bigfatwhale / orderbook Goto Github PK
View Code? Open in Web Editor NEWImplementation of a orderbook data structure for LOB research capabilities.
Implementation of a orderbook data structure for LOB research capabilities.
Need to distinguish from existing limit orders. The behavior should be that we walk the price level and generate fills until we exhaust the specified volume in the market order. It will take whatever price there is and traverse up the price levels.
Introduce maybe a template class version of the veb that allows us to associate price buckets with each key.
Should be able to create orders, add to orderbook, walk the orderbook levels in Python.
Load and assert state of order book after every message line in pitch_example_data file.
Initializing the veb with a universe size of 24-bits takes tens of seconds. Can we allocate a mempool right at the start, then dish out the memory chunks to the veb as needed? Would this make it faster?
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