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Difficulty: Medium
Category: data_structures
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Topics: order-book, sorted-array, binary-search, best-bid-ask, data_structures, mid-price
A price-level order book is a core data structure in high-frequency trading for tracking buy (bid) and sell (ask) orders. For low-latency applications, a compact sorted-array representation offers cache-efficient O(1) lookups for the best bid and ask. The mid-price, calculated as (best_bid + best_ask) / 2.0, serves as a crucial reference for pricing models and execution strategies. Task Implement the OrderBook class to manage bid and ask price levels using sorted vectors. The implementation mus
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