Market Data Infrastructure at Scale: Ingesting, Normalising, and Distributing Real-Time Financial Data
Every trading system ultimately depends on one thing: market data. Get it late, get it incomplete, or get it wrong, and everything downstream — order routing, risk checks, pricing models, backtesting — is compromised. Yet market data infrastructure is the least glamorous and most under-invested part of most trading platforms. Firms spend millions on execution algorithms and risk models while running market data through a decade-old, single-threaded ticker plant that drops packets when volume spikes. Market data pipelines at trading firms exhibit a consistent pattern: the existing system works at normal volumes, fails silently during market events, and data gaps go undetected until a trade breaks. The fix is not a faster machine. It is an architecture designed for the scale, diversity, and reliability requirements of modern trading. ...