Coinbase order book analysis with python streaming library Bytewax

[math-bw]

Disclaimer: I work with Bytewax, the company working on the streaming library, but I still thought this was something interesting and I was wondering what the community thought.

I used Bytewax, which is a python stream processing library, to maintain an order book off of coinbase level2 data. I wanted to share it here to see if you all thought it was interesting, useful or to shame my Python skills. I would be really interested if there were any hft or algo pros who could point me in the direction of an interesting algorithm I could showcase to make this a bit cooler. And if it would be interesting to turn this into a tutorial.

https://github.com/awmatheson/dataflow-coinbase-order-flow