Orderbooks is one of the most important things for quantitive trading. It gives you not only the best bid/ask prices and their corresponding quantities but also the depth of the whole market, i.e. the quantity that people want to buy or sell at every price level. Traders watch orderbooks closely to determine how to place orders. Numerous quantitative models were developed to track and predict the dynamics of orderbooks to help predict market price and make profit. In this article, we demonstrate how to obtain orderbooks of our cryptocurrency trading pairs through APIs and maintain them efficiently.
This is a companion discussion topic for the original entry at https://coinut.com/posts/how-to-bulid-coinut-com-orderbook-in-realtime/