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Quantitative Finance · Glossary

What is Normalisation?

Definition 28.7 Markets I: The Ecosystem and Exchange-Traded Markets · Chapter 28 — Reading Market Data

Normalisation is the conversion of each venue’s native messages into one internal representation: common message types, integer prices in a common unit, a common clock field, permanent instrument identifiers, explicit condition flags.

Level 1 and the tape, rebuilt from 640 messages of the chapter’s binary sample by the build’s decoder and book. Every execution of a displayed order prints at the bid or at the ask, which is how its aggressor is known; the prints between them are trades against hidden orders. Data: the chapter’s build.
Figure 28.4. Level 1 and the tape, rebuilt from 640 messages of the chapter’s binary sample by the build’s decoder and book. Every execution of a displayed order prints at the bid or at the ask, which is how its aggressor is known; the prints between them are trades against hidden orders. Data: the chapter’s build.
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