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مهني

1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Market-data distribution platform؟

Definition 23.1 Research, Data and Risk Platforms · الفصل 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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