Limit Order Book Engine (lob-engine)
A C++ engine that reconstructs live crypto-exchange order books in real time and backtests short-horizon trading signals on the rebuilt book.
A from-scratch C++ engine that ingests live Level-2 market data from crypto exchanges (Coinbase, Kraken, Binance.US) and rebuilds the full limit order book in memory. On top of the reconstructed book sit a backtester for order-flow-imbalance signals, a passive market-making simulation with a queue-position fill model, and a short-horizon price-direction model evaluated walk-forward. I profiled and optimized the hot path — cutting per-row parse time about 6x and adding a cache-friendly flat-array book validated by a differential test against the reference — and added a live streaming pipe, Linux/Windows CI, and a zero-dependency browser dashboard that reconstructs any supported book live.