Someone asked us a question recently — “Why should algo traders and market data consumers obtain crypto market data from XTRD instead of taking it from other vendors or directly from exchanges? How exactly is XTRD adding value?”

Our market data farm is built to optimize messaging flow. As long as most of the exchanges are using REST API even for market data, it means that you have to deal with full order book snapshots. Ok… strange things happen and some FX ECNs are also sending snapshots — but this is always limited by 5, max ten price levels! Things are really funny in crypto. Full order books might contain 2000 or more price levels on each side! These ridiculously huge “monster” data elements consume network, memory and CPU resources.

With some of the crypto exchanges this might “cost” you 20 GB per hour.

It’s obvious that most of the changes happen close to the middle of the book, where best bids and asks reside. The XTRD system is built to optimize data output flow so clients will see only the actual changes. Instead of sending 4000 (2000 bids and 2000 asks) price levels every time, XTRD will only send a small portion — the “new” data.

Speaking of numbers — one hour of BTC/ETH in native exchange formats is 960 GB, same data in FIX 4.4 with XTRD optimization is 5(!!!) MB (and we even did not apply compression!).

You might say that CPUs, network, and memory is cheap today. But I’m considering trading as a war. Like in any war, the winner is not the guy in the shiniest armor. It’s usually someone who can act smarter, faster, and more efficiently using the right tools to achieve his goals. The British longbow vs French cavalry at Agincourt is a prime example.