Consolidated Order Books
With multiple market centers and the need to drive program trading, the only way to see the full market is to merge the order books from each of the major liquidity pools. Therefore, in addition to providing individual order books from each independent market center, TPS+Plus has the ability to combine any number of order book feeds into single consolidated views. This is accomplished by combining data from ARCA, ITCH, OpenBook, DirectEgde, BATS, and other order book feeds into consolidated views of the market, including:: fully aggregated market size at each price, partial aggregation showing aggregate size at price in each market center, consolidation without aggregation, and others.
To support these varying views of the market, TPS+Plus provides advanced data models, in the form of Grids, to represent full depth of book information. Additionally, to accommodate users of older market data systems, TPS+Plus can simultaneously integrate the top-n price levels for a given book into traditional record-based data models support by these older systems.