Deribit Multicast Feed Design and Order Book Synchronization

Summary

The document introduces Deribit’s multicast market data feed for clients colocated or cross-connected in Equinix LD4. It describes delivery in UDP packets encoded with Simple Binary Encoding, the intended low-latency and bandwidth-conscious design, and the availability of a Wireshark dissector. Access requires network configuration, including an IGMP join for cross-connected clients; the exchange says it does not use PIM. The initial development feed covers selected USDC perpetual data, with broader production coverage planned subject to client feedback.

The operational guidance focuses on building a reliable order book. Clients can obtain an initial state from either a public order book request or multicast snapshots, but should buffer incremental events while snapshots are collected and processed. Snapshot collection is asynchronous, so its change identifier may lag events already received; clients should queue changes to reconcile the sequence. The document also notes stable instrument identifiers and explains why price and amount fields use doubles rather than fixed-position decimals. It is an exchange-specific integration note, not a trading strategy or evidence of improved execution outcomes.

Key ideas

• The feed delivers market data as UDP multicast packets encoded with Simple Binary Encoding.
• Cross-connected clients need to join the relevant multicast groups to receive the feed.
• Initial order book snapshots should be reconciled with buffered incremental events because snapshot collection is asynchronous.
• A snapshot’s change identifier may lag events that the client has already processed.
• The exchange explains that variable decimal positions across instruments motivate its use of double fields.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.