The main task of data handling is to replicate the limit order book from the venues into your trading system. To combine all the different books you receive, the book builder will be in charge of gathering the prices and sorting them for your strategies.
In the following diagram, the price updates are converted by the gateway then transferred to the book builder. The book builder will use the books received by the gateways from the venues and it will gather and sort all the price updates:
In the following diagram, we use an example of an order book for a given financial product. Since we have three venues, we observe ...
