Simple Order Book Data Structure

Messages (Ticks):

• NEW: order_id, price, quantity
• MOD: order_id, mod_price, mod_quantity
• CXL: order_id
• TRD: b_order_id, s_order_id, traded_price, traded_quantity

Data structure that publishes K (say 5) depth bid, ask <price, quantity> tuples every time this data structure has an update.

Sample Output

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Bid Depth

Price: 100, Quantity: 55
Price: 95, Quantity: 120

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Ask Depth

Price: 100, Quantity: 25
Price: 190, Quantity: 50

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