Add struct and API for books

[deepbrook]

We currently only provide the basic structs to build an HFT book. The following functions should be added to ease usage of this lib:

• Book struct and typedef, managing bids and asks, as well as limit and order_id maps.
• addOrderToBook Function
• removeOrderFromBook Function
• replaceOrderInBook Function
• Tests for these methods and structs in the CuTest test suite.

[danishdynamic]

Hi @deepbrook , I’m interested in implementing the addOrderToBook and removeOrderFromBook functions mentioned here. Since this issue is from 2018, I wanted to check if this is still a priority for the project or if anyone is already working on it?

If it’s still needed, I’d be happy to open a PR with the implementation and CuTest cases.

Thanks!

[deepbrook]

Hey @danishdynamic !

Thanks for reaching out and offering to help!

Ill be honest: I haven't used - or even looked at - this project in over 5 years 😅 that doesn't mean you can't contribute of course 😊 Just managing expectations 😄 Im always surprised to see people starring it.

So, feel free to open a PR!

[danishdynamic]

Thanks @deepbrook for the heads-up and for being open to contributions! I mean its HFT orderbook every aspiring quants dream that's why people watch 😆 and yes also the fact it has C and python interactivity, which makes it even more interesting.

I’ll take a look and open a PR if I can make something useful. 🙂

[danishdynamic]

Hi @deepbrook , I have submitted a Pull Request #30 that adds enhancement that

• Creates Book
• addOrderToBook
• removeOrderFromBook
• replaceOrderInBook
• Created tests in Cutest
• Also improved the Readme.

Ready for review!

[deepbrook]

Very cool, thank you!

Ill make sure to review it asap 😊