limitbookLive demo

NASDAQ TotalView-ITCH 5.0 is the exchange's binary market-data feed: every order added, executed, cancelled, and replaced, broadcast as a stream of tightly packed big-endian records with no padding and no self-description. A single trading day is 268,744,780 messages — 3.5 GB gzipped, 8.25 GB decompressed. limitbook parses that feed and reconstructs the full limit order book from it.

Zero-copy parsing means the decoder never allocates and never copies: each message is a view over the caller's byte slice, with fields read in place. The payoff is not only speed but placement — the core crate, limitbook-core, is no_std with no file or OS I/O at all, so the same parser that chews through a day on the CLI also targets wasm32-unknown-unknown without modification. The workspace splits into limitbook-core, limitbook-cli, and limitbook-wasm along exactly that line.

The bar for this project was correctness, not throughput. Anyone can parse quickly if the book is allowed to drift. limitbook's standard was replaying the entire day and finishing with zero invariant violations — no crossed book, no negative quantities, no orphaned order IDs, no reference-count leaks — and only then asking how fast it went.

These four numbers measure four different pipelines and conflating them would be meaningless, so each is labelled with exactly what it includes. The gap between parse-only and parse-plus-book is the finding: the book dominates by more than an order of magnitude, so the parser was never the thing worth optimising.