Data Aggregation Layer Best Practices

Architecture

Data aggregation layers serve as the foundational middleware between fragmented liquidity sources and derivative execution engines. Robust designs prioritize modularity, ensuring that stream processing components remain decoupled from order matching logic to maintain high system throughput. Engineers must implement fault-tolerant pipelines to reconcile asynchronous price feeds from multiple decentralized exchanges, minimizing the structural latency inherent in cross-venue arbitrage.