D01-F05 guided lab · synthetic data

Multi-Venue Best-Quote and Book Consolidation

Consolidation is an as-of policy over complete venue states. Select eligible, non-stale books, aggregate exact levels, then derive local best prices.

Scenario purpose

Decision boundary: This educational local view is not a universal SIP NBBO implementation; plan eligibility, odd lots, quote conditions, clocks, and protected status require current specifications.

State

Feed state sequenceFour labeled stages from provider input through validated state to a D11 handoff.inputvalidatestateoutput

Step
RuleQ_side(p) = sum of eligible venue quantities at exact price p; best bid = max bid p; best ask = min ask p
D11 handoffD11-F03-A02 — Queue Imbalance; D11-F04-A03 — Microprice

Current synthetic input