ayushm74/binance-lob-capture

This project is a C++ program for recording live market data from Binance, the cryptocurrency exchange, so that trading data can be studied or replayed later without needing an internet connection. It connects to Binance's public data feeds, which stream price updates and trade events as they happen, and saves every single message it receives to plain CSV files that can be opened directly in spreadsheet or data analysis tools like pandas. Internally, each currency pair being tracked gets its own pair of threads: one thread does nothing but read from the network and timestamp each incoming message the instant it arrives, while a second thread handles the slower work of writing files to disk and updating an internal record of the current best prices being bid and offered, known as the order book. Splitting the work this way keeps the disk writing from ever slowing down or delaying the network reading. Two kinds of output files are produced per currency pair per day, one recording every raw message received and one recording the order book state after each update is applied. The program can also run in a replay mode, reading a previously saved file back in and simulating the same processing pipeline entirely offline, which is useful for testing changes without needing a live connection to Binance. The project supports both Windows and Linux, with build instructions using CMake for each, and depends on a small number of established libraries for networking, encryption, and reading configuration data. It includes an automated test suite and shuts down cleanly on Ctrl+C, making sure files are flushed and queues are fully drained before the program exits.