Swoorup Joshi Swoorup

https://web.archive.org/web/20110219163448/http://howtohft.wordpress.com/2011/02/15/how-to-build-a-fast-limit-order-book/

The response to my first few posts has been much larger than I’d imagined and I’d like to thank everyone for the encouragement.

If you’re interested in building a trading system I recommend first reading my previous post on general ideas to keep in mind.

My first really technical post will be on how to build a limit order book, probably the single most important component of a trading system. Because the data structure chosen to represent the limit order book will be the primary source of market information for trading models, it is important to make it both absolutely correct and extremely fast.

To give some idea of the data volumes, the Nasdaq TotalView ITCH feed, which is every event in every instrument traded on the Nasdaq, can have data rates of 20+ gigabytes/day with spikes of 3 megabytes/second or more. The individual messages average about 20 bytes each so this means handling

	mod bit_util_u64 {

	const SIGN_BIT_FLIP: u64 = 0x8000_0000_0000_0000;

	// magic numbers for bit interleaving
	const MAGIC: [u128; 7] = [
	0x5555555555555555_5555555555555555,
	0x3333333333333333_3333333333333333,
	0x0F0F0F0F0F0F0F0F_0F0F0F0F0F0F0F0F,
	0x00FF00FF00FF00FF_00FF00FF00FF00FF,

	use std::ops::Range;
	use log::warn;
	use wgpu::naga::{FastIndexMap, FastIndexSet};

	#[derive(Debug, PartialOrd, Hash, PartialEq, Eq, Clone)]
	pub struct DirtyIndexRange {
	start: usize,
	until: usize,
	}

	open System.Threading.Tasks
	open FsToolkit.ErrorHandling
	open FsToolkit.ErrorHandling.Operator.Validation

	type TaskValidation<'a, 'err> = Task<Validation<'a, 'err>>

	[<RequireQualifiedAccess>]
	module TaskValidation =
	let inline map f (tv: TaskValidation<'a, 'err>) : TaskValidation<'b, 'err> = TaskResult.map f tv
	let inline bind (f: 'a -> TaskValidation<'b, 'err>) (tv: TaskValidation<'a, 'err>) : TaskValidation<'b, 'err> = TaskResult.bind f tv

	import { useEffect, useRef } from 'react';
	import './App.css';

	import { DataUpdates, HistoricalDataRequest, Price, UTCTimestamp, Viper as ViperCharts } from "@viper-charts/viper-charts";
	// import "@viper-charts/viper-charts/dist/style.css";
	import { ViperDatabase } from "./ViperDatabase";

	const db = createDB();

	function onSaveViperSettings(settings: any) {

	[config]
	# skip_core_tasks = true
	# skip_git_env_info = true
	# skip_crate_env_info = true
	# skip_rust_env_info = true

	[env]
	CARGO_MAKE_EXTEND_WORKSPACE_MAKEFILE = true
	SHARED_LIB_DIR = "${CARGO_MAKE_WORKSPACE_WORKING_DIRECTORY}/shared_lib"
	LIBRARY_EXTENSION = { source = "${CARGO_MAKE_RUST_TARGET_OS}", default_value = "unknown", mapping = {"linux" = "so", "macos" = "dylib" } }

	use std::task::Poll;

	use futures::{Future, FutureExt, Stream};
	use pin_project::pin_project;
	use tracing::debug;

	#[pin_project(project = StreamStateProj)]
	#[derive(Debug, Clone)]
	enum StreamState<F, S>
	where

	package lib.cache

	import cats.effect.std.{UUIDGen, Supervisor}
	import cats.effect.syntax.all.*
	import cats.effect.{Async, Clock, Fiber, Outcome, Ref, Resource}
	import cats.syntax.all.*
	import fs2.Stream
	import io.chrisdavenport.mapref.MapRef
	import io.chrisdavenport.rediculous.RedisCommands
	import io.chrisdavenport.rediculous.RedisConnection

	import cats.effect.syntax.all.*
	import cats.syntax.all.*
	import cats.effect.*
	import fs2.Stream
	import cats.effect.std.Queue
	import scala.concurrent.duration.*

	import lib.FSM
	import lib.actor.{Actor, AskMsg}

	import cats.effect.syntax.all.*
	import cats.syntax.all.*
	import cats.effect.*
	import fs2.Stream
	import cats.effect.std.Queue
	import scala.concurrent.duration.*

	case class FSM[F[_], S, I, O](run: (S, I) => F[(S, O)])
	case class Ping[F[_]](replyTo: Deferred[F, String])