{"repo":"phil8192/limit-order-book","free":true,"listed":false,"github":"https://github.com/phil8192/limit-order-book","clone":"git clone https://github.com/phil8192/limit-order-book.git","description":"Bitstamp real time console based limit order book","language":"Java","stars":138,"topics":["bitcoin","trading","limit-order-book"],"license":"GPL-3.0","category":"trading","readme_excerpt":"Limit Order Book ================ Warning Very rough code, thrown together very quickly in order to study limit order book dynamics/market microstructure. It is so rough in fact, that I will probably re-code it. Much of the mess is the result of various issues encountered along the way, most notably: - Missing data: bitstamp's event stream frequently omits data which results in complicated order life-cycle management. - Unordered data: data frequently appears out of order. For example, a cancel event followed by an add event. Besides the code, the tool does however work and is quite usable. Overview This is an implementation of a Limit Order Book). It has 2 modes of operation: 1) It continuously reads from a stream of buy/sell order events (new order, modify order, cancel order) to produce a diabolical ascii chart of order book depth along with time and sales. 2) It can re-construct an order book from archived order book events. In both cases, a log file is kept from which 225 indicators can be extracted into a csv file with the supplied script (see running instructions). The intention of this project was simply to derive this .csv file for use elsewhere, hence the mess. I intend it to be a starting point for something better. I do not have access to Level 2 quotes for a traditional ECN (typically this is very expensive due to the sheer volume of data and the potential advantage it can provide). So this implementation is based on data from Bitcoin exchanges, specifically stre","default_branch":null,"files":null,"tree":[],"storefront":"/r/phil8192","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/phil8192/limit-order-book/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}