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roq-trading / roq-issues

Issue tracker for Roq's software solutions.
https://roq-trading.com/
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[roq-market] Issues with create limited depth updates #453

Closed thraneh closed 6 months ago

thraneh commented 6 months ago

Binance updates are throttled and fairly complex. The existing logic to create a limited depth update from full depth update was faulty for certain scenarios.

The solution was a complete rewrite including simplifications.