ATTACHED TO THIS MACHINERead the engineering record ↗
Reconstructing the market,
one event at a time.
C++20 historical Nasdaq ITCH replay and full-depth displayed order-book reconstruction. Built to reconstruct, inspect, and validate.
- 01 / THE PROBLEM
- A stream of market messages is not yet a reliable order book. Every add, cancellation and execution has to leave the right state behind.
- 02 / THE ENGINEERING
- Replay the recorded feed in sequence. Reconstruct the displayed book with price-time FIFO queues, then inspect snapshots and session audits.
- 03 / THE EVIDENCE
- 368.4Minput frames / full session20Mframe prefix / Python cross-check
Contributor-reported replay of 368.4M input frames. Separate Python comparisons cover a 20M-frame prefix and selected late-session snapshots.
Offline research software. Measurements are contributor-reported. The cabinet below is a synthetic teaching example.ASTER
✧ ✦TAKEN APART.
