Whats is the HFT-Orderbook's main use ? about hft-orderbook HOT 5 CLOSED

Closing this, moved to gitter :)

from hft-orderbook.

Hey @samholt ,

glad to hear you like it!
Regarding its use, it was actually just a C excercise. Using it to compile a cross-exchange book would be a use case for it indeed. Coming from crypto, the difficulty with that is though, that it requires an order ID for every order.
While some exchanges provide that, many of them do not (some do not even provide level3 book data) - which makes order tracking difficult this way. Which is why my systems usually only track level 2 books and disregard granular order specifics.

That's an entirely different scenario, of course, for "proper" financial instruments. Being what it is, crypto is still very much in its baby shoes.

What type of collaboration did you have in mind?

Cheers,

Nils

btw: Pardon that I didn't mail you instead of replying here - I'm currently abroad and it appears my mail service is being blocked.

from hft-orderbook.

Excellent,

Currently extending https://github.com/ccxt/ccxt, to implement Websocket's for all the exchanges that support it. Interested in your previous work on your Websocket's for: https://github.com/nlsdfnbch/bitex. Would you be interested in helping us port it over to ccxt, and begin to integrate all the api functionality alongside the other 90 exchanges, with the active dev team.

from hft-orderbook.

Absolutely!
Although I would like to point out that the websockets were a beta, which since then hasn't been improved. Especially the bitfinex one should perhaps be replaced.

I have had a look at ccxt in the past and was quite impressed!

from hft-orderbook.

Do you have a slack or gitter channel on which we could discuss the implementation?

from hft-orderbook.