Library term·FinTech & data science
WebSocket Order Book Streaming in Node.js — Backpressure & Snapshot+Delta
Initial snapshot integrity, delta application, memory bounds, slow consumer shedding and binary vs JSON choices.
Authored by·Editorially reviewed
Onur Erkan YıldızFounder, Financial Engineer · CMB-licensed
Higher education in Financial Engineering and Money & Capital Markets. SPK (Turkey CMB) licence. 16 years across institutional markets, research, and quant-driven analytics.
Correctness path
Start from REST snapshot or snapshot message, then apply incremental deltas with sequence monotonicity checks — drop or resync on gap.Backpressure
If client socket buffers bloat, pause or disconnect — never queue unbounded depth updates in RAM.Encoding
JSON convenient; binary SBE-style frames lower CPU at scale.Finvestopia
Live tape screens echo these operational realities — depth is a flow, not a static table.Related entries
Node.js + Redis Sub-Second Financial Price Cache Architecture
Pub/sub fan-out, TTL discipline, stampede shields, Redis cluster trade-offs — honest staleness SLAs for market data.
Rate Limiting Market Data APIs — Consumer & Provider Perspectives
Token bucket, exponential backoff with jitter, per-tenant fairness and abuse containment for websocket farms.
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