Description#

This is a framework for tracking generic limit order books and applying a variety of pricing mechanisms.

Goals#

• Track any asset's orderbook in real time
• Be able to roll back to any previous point in time
• Be fast
• Be lossless
• Have a modular solution to pricing models

Reasons#

I thought it might be a good idea to have a pluggable solution to handle limit order books, as there really isn't anything resembling what I want in the broader open source marketplace.

With any luck I will have the opportunity to work on research related to orderbooks, and I think it wise to prebuild the tools I'll need for that ahead of time.