BasicOrderBook

Focus:

• Singlethreaded implementation
• Fixed price order matching
• Buying and selling a single instrument

SingleInstrumentOrderBook

Add Order:

1. Validation
   • Check order is not null
   • Check order does not exist
   • Check order matches instrument of order book
2. Order matching
   • Check order with same price level on the opposite side.
     • If no, continue to step 3
     • if yes, match on earliest orders at price level until order partially / fully satisfied
       • For each order fully satisfied
         • Remove order from order book
         • Evaluate best bid and ask price
       • If order is partially satisfied, continue to step 3
3. Store order against price level

Remove order:

1. Validation
   • Check order exists
   • Check order matches instrument of order book
2. Remove order
3. Evaluate best bid and ask price

Get best price

• if side is BUY, return highest bid price
• if side is SELL, return lowest ask price

Get orders at level:

• given price, return orders for price level ordered by how they arrive