Ruize Ren
Sessions
VLLimitOrderBook.jl is a package written in Julia that simulates order book dynamics and matching for equities, options, and cryptocurrency orders. The orders in the book are stored in an AVL Tree data structure and prioritized based on price and time.
Historical data is useful in the financial industry, particularly for back-testing trading strategies. However, a single machine can't store real-time data for even a single ticker symbol. Thus, constructing a distributed scalable computer system to persist real-time financial data requires time and a significant financial commitment. Using cloud computing services reduces this barrier. This talk describes a real-time cloud-based financial data streaming and storage system implemented in Julia.