Multi-exchange consolidated order book in C++ (Binance, OKX, Gate.io). Integer arithmetic for tick-exact pricing. Production WebSocket handling with snapshot sync and reconnection. Publishes BBA, volume-band depth, and price-band depth via gRPC.
Real-time multi-exchange order book aggregator (Binance, OKX) in Rust. Integer arithmetic, gRPC streaming, WebSocket depth feeds. Computes VWAP, order book imbalance, and cross-venue depth analytics.
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