What is Chronicle BookBuilder?
Chronicle’s BookBuilder consumes one or more streams of market data, either in snapshot form or in increments. It then builds market depth ladders either at an aggregated level or on a per-venue basis. Multiple aggregated ladders can be configured, with support for both simple (per currency pair and per venue) as well as complex aggregation (composed of multiple input pricing sources for depth across multiple venues). In addition to market depth ladders, the BookBuilder can also be configured to produce market mid-rates.
Like many Chronicle products, the BookBuilder is designed to be particularly efficient when handling large volumes of low-latency inbound and outbound data, as is typical of real-time market data feeds in fast-moving markets. It can be configured to throttle outputs based on price movements together with threshold times.
The BookBuilder can be used as a standalone component for market data processing and market depth calculation. It is also a fundamental precursor to the Pricer, PositionManager and Hedger modules.
Why Choose Chronicle BookBuilder
How does it work?
The BookBuilder is built on the Chronicle software stack, which itself is designed to provide a flexible, reliable and low-latency framework. Notable features include:
*Replication, in this instance, refers to the copying of data over the network via TCP/IP, usually done for failover, and/or to create a safe copy of the information on another host server or in another data centre.
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