NowQuant Book (NQBook)

Included in Project of NowQuant. An orderbook to receive and process market feed, generating features and preprocessed data. Uses streaming process techniques to implement data timestamp alignment. Use ZMQ and iceoryx to pass data to downstream component based on shared memory. Support tick data (L3 Book, in US semantics) for various assets including Chinese A-Stock, Crypto and US Stocks/Index Futures. Uses Apache Arrow to save processed data into parquet file.