The problem
Snapshots reveal market state but do not directly expose the sequence of events between observations.
My contribution
I describe the parser, pipeline, and visualisation in the accompanying implementation article. Repository history provides the inspectable record of changes and contributors.
What the work shows
A public implementation connects snapshot processing to a NATS pipeline and a browser heatmap.
Assumptions & limitations
Reconstructed changes are inferences from observed snapshots. They are not a complete exchange event history or evidence of trading performance.
What is public
Public implementation
The prototype and accompanying implementation account are public.
Connected work
- Field note · Read the engineering noteslob-proc: Reconstructing Order Flow from Snapshots →
Details the snapshot parser, streaming pipeline, and visualisation.