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Choose what aggregation should achieve
Price aggregation combines information from more than one source according to a defined policy. The objective may be a reference price, source selection, a consolidated view or a stream for a specific consumer. These are different requirements. Combining prices does not automatically create executable liquidity or guarantee that the resulting price can be traded.
Normalise before comparing sources
Align instrument identifiers, precision, contract definitions, sessions and timestamps. Compare like-for-like fields and distinguish source time from receipt time. A stale but apparently attractive quote should not win source selection merely because its bid or ask looks better.
Specify selection and outlier rules
A policy might use a preferred source with fallback, best eligible bid and ask, or another documented method. Define eligibility, freshness thresholds and treatment of anomalous values. Avoid allowing independently selected bid and ask values to produce an invalid crossed quote without an explicit handling policy.
Failover is a policy change
When a source disappears, the output may change even if distribution remains connected. Decide when to switch, whether hysteresis is required and how the transition is reported. Store source attribution so an operator can explain a price before and after failover rather than inspecting only the final displayed value.
Validate with controlled scenarios
Replay normal updates, delayed sources, session transitions, outliers and complete source loss. Verify the output and the health status separately. For a project brief, list the sources, permitted data use, required instruments and the downstream systems that will consume the aggregated result.