Order BookBook Design

Question

A BookBook order is filled with purchase and sale orders. Updates, new orders can carry out transactions.

I can not find implementation examples.

We could give each order id and checkExecute order one by one. But we want something that will scale to thousands of active orders.

We can sort the prices to get the orders that will be executed (because they overlap). But we must be careful and execute only in the order in which orders were received :)

Thoughts?

Answer 1

• we must be careful and execute only in the order in which the orders were received.

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LMAX

Answer 2

Python OrderedDict OrderBook. , /.