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market-microstructure

C++ market data feed handler library: live Binance and Coinbase WebSocket trades, Binance/Coinbase/Alpaca/Polygon trade normalization with exact decimals, lock-free SPSC ring, OHLCV bars, order books, feed health, OFI and VPIN. C++17 header + C API over the fin-stream Rust core, prebuilt, CMake FetchContent.

Python crypto WebSocket market data: live Binance and Coinbase trades, Binance/Coinbase/Alpaca/Polygon trade normalization with exact decimals, OHLCV bars, order books, feed health, order flow imbalance (OFI) and VPIN. Rust core (fin-stream), prebuilt wheels, pip install fin-stream.