Trading System

A data acquisition pipeline for exchange orderbook data, written in C++23.

Right now it does one thing: it connects to Kraken's L2 book channel and copies every message the venue sends, unchanged, into a text file.

Layout

• data_feed/ — the acquisition program (CMake project).
• example_scripts/ — standalone helper scripts (e.g. fetching a Kraken websocket token from Python).
• third_party/ — vendored headers (rapidjson) and the vcpkg install tree.
• _unused/ — gitignored holding area for parked code (orderbook, websocket broadcast server, frontend, protobuf definitions). Not built.

What it records

The values are hardcoded in data_feed/source/main.cc:

Setting	Value
Venue	wss://ws.kraken.com/v2
Channel	book
Symbol	BTC/USD
Depth	10
Output	kraken_l2_messages.txt

Each frame received after the subscription is acknowledged is written as one line of raw JSON: the initial snapshot, updates and heartbeats. The file is opened in append mode, so each run adds to it. The file is created in the working directory, and each line is flushed as it is written.

The connection status message and the subscription acknowledgement are consumed during Connect() and printed to the console. They are not written to the file.

Requirements

• CMake 4.0+, Ninja, MinGW-w64 GCC (see data_feed/CMakePresets.json)
• vcpkg with VCPKG_ROOT set; dependencies are pinned in vcpkg.json
• Kraken API credentials in the environment:
  • KRAKEN_API_KEY
  • KRAKEN_PRIVATE_KEY

Build and run

From data_feed/:

cmake --preset mingw
cmake --build --preset debug      # or: --preset release
./build/Debug/data_feed.exe

Stop with Ctrl+C.