Audit engine definition #3
Description
The audit engine monitors the market and trading activity to spot potential issues.
Some potential features:
- Audit orderbook from market data engine - does it match up with snapshot using REST API? When orderbooks streamed using WS connection, they might get out of sync when messages are dropped or arrive out-of-order.
- Audit recorded private trades - do we have all private trades recorded (match up against other endpoints)
- Audit balances against orders and trades
- Compute PnL