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Quantitative Finance · Glossary

What is Market-data distribution platform?

Definition 23.1 Research, Data and Risk Platforms · Chapter 23 — Market-Data Distribution and Entitlements

A market-data distribution platform receives normalised market data once and delivers it inside the firm to subscribers by topic (an instrument, a venue, a data type), with a delivery policy per subscriber — every message in order, or conflated — and with an entitlement check on every subscription.

The chapter’s distribution platform: one normalised feed, one bus with a queue per subscriber, an entitlement check at subscription and at delivery, and every access written to a usage log from which the monthly usage report and the audit reconciliation are produced.
Figure 23.1. The chapter’s distribution platform: one normalised feed, one bus with a queue per subscriber, an entitlement check at subscription and at delivery, and every access written to a usage log from which the monthly usage report and the audit reconciliation are produced.
policysubscriberdeliveredlargest queuemean agelargest age
every messagestrategy240 2671 1990.1 ms24 ms
risk service240 2671 20358 ms2.4 s
research dashboard240 267180 267891 s1 803 s
conflatedstrategy238 870200.0 ms0.4 ms
risk service221 364204.0 ms32 ms
research dashboard60 0122067 ms134 ms
Table 23.1. Ten minutes of depth updates for twenty instruments delivered to three subscribers, with every message queued or conflated per instrument. The age of a message is the time from its publication to the end of its processing. The screen, conflated in both runs, sees a mean age of 125 ms. The strategy’s largest queue is the opening snapshot, which arrives at one instant.
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