An efficient implementation of an order book in Go, using a combination of heaps and linked lists.
cpu: Intel(R) Core(TM) i7-7820HQ CPU @ 2.90GHz
BenchmarkBidBookInsertWorstCase-8 1000000 1415 ns/op 362 B/op 4 allocs/op
BenchmarkBidBookInsertAverage-8 1975744 664.0 ns/op 159 B/op 2 allocs/op
PASS
ok orderbook 3.856s
This project is licensed under the MIT License. See the LICENSE file for details.