papers/lux-smart-order-routing/sections/09-market-data-aggregation.tex

\section{Market Data Aggregation}
\label{sec:marketdata}

\subsection{Consolidated Quote}

The SOR maintains a consolidated quote across all venues for each security:

\begin{lstlisting}[language=Go,caption={Consolidated quote aggregation.}]
type ConsolidatedQuote struct {
    SecurityID SecurityID
    NBBO       NBBO
    Venues     []VenueQuote
    Timestamp  time.Time
}

type NBBO struct {
    BidPrice    decimal.Decimal
    BidSize     uint64
    BidVenue    ProviderID
    AskPrice    decimal.Decimal
    AskSize     uint64
    AskVenue    ProviderID
}

func (r *Router) consolidateQuotes(
    secID SecurityID,
) (*ConsolidatedQuote, error) {
    var quotes []VenueQuote
    var mu sync.Mutex
    var wg sync.WaitGroup

    for _, p := range r.providers {
        if !p.Supports(secID) {
            continue
        }
        wg.Add(1)
        go func(prov Provider) {
            defer wg.Done()
            q, err := prov.Quote(context.Background(),
                QuoteRequest{Security: secID})
            if err != nil {
                return // skip unavailable venues
            }
            mu.Lock()
            quotes = append(quotes, VenueQuote{
                Provider: prov.ID(), Quote: *q,
            })
            mu.Unlock()
        }(p)
    }
    wg.Wait()

    nbbo := computeNBBO(quotes)
    return &ConsolidatedQuote{
        SecurityID: secID,
        NBBO:       nbbo,
        Venues:     quotes,
        Timestamp:  time.Now().UTC(),
    }, nil
}
\end{lstlisting}

The market data infrastructure descends from Arca's \texttt{miners/binance-recorder}, which recorded and replayed exchange data feeds for market analysis. The Lux SOR extends this to aggregate real-time quotes from all 16 providers.