/spreadget

Primary LanguageRust

spreadget: Get the spread from two exchanges and publish as gRPC

  • connect to two exchanges' websocket feeds simultaneously
  • pull the current order books over those streaming connections for a given traded market, from each exchange
  • merge and sort the order books to create a combined order book
  • from the combined book, publish the spread (top 10 bids and asks) as gRPC stream

CLI Interface

spreadget 0.1.0

USAGE:
    spreadget [FLAGS] [OPTIONS] [symbol]

FLAGS:
    -h, --help       Prints help information
        --tui        Run a TUI dashboard instead of showing log output
    -V, --version    Prints version information

OPTIONS:
    -a, --address <address>    Address on which to serve gRPC streams of order books [default: 0.0.0.0:54321]

ARGS:
    <symbol>    Market symbol to examine [default: ethbtc]

Logging

This program logs events of interest, as configured by env_logger. See that documentation for examples of how to configure the log filters. For basic use sufficient to see incoming order books, use

$ RUST_LOG=info cargo run --
...
[2022-03-24T20:40:56Z INFO  spreadget] aggregator received new order book data from binance
[2022-03-24T20:40:57Z INFO  spreadget] aggregator received new order book data from binance
[2022-03-24T20:40:57Z INFO  spreadget] aggregator received new order book data from binance
[2022-03-24T20:40:57Z INFO  spreadget] aggregator received new order book data from binance
[2022-03-24T20:40:57Z INFO  spreadget] aggregator received new order book data from bitstamp
[2022-03-24T20:40:57Z INFO  spreadget] aggregator received new order book data from binance
[2022-03-24T20:40:57Z INFO  spreadget] aggregator received new order book data from bitstamp

Testing

The simplest way to observe the full system behavior is to use two terminals. In the first, we run spreadget:

RUST_LOG=info cargo run -- --address '0.0.0.0:54321'

In the second, we can use the grpcurl tool to observe the output:

grpcurl -plaintext -import-path src -proto orderbook.proto 127.0.0.1:54321 orderbook.OrderbookAggregator/BookSummary

Note that grpcurl requires access to the .proto definition in order to function properly. If not running from within the spreadget root directory, adjust the -import-path argument appropriately.

TUI

When built with feature ticker (enabled by default), the executable gains a --tui flag. This flag, when set, enables a dashboard which streams the most current summaries via gRPC.

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