jvirtanen/parity — pull request #7 by jvirtanen (2014-09-04 11:50:11+00:00)
Title: Add order book reconstruction

The order book reconstruction produces a top-of-book representation (best bid and offer, BBO) from a depth-of-book representation (DOB) of market data. It is used by parts of the trading system, such as the stock ticker, a Web application that displays a real-time view of the state of the market.