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zeekayandHanzo Dev
70f6883235
A July commit removed eight papers on the premise "no license — DEX/non-custodial only". That premise is wrong: Lux operates an ATS, a broker-dealer, a transfer agent and a bank, and this material is resold at lux.financial. The merge that brought main in preserved the removal because the commit stated a reason, which is how a stale reason outlives the fact it rested on. Back, at the versions main carried — main never received the removal, so its copies are the later ones: the ATS architecture, the security-token standard, smart order routing, institutional custody, MPC custody, post-quantum securities, the SSB partnership and the CoinBridge brief. 83 files. Co-authored-by: Hanzo Dev <[email protected]>
65 lines
1.7 KiB
TeX
65 lines
1.7 KiB
TeX
\section{Market Data Aggregation}
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\label{sec:marketdata}
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\subsection{Consolidated Quote}
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The SOR maintains a consolidated quote across all venues for each security:
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\begin{lstlisting}[language=Go,caption={Consolidated quote aggregation.}]
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type ConsolidatedQuote struct {
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SecurityID SecurityID
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NBBO NBBO
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Venues []VenueQuote
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Timestamp time.Time
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}
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type NBBO struct {
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BidPrice decimal.Decimal
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BidSize uint64
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BidVenue ProviderID
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AskPrice decimal.Decimal
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AskSize uint64
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AskVenue ProviderID
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}
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func (r *Router) consolidateQuotes(
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secID SecurityID,
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) (*ConsolidatedQuote, error) {
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var quotes []VenueQuote
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var mu sync.Mutex
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var wg sync.WaitGroup
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for _, p := range r.providers {
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if !p.Supports(secID) {
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continue
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}
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wg.Add(1)
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go func(prov Provider) {
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defer wg.Done()
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q, err := prov.Quote(context.Background(),
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QuoteRequest{Security: secID})
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if err != nil {
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return // skip unavailable venues
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}
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mu.Lock()
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quotes = append(quotes, VenueQuote{
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Provider: prov.ID(), Quote: *q,
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})
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mu.Unlock()
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}(p)
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}
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wg.Wait()
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nbbo := computeNBBO(quotes)
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return &ConsolidatedQuote{
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SecurityID: secID,
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NBBO: nbbo,
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Venues: quotes,
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Timestamp: time.Now().UTC(),
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}, nil
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}
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\end{lstlisting}
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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.
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