Order Book Aggregator

A real-time order book aggregator that connects to Binance and Bitstamp simultaneously,
merges their order books, and streams the result via gRPC.

• Order Book Aggregator
  • Quick Start
  • Architecture

Quick Start

1. Install prerequisites:

• Rust (stable): https://rustup.rs/
• protoc (Protocol Buffers compiler):

# macOS
brew install protobuf

# Ubuntu / Debian
sudo apt-get update && sudo apt-get install -y protobuf-compiler

2. Run the server:

cargo run --release -p orderbook-server

Or run with another trading pair:

ORDERBOOK_PAIR=btcusdt cargo run --release -p orderbook-server

Default runtime values:

• pair: ethbtc
• port: 50051

3. Read the gRPC stream (from another terminal):

grpcurl -plaintext -proto proto/orderbook.proto \
  localhost:50051 orderbook.OrderbookAggregator/BookSummary

Example output:

{
  "spread": 0.0000031,
  "bids": [
    { "exchange": "bitstamp", "price": 0.02973689, "amount": 0.0675 },
    { "exchange": "binance",  "price": 0.02973,    "amount": 67.24 },
    ...
  ],
  "asks": [
    { "exchange": "binance",  "price": 0.02974,    "amount": 26.22 },
    { "exchange": "bitstamp", "price": 0.02974947, "amount": 0.0675 },
    ...
  ]
}

Architecture

• crates/orderbook-lib — pure domain logic: types and aggregation rules. No I/O.
• crates/orderbook-server — application/service wiring, gRPC server (tonic),
  plus exchange transport/runtime infrastructure. Exchange-specific adapters live under src/exchanges,
  shared websocket/runtime infrastructure under src/exchange_infra.

Each exchange runs in its own task with automatic reconnection. tokio::sync::watch
ensures the aggregator always works with the latest snapshot from each exchange without
accumulating stale updates. The aggregator reacts to changes via tokio::select!
and fans out to all connected gRPC clients via broadcast.

All state is held in-memory — order book data is inherently ephemeral and only
the current snapshot has value.