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Quantitative Finance · Glossary

What is Incremental channel, snapshot channel?

Also known as: incremental channel · snapshot channel

Definition 16.3 Low-Latency Software · Chapter 16 — Protocols II: Binary Exchange Protocols

An incremental channel carries the feed’s messages, each a change to the book, in sequence. A snapshot channel publishes, at a regular interval, the full state of each instrument’s book together with the incremental sequence number it reflects, so that a receiver that has lost messages, or just started, can rebuild the book without replaying the day.

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