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ob's Introduction

Setup

Running

You can compile & run this project using cmake & make.

Simply run cmake . in the root project directory to generate a Makefile, and then run make -- this will output an executable named depthify that outputs the price-depth snapshot of the orderbook every time an order event warrants a change in the first n levels on the bid or the ask side.

You can then use it by passing in the exchange stream into the stdin of the process, and passing a number as a command line argument; for example, to output (to stdout) the first five levels changing for input1.stream:

cat input1.stream | ./depthify 5

TL;DR

In the root of your directory:

cmake .
make
cat <stream_name> | ./depthify <depth>

You can also see the human-readable exchange order information on stderr by setting the DEBUG environment variable to true.

viv

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