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

833 stars 254 forks source link

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.