We were asked to provide level 1 and level 2 market data from BATS CHIX for a client who wanted to display equity prices to its users. Unlike other providers, BATS CHIX didn't provide a simple top level price feed, but
instead would send every order in the book. We would need to calculate the top level bid and offer prices using all the orders for a each instrument. This would require us to process tens of thousands of updates per second.
Our app connected to the exchange, and received every order for every instrument during each trading day. It maintained a picture of the top of book and full depth, and delivered updates to the end users depending on their specific view.
Our solution was able to process the full day's orders in 7 minutes - an average of 142,857 updates per second
Users are able to view real-time bid and offer prices for all instruments on the BATS CHIX exchange as well as see the detailed level 2 order book.