OrderBook

Requirements

Functional requirements

1. Update BBO
2. Replace bids/asks (generic container as a source)
3. Clear the book
4. Check if book is empty
5. Get the book state
6. Make string representation of the book state

NF Requirements

Partial update:

• Update period - 100 ms
• Each update gives up to top 20 levels in canonical order (bids - desc, asks - asc) https://github.com/binance/binance-spot-api-docs/blob/master/web-socket-streams.md#partial-book-depth-streams

Best bid/offer (BBO) update

• Update period - 100 ms
• Each update gives only best bid and best offer https://github.com/binance/binance-spot-api-docs/blob/master/web-socket-streams.md#individual-symbol-book-ticker-streams

Valid book state invariants:

• Price levels are unique
• Price levels are in correct order in any moment of time

Input data guarantees and tips

• Prices are unique
• Prices are absolute
• Prices with zero values for levels which are not in book can appear and should be ignored
• Prices with zero values for levels which are in book should be considered as removing of price level
• If new best bid is less, than current - the current bid level should be removed, otherwise - moved down in the book
• If new best ask is greater, than current - the current ask level should be removed, otherwise - moved down in the book
• Thread safety is not required