lob-stream

A real-time LOB (live order book) reconstruction tool written in pure C, using WebSockets to stream live market data from centralized exchanges like Binance.

Features

• Real-time LOB Assembly: Reconstructs the order book from WebSocket depth update streams
• Live Display: Prints the top-of-book levels to the screen in real-time
• Data Persistence: Writes LOB snapshots to local CSV files in LOBSTER format
• Efficient Hash Table Management: Uses uthash for O(1) hash table operations on price levels
• REST API Integration: Fetches initial depth snapshots via Binance REST API, then applies delta updates from WebSocket streams

Compilation

clang -o lob-stream ini.c lob-stream.c -v -L/usr/local/lib -I/usr/local/opt/openssl/include -Wall -Wextra -lwebsockets -lcurl -lcjson -pthread

With address sanitizer for memory debugging:

clang -o lob-stream ini.c lob-stream.c -fsanitize=address -L/usr/local/lib -I/usr/local/opt/openssl/include -Wall -Wextra -lwebsockets -lcurl -lcjson -pthread

Configuration

Edit config.ini to set WebSocket connection details and asset parameters:

• port: WebSocket server port
• address: WebSocket server address
• path: WebSocket stream path
• depth_snapshot_url: REST API endpoint for initial depth snapshot
• symbol: Trading pair (e.g., BTCUSDT)
• stream: Stream type (e.g., FUTURES, SPOT)
• num_levels: Number of price levels to track

Dependencies

• uthash (https://troydhanson.github.io/uthash/) - Hash table library for O(1) price level lookups
• libwebsockets (https://libwebsockets.org) - WebSocket client library
• cJSON (https://github.com/DaveGamble/cJSON) - JSON parsing
• libcurl - HTTP client for REST API calls
• POSIX threads (pthread) - Multi-threaded processing

Memory Analysis

To check for memory leaks:

leaks -atExit -- ./lob-stream > report.txt