Data Schema Harmonization

Data schema harmonization is the process of mapping disparate data structures into a single, standardized format to facilitate seamless integration and analysis. In the context of multi-exchange crypto trading, this is essential because each venue reports trades, order books, and funding rates differently.

Harmonization involves creating a master schema that captures the core essence of the data while discarding exchange-specific noise. This allows quantitative analysts to build models that are agnostic to the source of the data.

It is a massive data engineering challenge that requires constant maintenance as exchanges update their APIs. A well-harmonized dataset is the backbone of any professional trading firm's analytical capability.

It ensures that signals derived from one market are comparable to those from another.