Limit Order Books and Price-Time Priority
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.