Order Book Data

The FSI accelerator contains an Order Book Pipeline which is used to generate Order Book data from Realtime Level 2 Data.

How the Order Book Pipeline Works:

1. The *-orderbook-* SP subscribes to OrderbookUpdates table from the *fsi-data* RT South.

   • OrderbookUpdates:
     • The OrderbookUpdates schema contains all information Level 2 Quote that is required to build Order Book data including:
       • side = BID | ASK
       • action = Add | Update | Delete

2. Using the OrderbookUpdates data the Orderbook SP populates two tables:

   • OrderbookSnapshots:
     • The OrderbookSnapshots schema is a table of orderbook data which represents the depth of an instrument using enlisted bids and asks bucketed by the configured snapshot size.
   • Depth:
     • The Depth schema is a table of orderbook data which represents the depth of an order using values in an explicit depth column.

Both the OrderbookSnapshots and Depth tables are published back to the *fsi-data* RT South to be stored by the FSI SM.