Purpose:
- Real-time market data processing library from Exchanges (Binance, Bitfinex, etc.)
- Order book state management
- Market statistics calculation
- Data distribution for trading strategies
Tech Stack:
- C++20
- Boost.Beast/ASIO (WebSocket)
- nlohmann/json
- spdlog
- CMake
- Google Test
- Google Benchmark
Core Features:
- Market Data Collection
- WebSocket connection management
- Multi-symbol support
- Order book updates
- Trade data processing
- Data Processing
- Real-time order book maintenance
- Price/volume analytics
- Market depth tracking
- Event-driven architecture
- Performance Metrics
- < 100μs processing latency
- 10K+ messages/second
- Memory-efficient design
- Low CPU usage
- Scalable architecture
- High availability