Building order book from NASDAQ ITCH file

chronoxor / CppTrader

High performance components for building Trading Platform such as ultra fast matching engine, order book processor

MIT License

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Building order book from NASDAQ ITCH file #2

Open pankajk opened 5 years ago

pankajk commented 5 years ago

I am not that expert in c++, so looking for example to build limit order book from ITCH file for particular ticker. It will make jobs of other people much easier.