SuperBook

The Wombat "SuperBook" aggregated order book engine provides a distributed solution for consolidating quotes or order books where stocks are traded across multiple exchanges.

Market data order books have become available from an increasing number of sources. Aggregation of order books across sources that provide non-overlapping data is quite straightforward and may be performed in end-applications with relatively simple logic. However, when order books from distinct sources contain data that include some duplicate data, aggregation across such sources becomes quite complex. SuperBook centralizes the logic of processing order books containing overlapping data, along with additional functionality to handle various failure scenarios. It then generates a consolidated book data feed with all the standard features available with PAPA applications including: streaming and snapshot data, subscription management, initial values, caching and fault tolerance.

A whitepaper describing the Wombat SuperBook product in more detail can be provided on request.