MOCKUP — synthetic data

# v0.11 · ITCH Replay

Did nanobook reconstruct a real exchange day correctly and quickly?

47.4M
ITCH messages reconstructed
1.2 µs
p99 end-to-end latency
0
LOB invariant failures

One full NASDAQ TotalView-ITCH 5.0 trading day (2019-01-30), replayed through nanobook's limit order book. Two questions: does it process real cancel-heavy flow fast enough, and does the reconstructed book stay self-consistent at every event?

## Latency, end-to-end

Three pipeline stages measured independently: ITCH parse → book update → strategy-to-order. Long tails come from cancel-heavy bursts.

Stage | p50 | p95 | p99
--- | --- | --- | ---
Parse | 51 ns | 89 ns | 124 ns
Book update | 152 ns | 287 ns | 431 ns
Strategy to order | 318 ns | 712 ns | 1,204 ns

## Message rate through the session

Per-second ITCH message throughput. The report should make open/close bursts visible without hiding midday calm.

## Spread distribution

Histogram of top-of-book spread in cents after each book-changing event. A healthy reconstruction clusters at one tick.

## Book reconstruction (sample)

Top-5 levels at one random timestamp during the replay. Self-consistent: monotonic prices, no crossed book, conserved volume.

Bid level | Price | Shares | Orders
--- | --- | --- | ---
1 | 104.97 | 2,400 | 8
2 | 104.96 | 5,100 | 14
3 | 104.95 | 3,800 | 11
4 | 104.94 | 7,200 | 23
5 | 104.93 | 4,600 | 15

1¢ spread
(0.95 bps)

Ask level | Price | Shares | Orders
--- | --- | --- | ---
1 | 104.98 | 1,900 | 6
2 | 104.99 | 4,300 | 12
3 | 105.00 | 6,700 | 19
4 | 105.01 | 3,200 | 10
5 | 105.02 | 8,500 | 28