This is part two of my order book exercise. To start at the beginning, click here.
The initial commit of my order book uses a std::map as a collection of bids and asks. That works, but it has a problem. The key is the price. More than 1 order with the same price and oops! Bad things happen. In this case, the previous order disappears.
Well, is std::map the best choice? We could immediately say no, but that wouldn’t be any fun, now would it?
Our goal here is profiling, but I want a complete, working example. So something must be down to allow for two orders to be on the book at the same price. In addition, the oldest order should be used first (FIFO). How is that to be accomplished?
One way is create an object to be used as a key. The plan is to create an AssetOrderKey object that works with comparison operators. Let’s see that in action.
If we add an AssetKey object, and then expand it into two objects, we can have a different comparison operator for the two collections. Therefore, a begin() call on either collection will give us the best bid or ask.
To see these changes, take a look at this GitHub commit.
Another way to do that would be to pass a comparison operator to the std::map. I did not do that here.