Dear jcl, I have a few question about crypto exchanges:
1. As I can see in Zorro’s docs only Bittrex support GET_BOOK flag? All other brokers (Binnance) doesn’t support Order Flow functionality ?
2. What kind of method you implement internally for order book reconstruction: order book snapshot via REST or WinSocket? Or you use snapshot + updates from order log stream via WinSocks?
3. Can you provide C code snipet to grab live tick data + order book for later backtesting?
P.S. I still trying diagnose problem with Bittrex connection - could you add extended error handling or logging