kraken-book

High-performance orderbook engine

Overview

kraken-book is the core orderbook engine. Zero async dependencies. Compiles to WASM.

[dependencies]
kraken-book = { git = "https://github.com/hitakshiA/Havklo_sdk" }

L2 Orderbook

use kraken_book::Orderbook;

let mut book = Orderbook::new("BTC/USD", 25);

// Apply snapshot
book.apply_snapshot(snapshot)?;

// Apply deltas
book.apply_delta(delta)?;

// Query
let bid = book.best_bid();
let ask = book.best_ask();
let spread = book.spread();

// Validate
let valid = book.validate_checksum(expected);

L3 Orderbook

use kraken_book::l3::{L3Book, L3Order, L3Side};
use rust_decimal_macros::dec;

let mut book = L3Book::new("BTC/USD", 1000);

// Add orders
let order = L3Order::new("order_123", dec!(67000), dec!(1.5));
book.add_order(order, L3Side::Bid);

// Queue position
if let Some(pos) = book.queue_position("order_123") {
    println!("Position: {}/{}", pos.position, pos.total_orders);
    println!("Volume ahead: {}", pos.volume_ahead);
}

// VWAP
let vwap = book.vwap(L3Side::Ask, dec!(10.0));

Performance

Operation	L2	L3
Best bid/ask	1 ns	1 ns
Spread	3.5 ns	3.5 ns
Apply delta	~100 ns	~150 ns
Queue position	-	~30 ns
VWAP (1 BTC)	-	28 ns

WASM Build

cargo build --target wasm32-unknown-unknown -p kraken-book

No special configuration - it just works.