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What is an efficient data structure to model order book of prices and quantities to ensure:

  1. constant look up
  2. iteration in order of prices
  3. retrieving best bid and ask in constant time
  4. fast quantity updates
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1 Answer

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Since Quant Cup 1's objective was an efficient price/time matching engine, the data structure of the winning implementation might partly be what you are looking for.

Else the setup of LOBSTER is supposed to be quick.

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Nice. I was thinking of a simple array based implementation. The best implementation in Quant Cup does something similar. – Sam Hayen Jul 10 '12 at 20:23
However, note that it will be less optimal when price levels are sparse and we care about every price level. – Sam Hayen Jul 10 '12 at 20:39

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