penberg / helix

Helix, a market data feed handler for C and C++.
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ob callback filters #6

Open ghost opened 9 years ago

ghost commented 9 years ago

most of orders are of no interest to the user. i'd be interested in something what changes TOB (best bid / offer) only.

could you please create the following filter levels:

maybe it'd be easier to create two kind of filters - by price and by size or something along these lines