Orderbook Quoter Server

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

Libraries and components

Orderbook

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 through a declarative macro
• preinitialized
• O(1) + O(EC) price point reads and writes time complexity where EC = exchange count

// previous initial linked list idea here from 2023

Depth Pool

features

• zero copy serialization for depth updates and preallocated arena through rkyv

DepthDriver

features

• concurrent network io from io uring through compio executor

ExchangeStream

features

• orderbook snap shots through http
• real time depth updates from websocket connections

Deal worker

revamp / work in progress - takes the spread and provides the best ten deals through a grpc server ...

currrently reseaching what lock free data structures and algorithms to use

Depth Generator

features

• depth update generation in many different sequences: upward, downward by hacking a brownian motion stochastic process for testing

Exchange stubs and server

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.