I'm working on implementing a 'LOB' and I'm being very careful about choosing my data-structures so as to maximize performance.
Using F# as an example, I need to consider a List versus Array for holding 'Bids' and 'Asks'.
Because these lists are constantly being updated very rapidly, and the orders that need to be removed, added, updated quickly, I would think 'Array' because of 'efficient random access'.
That being said, Lists (singly-linked in a functional language like F#) seem to be more versatile, and faster for adding and subtracting from the 'head' of the list, but not necessary good for 'random access'?
Thoughts, am I on the right track?