Orderbook Challenge

Code challenge to implement a simple orderbook aggregator that takes the top 10 orders from 2 crypto exchanges and exposes a grpc endpoint which streams the sorted and merged orderbook and spread.

Running

Server: PAIR=ethbtc cargo run --release --example server
Client: cargo run --release --example client

Docs

You can generate documentation by running doc.sh, it will automatically open in a browser tab (on systems with xdg-open).

Profiling

You can generate a flamegraph profile of the server by running profile.sh, it requires that you have previously ran cargo install flamegraph.

Testing

Run cargo test to execute unit tests.

Decision Notes

Pairs are not validated, neither Bitstamp nor Binance return errors when a provided trading pair is invalid, the solution could be a local dictionary of pairs but I thought it would be unnecessary.
The parsers assume that the websocket endpoints provide a sorted orderbook, this is checked in debug mode but not in release mode.

Next steps

If this was a production system, I would take the following steps to improve it:

Integration testing with mock ws endpoints.
Performance tracing for end-to-end latency.
Switch to a local orderbook and diff based processing. This should only be done once the previous step is finished because switching to diff based processing greatly increases complexity, especially in the retry logic, and in order to know if it is worth it, we need the tracing system to measure the improvement.
Dependency audit.
Structured logging and metrics.
Many more cycles of measure->investigate->optimize.