cpp-binance-orderbook 0.0.3

Orderbook implementation using Pybind11 and C++

Binance Unfazed

C++ Binance OrderBook that You can embed in Your python code! Simulate whole market day of 3,389,470 OrderBookEntry in 109ms*

*Ran on i9-13980hx

installation

pip install cpp_binance_orderbook

import cpp_binance_orderbook

def orderbook_callback(best_bid, best_ask, mid_price, orderbook_imbalance):
    # ...
    a, b, c, d = best_bid, best_ask, mid_price, orderbook_imbalance

if __name__ == '__main__':

    csv_path = "C:/Users/daniel/Documents/binance_archival_data/binance_difference_depth_stream_usd_m_futures_trxusdt_25-03-2025.csv"

    orderbook_session_simulator = cpp_binance_orderbook.OrderbookSessionSimulator()
    orderbook_session_simulator.processOrderbook(csv_path, orderbook_callback)