joshuacarter/proxima

code challenge work

How to run

• Run npm install.
• Run npm start {BTC quantity}.
• See console output for results.

Proposed solution to the partial update problem

• Begin continuous buffering of updates
• Get orderbook snapshot A
• Get orderbook snapshot B
• Subtract A from B, giving us a "delta snapshot" X
• Combine updates into a "delta snapshot" Y
• Subtract X from Y, giving us "margin snapshot" M
• For each price/quantity
  • Where M is 0, we are in sync
  • Where M is same magnitude as in X, discard update from X
  • Where M is same magnitude as in Y, discard update from Y
  • Where M is same magnitude as in Y and X, discard update from X and Y