HFT-Orderbook Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in C. Based on WK Selph's Blogpost: http://howtohft.wordpress.com/2011/02/15/how-to-build-a-fast-limit-order-book/ Available at Archive.org's WayBackMachine: https://goo.gl/KF1SRm "There are three main operations that a limit order book (LOB) has to implement: add, cancel, and execute. The goal is to implement these operations in O(1) time while making it possible for the trading model to efficiently ask questions like “what are the best bid and offer?”, “how much volume is there between prices A and B?” or “what is order X’s current position in the book?”. The vast majority of the activity in a book is usually made up of add and cancel operations as market makers jockey for position, with executions a distant third (in fact I would argue that the bulk of the useful information on many stocks, particularly in the morning, is in the pattern of adds and cancels, not executions, but that is a topic for another post). An add operation places an order at the end of a list of orders to be

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