Market data, from feed to fair value.
A single-dimension deep review of the market data that drives your pricing and risk — how it arrives, how it forms fair value, and how the system behaves when the feed goes stale or disorderly.
Best fit
Teams whose pricing or risk decisions depend on a data path that has never been independently reviewed for staleness handling, ordering, or fair-value input quality.
Evidence standard
Methodology grounded in a working, benchmarked market-making system (prototype-proven). The review is read-only: no production access, no capital moved. Findings fold into the parent Trading Systems Diagnostic; no live-production track-record or P&L assurance is claimed.
What this review covers
- 01Feed transport and the path from raw events to the book.
- 02Fair-value inputs — micro-price, trade impact, drift — and how they combine.
- 03Variance and regime detection feeding spread and risk.
- 04Staleness and halt behaviour when the feed degrades.
- 05Ordering, gaps, and reconciliation against the venue.