Builds a live orderbook from http snapshots from N configurable exchanges and then updates the orderbook through soft real time websocket depth updates. After a update the best ten asks and bids aswell as well as the spread are provided through a grpc server endpoint
features
no_std- flattened stack only hashmap where each price point (or level) is a key and its value is a array of exchange liquidity nodes
- contiguous
- precompile configurable fixed sized array level length by exchange connectivity count
- preinitialized
O(1) + O(EC)price point reads and writes time complexity whereEC=exchange count
// previous initial linked list idea here from 2023
features
- zero copy serialization for depth updates preallocated arena
- preallocated arena
features
- concurrent network io from
io uringthroughcompio'sexecutor
features
- asynchronous
- orderbook snap shots through http
- real time depth updates
revamp / work in progress - takes the spread and provides the best ten deals through a grpc server
features
- depth update generation in many different sequences: upward, downward by hacking a brownian motion stochastic process
Provides both HTTP and websocket endpoints for depths. Leverages depth generator as a dependency.
Dockerized exchange stub for full integration testing. Leverages exchange stub as a dependency.