Message Volume 1,684,103,265
Messages per Second 1,134,640
Order Volume 871,875,595
Orders per Second 581,696
Share Volume 12,814,454,760
Executions per Second 193,350
Also if you look at equity derivative products which have parameters like type call/put, strike, maturity can be hundreds of financial products for one underlying stock.
I worked in this sector and volume of data is a real challenge, no wonder you often get custom software to handle that :)
How do you propose lossless compression for all orderbook data? Of course if you are willing to lose granularity/information, it can be compressed a lot
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Would that kind of data not compress like crazy? Or would they need to keep all that data hot and fast.
From just a single exchange you can reach up to 1 million messages of order book change per second
https://www.nasdaqtrader.com/snippets/inet2.html
Also if you look at equity derivative products which have parameters like type call/put, strike, maturity can be hundreds of financial products for one underlying stock.I worked in this sector and volume of data is a real challenge, no wonder you often get custom software to handle that :)
Thanks for the insight!
How do you propose lossless compression for all orderbook data? Of course if you are willing to lose granularity/information, it can be compressed a lot