Trade-and-Quote Event Normalization

Install and import

bash

npm install fintech-algorithms

import { normalizeEvents } from "fintech-algorithms/market-data-engineering/order-book-feed-engineering/trade-and-quote-event-normalization";

Signature

normalizeEvents(events)

Normalises raw venue trade and quote messages into one canonical event shape. Every venue names, orders and timestamps its fields differently; this is the boundary where that stops being everyone else's problem.

Parameters

Name	Type	Notes
`events`	`RawEvent[]`	Raw venue messages with their native field names, sequence numbers and timestamps.

Returns

{ events, rejected, diagnostics }

Canonical events plus the ones rejected and why — a normaliser that silently drops malformed messages hides a feed problem rather than surfacing it.

Errors

When an event carries no recognisable type — recorded in rejected rather than thrown

Complexity: time O(n), space O(n).

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

events

[
  {
    "venue": "XNAS",
    "instrument": "SYN1",
    "sequence": 100,
    "event_time_ns": 1000000,
    "receive_time_ns": 1000210,
    "price_scale": 10000,
    "kind": "quote",
    "bid_price_atoms": 1000000,
    "bid_quantity": 70,
    "ask_price_atoms": 1000200,
    "ask_quantity": 65
  },
  {
    "venue": "XNAS",
    "instrument": "SYN1",
    "sequence": 101,
    "event_time_ns": 1000300,
    "receive_time_ns": 1000545,
    "price_scale": 10000,
    "kind": "trade",
    "trade_id": "T01",
    "price_atoms": 1000200,
    "quantity": 11,
    "aggressor_side": "buy"
  },
  {
    "venue": "XNAS",
    "instrument": "SYN1",
    "sequence": 102,
    "event_time_ns": 1000600,
    "receive_time_ns": 1000880,
    "price_scale": 10000,
    "kind": "quote",
    "bid_price_atoms": 1000200,
    "bid_quantity": 74,
    "ask_price_atoms": 1000400,
    "ask_quantity": 67
  }
]

Showing 3 of 24 elements.

Call

normalizeEvents(events)

Returns

object with 8 fields: schema_version, event_count, trade_count, quote_count, venue_count, max_latency_ns, events, state

{
  "schema_version": 1,
  "event_count": 24,
  "trade_count": 8,
  "quote_count": 16,
  "venue_count": 1,
  "max_latency_ns": 350,
  "events": [
    {
      "schema_version": 1,
      "venue": "XNAS",
      "instrument": "SYN1",
      "sequence": 100,
      "event_time_ns": 1000000,
      "receive_time_ns": 1000210,
      "latency_ns": 210,
      "price_scale": 10000,
      "kind": "quote",
      "bid_price_atoms": 1000000,
      "bid_price": 100,
      "bid_quantity": 70,
      "ask_price_atoms": 1000200,
      "ask_price": 100.02
    },
    {
      "schema_version": 1,
      "venue": "XNAS",
      "instrument": "SYN1",
      "sequence": 101,
      "event_time_ns": 1000300,
      "receive_time_ns": 1000545,
      "latency_ns": 245,
      "price_scale": 10000,
      "kind": "trade",
      "trade_id": "T01",
      "price_atoms": 1000200,
      "price": 100.02,
      "quantity": 11,
      "aggressor_side": "buy"
    },
    {
      "schema_version": 1,
      "venue": "XNAS",
      "instrument": "SYN1",
      "sequence": 102,
      "event_time_ns": 1000600,
      "receive_time_ns": 1000880,
      "latency_ns": 280,
      "price_scale": 10000,
      "kind": "quote",
      "bid_price_atoms": 1000200,
      "bid_price": 100.02,
      "bid_quantity": 74,
      "ask_price_atoms": 1000400,
      "ask_price": 100.04
    }
  ],
  "state": "normalized"
}

Other exports

This module also exports reconstructL2, 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.