The main task of data handling is to replicate the limit order book from the venues into your trading system. To combine all the different books you receive, the book builder will be in charge of gathering the prices and sorting them for your strategies.

In the following diagram, the price updates are converted by the gateway then transferred to the book builder. The book builder will use the books received by the gateways from the venues and it will gather and sort all the price updates:

In the following diagram, we use an example of an order book for a given financial product. Since we have three venues, we observe three different books:

The diagram shows the following:

• In these books, you can see for each row there is an order.
• For instance, in the bid list of Venue 1, there is a trader willing to buy 1,000 shares for $1.21. On the other side is the list of people willing to sell.
• You can expect the offer (or ask) price to always be higher than the bid price.
• Indeed, if you could buy for a smaller amount than you could sell, it would be too easy to make money.
• The task of the book builder is to get the three books from the three venues collected by the gateways. The book builder regroups the three books and sort the orders.