Tagged Questions
5
votes
1answer
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What is an efficient data structure to model order book?
What is an efficient data structure to model order book of prices and quantities to ensure:
constant look up
iteration in order of prices
retrieving best bid and ask in constant time
fast quantity ...
2
votes
1answer
574 views
how do we estimate position of our order in order book?
how would you estimate your order in the exchange order book? The order of order events and acks is not deterministic or guaranteed. How could you write an algo to estimate accurately your position in ...
