Communicating with Market Participants
In this chapter, we will build the order gateway component at the electronic trading exchange that is responsible for accepting client connections, handling requests, and publishing responses to clients about their orders when there are updates. Fairness, low latency, and low jitter (latency variance) are important requirements here to facilitate high-frequency trading participants. We will also build the component that publishes market data from the trading exchange. These market data updates are designed to allow clients to construct the order book of all client orders that the electronic trading exchange holds. These market updates need to be sent out as soon as possible when there are order updates and when matches occur, so the focus will be on super-low-latency performance. Additionally, the exchange needs to periodically provide snapshots of the order book for participants that drop packets or start after the market is already open.
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