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Quantitative Finance · Begrippenlijst

Wat is Book invariant?

Definition 19.4 Low-Latency Software · Hoofdstuk 19 — The Order Book Builder

A book invariant is a property every correct book satisfies after every event, checked by the builder in its debug builds: each level’s quantity equals the sum of its orders’ quantities, no empty level is reported, and the best bid is below the best ask.

The day a small-tick stock moves thirty percent (100 000 synthetic events, the mid drifting 300 000 ticks): processing time of the ladder book by width, each point labelled with its number of recentrings. Measured on a laptop (Intel Core Ultra 7 155H) under WSL2, no isolated cores. Data: bench_books.py.
Figure 19.3. The day a small-tick stock moves thirty percent (100 000 synthetic events, the mid drifting 300 000 ticks): processing time of the ladder book by width, each point labelled with its number of recentrings. Measured on a laptop (Intel Core Ultra 7 155H) under WSL2, no isolated cores. Data: bench_books.py.
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