Module 13Order BookLesson 2 of 728 min
Mini Limit Order Book
Implement Book with add_bid/ask and BBO.
Implement
Struct with bids/asks BTreeMaps; methods for BBO, mid, spread.
Challenge
Reject crossing adds with Result.
Tips
- next_back best bid
- Validate cross
- Levels aggregate size
Try it live
Mini Limit Order BookRust 2021
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Output
Press Run to compile and execute.