Module 13Order BookLesson 1 of 718 min
Order Book Design
Bids/asks maps, ticks, and invariants.
Design
Bids: price→size sorted ascending keys; best bid = last key
Asks: best ask = first key
Invariant
best bid < best ask (no lock/cross in simple model)
Ticks
i64 cents avoid float keys.
Challenge
Sketch OrderId priority queues as a comment (pro systems).
Tips
- Integer ticks
- BBO from map ends
- Real books need order IDs
Try it live
Order Book DesignRust 2021
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Output
Press Run to compile and execute.