  "compared_level_count": 12,
  "difference_count": 0,
  "mismatch_counts": {
    "quantity-mismatch": 0,
    "missing-reconstructed-level": 0,
    "missing-checkpoint-level": 0
  },
  "replayed_incremental_count": 24,
  "pending_after_checkpoint_count": 0,
  "differences": [],
  "reconstructed": {
    "bids": [
      {
        "price_ticks": 10000,
        "quantity": 23
      },
      {
        "price_ticks": 9999,
        "quantity": 29
      },
      {
        "price_ticks": 9998,
        "quantity": 35
      }
    ],
    "asks": [
      {
        "price_ticks": 10002,
        "quantity": 26
      },
      {
        "price_ticks": 10004,
        "quantity": 38
      },
      {
        "price_ticks": 10005,
        "quantity": 15
      }
    ]
  },
  "checkpoint": {
    "bids": [
      {
        "price_ticks": 10000,
        "quantity": 23
      },
      {
        "price_ticks": 9999,
        "quantity": 29
      },
      {
        "price_ticks": 9998,
        "quantity": 35
      }
    ],
    "asks": [
      {
        "price_ticks": 10002,
        "quantity": 26
      },
      {
        "price_ticks": 10004,
        "quantity": 38
      },
      {
        "price_ticks": 10005,
        "quantity": 15
      }
    ]
  },
  "state": "reconciled"
}
```

## Other exports

`normalizeEvents`, `reconstructL2`, `aggregatePriceLevels`, `reconstructL3`, `recoverSequenceStream`, `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.

## Verification and provenance

Tier: **verified** (via D).

The worked example below is the figure published in this algorithm's article, replayed and asserted by the test suite on every build. The arithmetic cannot drift without the build failing.

Both tiers guarantee the signature. Full explanation: https://docs.thefintechbuilder.com/guides/verification/

Generated from the docs.json payload shipped inside fintech-algorithms@0.13.1.
The signature and parameter list are checked against the compiled implementation at build time,
so a description that contradicts the code fails the build rather than reaching this file.

## Links

- Article (how it works, step by step): https://thefintechbuilder.com/market-data-engineering/order-book-feed-engineering/snapshot-incremental-feed-reconciliation/
- Implementation source: https://github.com/IslamBaraka90/Fintech-Algorithms-Library/blob/main/src/market-data-engineering/order-book-feed-engineering/snapshot-incremental-feed-reconciliation/impl.ts
- Package on npm: https://www.npmjs.com/package/fintech-algorithms
- Domain index for agents: https://docs.thefintechbuilder.com/market-data-engineering/llms.txt