feed · order book · realtime fan-out
📖 Market Data
Notes on the other half of a broker — market data: feed contracts & canonical ticks, snapshot/incremental & sequence-gap recovery, order book invariants (L1/L2), conflation, WebSocket fan-out to thousands of clients, freshness & degraded modes, storage & replay.
Sources: hands-on market-data pipeline notes · public exchange feed specifications · Designing Data-Intensive Applications.
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