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Limit Order Books and Price-Time Priority

Status Draft outlineSection Market and Trading Systems

A limit order book groups resting interest by price and orders each price level according to venue rules such as price-time priority.

Planned model

Apply add, cancel, replace, and execute events. Animate best bid and offer, per-price FIFO queues, crossed books, and stale-handle rejection.

Questions

  • Which operations need lookup by order ID, price, or queue position?
  • How are partial executions represented?
  • What invariants detect a corrupt reconstruction?

Exercise

Choose data structures for a bounded price domain and for a sparse price domain, explaining cancellation cost in each.