Chronicle Bookbuilder

Consume market data from multiple sources, producing aggregated and per-venue level market depth ladders.

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.

"Chronicle BookBuilder is designed to be particularly efficient when handling large volumes of low-latency inbound and outbound data"

Why Choose Chronicle BookBuilder?

  • Asset class-agnostic
  • Handles both snapshot and incremental market data inputs
  • Unlimited market depth ladders, aggregated from multiple pricing sources
  • Can be configured to produce both full market depth, and lightweight mid-rates
  • Configurable throttling based on price movements and threshold times

How it works?

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:

  • Low-latency – core BookBuilder processing has been benchmarked at <1 microsecond.

  • Flexibility – the BookBuilder can be reconfigured at runtime without restarting.

  • High availability and resilience.

  • Ease of integration - like other Chronicle modules, the BookBuilder can either write its output to one or more Chronicle Queues, for consumption by other modules, or it can call another module (Chronicle or the client’s own) directly.

  • The ability to take advantage of the many features provided by the Chronicle software stack, such as built-in monitoring and alerting, and replication*.

*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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