Market data recovery
Networks, systems and methods for recovering data messages from a market data stream and for building a book for a financial instrument are disclosed. An out-of-band data stream related to an as-of state of the market for one or more financial instruments is distributed parallel to a stream of market data for the financial instrument. The as-of data stream is referenced to the financial according to a unique identifier of the messages of the market data stream. The as-of data for a financial instrument may be provided at periodic rate that may be varied according to one or more factors.
1. A method for recovering streaming data comprising:
receiving, at an electronic processor, a stream of data messages, each having a unique consecutive sequence identifier and associated with a market event for a financial instrument;
periodically receiving, at the processor, data messages related to a state of the market for the financial instrument, the state of the market referencing at least one unique sequence identifier, where the data messages related to the state of the market comprise snapshot messages comprising multiple levels of bid and ask prices for the financial instrument; and
rebuilding, using the processor and a book rebuilding component, a book in memory for the financial instrument according to the consecutive sequence identifiers of the data messages and the data messages related to the state of the market, where the data messages are in-band and the data messages related to the state of the market are out of band.
2. The method of claim 1 , where the rebuilding includes a natural refresh approach.
3. The method of claim 1 , where the rebuilding includes a concurrent processing approach.
4. The method of claim 1 , where the rebuilding includes automatically selecting one of a natural refresh approach and a concurrent processing approach according to predetermined criteria.
5. The method of claim 1 , comprising:
registering to receive the data messages related to the state of the market for the financial instrument; and
caching the data messages in a cache, the data messages received as a stream.
6. The method of claim 5 , comprising removing the data messages in the cache if a data message fails a liveness criteria, where the rebuilding includes a concurrent processing approach.
7. A computer-readable medium comprising computer-executable instruction for:
receiving a stream of data messages, each having a unique consecutive sequence identifier and associated with a market event for a financial instrument;
periodically receiving data messages related to a state of the market for the financial instrument, the state of the market referencing at least one unique sequence identifier, where the data messages related to the state of the market comprise snapshot messages comprising multiple levels of bid and ask prices for the financial instrument; and
rebuilding a book in memory for the financial instrument according to the consecutive sequence identifiers of the data messages and the data messages related to the state of the market, where the data messages are in-band and the data messages related to the state of the market are out of band.
8. An order trading system comprising:
an electronic processor;
a memory storing computer-executable instructions that when executed by the processor cause the system to perform steps comprising:
receiving, using an order receiving component, data associated with a financial instrument;
storing, using an order storage component, the data of the financial instrument; and
rebuilding, using a book rebuilding component, an order book for the financial instrument using consecutive sequence identifiers of the data associated with the financial instrument;
wherein the data received by the order receiving component comprises market data and out of band data associated with the financial instrument, where the out of band data comprises a snapshot message.
9. The system of claim 8 , where the data received by the order receiving component is associated with a unique consecutive sequence identifier.
10. The system of claim 8 , where the order receiving component is further configured to register to receive data associated with a predetermined financial instrument.