Independent / Market data infrastructure
Microstructure Discovery Factory
I built a system that collects live cryptocurrency market data from multiple exchanges, stores it for analysis and checks it for gaps and errors.
How I built itOne documented FOMC event capture
- capture lanes completed
- 12/12
- order-book (L2) updates
- 653,722
- trades recorded
- 4,339,527
- displayed BTC/ETH depth contraction
- ~68%
Captured around one U.S. Federal Reserve policy announcement. Figures apply to that capture.