Might be interesting to build an interface between CoinbasePro.jl data and my (WIP) LOB simulator LimitOrderBook.jl for HFT strategy backtesting. I think these packages would complement each other nicely. I am looking for collaborators on LimitOrderBook.jl so DM me if there is interest.
I have also written some code for capturing message data from other exhanges (i.e. Binance, Bitfinex, …). It might also be interesting to build some sort of unified interface for all of these. I will take a look at the CoinbasePro.jl code to see what can be done on this front, the code I have is probably less organized and can probably use some inspiration.