hardDesignScenarioSeniorStaff
You need one consolidated best bid and offer across five venues whose feeds arrive at different latencies. How do you build it, and what will it get wrong?
6 min readUpdated 2026-08-15
Answer
Short answer
Keep a book per venue and recompute the composite top on each update, because independent feeds have no global ordering. Unequal latency will show crossed prices that never existed at one instant, so each venue's contribution needs a liveness clock and the composite needs a degraded state.
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Likely follow-ups
- Two updates carry the same venue timestamp from different venues. How do you order them, and does it matter?
- How would you measure, rather than assume, the latency difference between two venues' feeds?
- What would you have to journal to reconstruct the composite exactly as the router saw it three weeks ago?
- Why does a firm still need the official consolidated tape when it already receives every direct feed?
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