Audit engine definition

[featherenvy]

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