In the previous part we have started working on our Rust orderbook re-implementation of the C++ original, and defined the types Order and OrderKey<Side>, where Side is a type implementing the OrderbookSide trait: either Bid (for buy orders) or Ask (for sell orders). Defining OrderHandle …
In the previous part, we have sketched out the structure of implementing a simple order book in C++, supporting order insertion and efficient cancellation. (Implementing uncrossing, that is, trades when a buy order and a sell order agree on a price, is an exercise left to the reader, as is …
A fairly standard programming problem in the world of trading is building an order book. In this article, I will be showing one particular interesting aspect of this problem, and how to solve it in C++. In the next two parts, we will be trying to implement the same solution in Rust. This is meant to …