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Quantitative Finance · Glossaire

Qu'est-ce que « Per-symbol resynchronisation » ?

Definition 20.3 Networks, Hardware and Trading Infrastructure · Chapitre 20 — API Engineering for Crypto Venues

Per-symbol resynchronisation repairs a book after a sequence gap by fetching a snapshot for the symbols whose own update sequence shows the gap, rather than for every symbol carried by the connection on which messages were lost.

Snapshot depthWeightPer symbol (5 books)Per connection (80 books)Last book back
(stale symbol-s)(stale symbol-s)per connection (s)
5 000 levels2500.55 769180.1
1 000 levels500.511.20.2
Table 20.1. Simulation: five messages lost on one connection of 80 symbols (they touch five symbols), repaired per symbol or per connection, with snapshots at two depths under the 6 000-weight-a-minute governor of Book 3 and a 100 ms100\,\mathrm{m}\mathrm{s} round trip; staleness in symbol-seconds. Data: nw_api.resync_rows().
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