https://github.com/pprunty/clunk
clunk
https://github.com/pprunty/clunk
coinbase-api cpp17 high-performance-computing order-book trading
Last synced: 3 months ago
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clunk
- Host: GitHub
- URL: https://github.com/pprunty/clunk
- Owner: pprunty
- License: mit
- Created: 2025-02-11T13:11:51.000Z (4 months ago)
- Default Branch: main
- Last Pushed: 2025-03-14T14:27:42.000Z (3 months ago)
- Last Synced: 2025-03-14T15:36:31.723Z (3 months ago)
- Topics: coinbase-api, cpp17, high-performance-computing, order-book, trading
- Language: C++
- Homepage:
- Size: 49.8 KB
- Stars: 1
- Watchers: 1
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# Clunk: High-Frequency Trading Order Book Visualizer
C++ Low-Latency Unified Networked Orderbook Kit
Microsecond-level order book processing for professional quantitative trading
## Overview
Clunk is a high-performance order book visualization system designed for quantitative trading applications. Built with C++ for optimal performance, Clunk connects to exchange market data feeds and provides real-time analysis with professional trading metrics.
### Key Features
- **Low-Latency Processing**: Built with C++ for microsecond-level processing times
- **Real-Time Market Data**: Direct connection to Coinbase exchange market data feeds
- **Advanced Market Microstructure Metrics**:
- Order book imbalance analysis
- Market pressure indicators
- VWAP (Volume-Weighted Average Price)
- Liquidity depth measurements
- Price impact estimation
- Spread analytics (absolute and basis points)
- **Performance Analytics**:
- Update frequency metrics
- Processing latency measurements
- **Visual Change Detection**: Color-coded highlighting of price and size changes for tick-by-tick visualization
- **Cross-Platform**: Runs on macOS, Linux, and Windows
## Screenshots
## Market Metrics Explained
For quantitative traders, Clunk provides essential metrics to inform trading decisions:
| Metric | Description | Trading Significance |
|--------|-------------|----------------------|
| Order Book Imbalance | Ratio of bid volume to ask volume | Values above 1.0 indicate higher buying pressure; useful for predicting short-term price movements |
| Market Pressure | Normalized (-1.0 to 1.0) representation of order book imbalance | Positive values indicate buying pressure; negative values indicate selling pressure |
| Spread (bps) | Bid-ask spread in basis points (1bp = 0.01%) | Key liquidity indicator and cost metric for market makers |
| Liquidity Depth | Available volume within 0.5% of best bid/ask | Provides insight into market depth and potential slippage |
| Price Impact | Estimated price movement from a 1% market order | Useful for determining optimal order sizes and estimating execution cost |
| VWAP | Volume-Weighted Average Price for bids and asks | Important benchmark for algorithmic trading strategies |
## Quickstart Guide
### Installation Requirements
- C++17 compatible compiler
- CMake 3.15 or higher
- vcpkg package manager
- Boost libraries (installed via vcpkg)
- nlohmann_json (installed via vcpkg)
- OpenSSL (installed via vcpkg)
### Clone and Build
```bash
# Clone the repository
git clone https://github.com/pprunty/clunk.git
cd clunk
# Initialize vcpkg (if needed)
git clone https://github.com/Microsoft/vcpkg.git
./vcpkg/bootstrap-vcpkg.sh
# Build the project
make build
# Run with default symbol (BTC-USD)
make run
# Run with a specific symbol
make run-sym SYM=ETH-USD
```
### Command-Line Options
```
Usage: clunk [OPTIONS]
Options:
-h, --help Display this help message
-s, --symbol SYMBOL Trading symbol (default: BTC-USD)
-d, --depth DEPTH Order book depth to display (default: 10)
-r, --refresh RATE Refresh rate in milliseconds (default: 500)
-v, --verbose Enable verbose output
-c, --no-color-changes Disable highlighting of price/size changes
-t, --highlight-time TIME Duration to highlight changes (default: 2 refreshes)
```
### Examples
```bash
# Run with ETH-BTC symbol and 15 levels of depth
./build/clunk -s ETH-BTC -d 15
# Run with faster refresh rate (200ms)
./build/clunk -s BTC-USD -r 200
# Run with more verbose logging
./build/clunk -s BTC-USD -v
```
## Technical Architecture
Clunk is designed with a focus on performance and modularity:
- **Feed Handlers**: Extensible system for connecting to different exchange APIs
- **Order Book**: High-performance price-time priority order book implementation
- **Visualization**: Real-time console-based visualization with microsecond-level metrics
### Performance Benchmarks
| Metric | Value |
|--------|-------|
| Order Processing Latency | <100 μs (average) |
| Order Book Update Rate | >10,000 updates/second |
| Memory Footprint | <50MB for standard market depth |
## For Quantitative Trading Teams
Clunk was designed with professional quantitative trading applications in mind. Key applications include:
- **Market Microstructure Analysis**: Study order flow patterns and market dynamics
- **Algorithm Development**: Test and visualize trading strategies in real-time
- **Liquidity Analysis**: Assess market depth and available liquidity
- **Trading Signal Generation**: Use order book imbalance and market pressure as signals
- **Execution Quality Analysis**: Evaluate trading costs and market impact
## Commands
- `make build` - Build the project
- `make run` - Run with default symbol (BTC-USD)
- `make run-sym SYM=ETH-USD` - Run with a specific symbol
- `make test` - Run the tests
- `make benchmark` - Run the benchmarks
- `make clean` - Clean the build directory
## License
MIT License
## Contributing
Contributions are welcome! Please feel free to submit a Pull Request.