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Quantitative Finance · Glossary

What is Snapshot-and-delta feed, book checksum?

Also known as: snapshot-and-delta feed · book checksum

Definition 26.3 Markets III: Commodities, Energy and Crypto · Chapter 26 — Crypto Data and Infrastructure

A snapshot-and-delta feed publishes a venue’s market-by-price book (One Quant Book 1, chapter 28) as a snapshot of all levels, with an update identifier, followed by a stream of changes to individual levels numbered with the same identifiers. A book checksum is a value the venue computes over the top levels of its book after each change and publishes with it, so that a client can verify that its copy is identical.

Rebuilding a book from a snapshot-and-delta feed, following the procedure of : buffer, snapshot, discard what the snapshot already contains, apply in order, and go back to the snapshot on any gap. The book is flagged stale from the gap until the new snapshot is applied. Schematic.
Figure 26.2. Rebuilding a book from a snapshot-and-delta feed, following the procedure of Box 26.2: buffer, snapshot, discard what the snapshot already contains, apply in order, and go back to the snapshot on any gap. The book is flagged stale from the gap until the new snapshot is applied. Schematic.
A locally built book of 20 active levels under message loss (). Without checks it is wrong, without knowing it, about 20p of the time; with gap detection it is never silently wrong but spends about 50p of the time resynchronising when a snapshot takes 50 messages to arrive. Simulated feed of 100 000 messages. Data: the chapter’s tutorial.
Figure 26.3. A locally built book of 20 active levels under message loss (Proposition 26.4). Without checks it is wrong, without knowing it, about 20p20p of the time; with gap detection it is never silently wrong but spends about 50p50p of the time resynchronising when a snapshot takes 50 messages to arrive. Simulated feed of 100 000 messages. Data: the chapter’s tutorial.
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