https://inorderly.com/tags/market-data/ Recent content in Market Data on Inorderly.com Hugo en-us Sun, 18 Oct 2026 00:00:00 +0000 https://inorderly.com/merging-two-lossy-market-data-feeds-into-one-tick-stream-with-exact-gaps/ Sun, 18 Oct 2026 00:00:00 +0000 https://inorderly.com/merging-two-lossy-market-data-feeds-into-one-tick-stream-with-exact-gaps/ <p>Exchanges send market data twice, over two lines usually called A and B. Each line drops a packet now and then, and rarely the same one. Take both, keep the first copy of each tick, and you get a fuller feed than either line alone. That&rsquo;s the theory. The merge code is where it gets awkward.</p> <p>This worked example sends 150,000 ticks for three symbols over two lines. Each line loses about 2% of its ticks at random. Line A also goes quiet for four seconds and line B for three, at different times. Line B runs a few milliseconds behind A. In the end 143,458 ticks came on both lines, and 84 came on neither.</p>