Rust expert to write a piece of code to maintain a L2 orderbook from Coinbase Pro's websocket
min €36 EUR / hour
Closed
Posted almost 4 years ago
min €36 EUR / hour
I'm looking for someone to write a piece of Rust code that can maintain the state of an orderbook with Coinbase Pro's websocket: [login to view URL]
Performance is very important here. The process needs to include:
- A way of subscribing and consuming data from the orderbook websocket.
- Handling any websocket errors.
- Build, maintain and update the orderbook (price and quantity at each level) on each websocket update as quickly as possible. The orderbook needs to be in a structure where we can walk up and down the prices easily (i.e. from the lowest ask price upwards and from the highest bid price downwards).
- (Ideally) some performance metrics - how long does it take after each websocket update to finish maintaining the book? How much memory does this use? How many updates can it handle per second?