canselcik / lodax

Low latency high throughput GDAX orderbook analysis engine and trading bot

LoDax - Low Latency High Throughput Pipeline to GDAX

See here for a better demo: https://gfycat.com/gifs/detail/JitteryReasonableAdeliepenguin

• Subscribes to the authenticated websockets feed to create a Treap of asks and bids in realtime
• Utilizes the Financial Information Exchange (FIX) API instead of the REST API to leverage low latency and lenient rate limits.

Setup for the FIX API

➜  main git:() openssl s_client -showcerts -connect fix.gdax.com:4198 < /dev/null | \
                openssl x509 -outform PEM > /etc/fix.gdax.com.pem

➜  main cat /etc/stunnel/stunnel.conf
[GDAX]
client = yes
accept = 4198
connect = fix.gdax.com:4198
verify = 4
CAfile = /etc/stunnel/fix.gdax.com.pem