Order Book Delta Encoding—Production Go Code
Stop reverse-engineering exchange delta formats. Deploy battle-tested Go source code that handles partial fills, sequence gaps, and reconnects, ready for live trading systems.
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What's Inside
- Order Book Delta Encoding Reference Implementation (Go)
- Full Source Code with MIT License
- Delta Encoding Specification
- Replay Engine with State Validation
- Integration Adapters (Binance, Kraken, Deribit)
- Comprehensive Test Suite with 50+ Test Cases
Every delta message has this structure: Byte 0: message type (1 = snapshot, 2 = incremental update, 3 = invalidate/reconnect). Bytes 1-8: sequence number (big-endian uint64). Bytes 9-16: timestamp in nanoseconds (big-endian int64). Bytes 17+: bids and asks. Bids are encoded as: count (varint), then [count] price-quantity pairs. Each pair is: price (varint), quantity (varint). Variable-length integer encoding (varint): Numbers 0-127 fit in 1 byte. 128-16383 use 2 bytes. The high bit of each byte signals "more bytes follow." This saves bandwidth on small quantities and large price deltas.
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