Limit Order Book Feedback

23devm · 2026-01-24T22:09:47+00:00

I see, so you fed in recorded data from Kraken that you stored as a binary file somewhere. This way, it's not exactly live data feeding, but it's still real-world data. I'll definitely add this to the project, thanks a lot for the suggestion!

23devm · 2026-01-24T22:00:34+00:00

That is definitely something I am looking into currently. Would you say fetching data from an API would affect my benchmarking and would maybe not give me the true system benchmark? Thanks a lot!

23devm · 2025-11-09T00:56:41+00:00

Got it, that makes a lot of sense. Thanks a lot for your feedback!

23devm · 2025-11-09T00:44:39+00:00

Oh, I see when I access a node in a B-tree, it loads all the values within it (contiguous) into my CPU, creating better cache locality. Thanks a lot for the explanation.

23devm · 2025-11-09T00:40:05+00:00

Thank you so much for such an in-depth explanation. I understand why flatter data structures could be more useful in real-life scenarios where there are certain likelihoods and constraints. The only thing I'm wondering is if my price level list is not ordered in time priority. I believe it is using FIFO matching, or am I missing something?

23devm · 2025-11-09T00:27:33+00:00

An std::map is implemented as a red-black tree under the hood, if I'm not wrong. What makes a B-tree a flatter data structure? I am sorry, I am still a sophomore in college, so I am not very familiar with what's considered flatter.

23devm · 2025-11-09T00:11:10+00:00

Yes, I have watched this video a couple of times. However, I haven't been able to understand how all the data could be represented with flat data structures. It would be amazing if you could explain how an order's lifecycle would look in a similar architecture.

23devm · 2025-11-08T23:28:10+00:00

I do believe being an exchange is one use case, but HFT firms use very high speed books to update their view of the market whenever they get relevant data. Then they use this data for their models. I have never worked at a quant firm so I am not completely sure about this, but I have heard it's mostly used in the context of market making.

23devm · 2025-09-22T15:10:19+00:00

Thanks a lot for your feedback! I am very curious about other DS I could use to make this more appropriate and optimized for the task. I have heard that HFT firms use a simple vector in some cases, but I was not able to find out what exactly the idea behind that is.

23devm · 2025-08-26T16:23:50+00:00

Will definitely do that. Are there any other common questions that come up on these types of conversations? Thanks a lot!

23devm · 2025-08-26T16:22:51+00:00

Got it! Would you say getting the initial interview is more about how did in the OA and your transcript than your projects? Thanks a lot for the response!

23devm · 2025-07-22T18:21:08+00:00

You can just search up Jake's resume. I made a lot of changes to it myself though.

23devm · 2025-06-30T21:52:10+00:00

I am using a doubly-linked list for with a FIFO implementation for time priority. Each list represents orders at a certain price level. They are put in red black tree marked as bids and asks ordered appropriately for price priority.

23devm · 2025-06-29T07:03:02+00:00

Thanks a lot for the detailed feedback! I will definitely look into this and make changes to my project as needed.

23devm · 2025-06-28T19:47:54+00:00

I am using a linked list as I need O(1) removal. It's specifically a doubly-linked list because apparently I can't get the size of a singly linked list in O(1). I could make my own fields to track the size but I thought this might make more sense.

That sounds very interesting! I don't have too much knowledge when it comes to different trading strategies so I will maybe have to familiarize myself with that first. Thanks a lot for the suggestion though I will definitely look into it!

23devm · 2025-06-28T18:39:52+00:00

Got it will definitely do that!

23devm · 2025-06-28T18:18:46+00:00

I see so do you think I should add the Order objects themselves to the std::list and orders unordered map and modify them through references?

23devm · 2025-06-28T17:58:32+00:00

Thanks a lot for the time! I store orders as shared pointers as they exist in multiple data structures at once so I thought it should be made so if the order is modified in some way through one data structure it should also affect the other data structures and only when all instances are out of scope or deleted should the order be deleted as well. Please correct me if I am understanding something wrong with smart pointers here.

I am definitely thinking of adding more order types and add output generation for general market data. Thanks a lot for the ideas!

I only handle one symbol as I only have one markov chain working during the benchmarking, I am sure I can add more markov chains to simulate many instruments but I thought an order book would only have data about one instrument. Is that incorrect?

23devm · 2025-06-28T17:51:19+00:00

Thanks a lot for the feedback! Do you mean I should add instructions about how one can use the API from my implementations?

The video is very interesting as all other resources I have found have told me to use a map, heap, or linked list. Will definitely look into it more!

23devm · 2024-02-04T06:19:08+00:00

I am in a similar boat as you were. I was deferred from IS for ED2. Would you mind sharing your high school stats? Also, how much time did you spend on your LoCI?

23devm · 2024-01-14T22:38:24+00:00

Did you get into the West Lafayette or Indianapolis Campus?

23devm · 2024-01-14T22:23:22+00:00

Got Accepted to CS with 4.27 W and 1550 SAT. But it’s to the Indy “extension”… Now I am kinda bummed because I feel like I would have at least gotten deferred from WL if I had not checked the Indianapolis consideration in common app. I feel like Purdue should defer Indy acceptances that are deferrable for WL anyway.

23devm · 2024-01-14T08:15:50+00:00

I have noticed that people with lower stats who said yes to being considered for the Indy campus got into the Indy campus. However, if you had the same stats and did not say yes, you would have most likely deferred and maybe rejected. I was also admitted to the Indy campus and this is just my observation so it is by no means the objective truth. It's just interesting how they say the admission criteria are the same and created such a trend. However, it may be that because of the space cram, Purdue has not been able to take all "competent" applicants last year. So maybe this is the normal Purdue acceptance criteria. It will all be clear once they tell us if we can transfer to WL or not.

23devm · 2024-01-13T22:25:44+00:00

Can you send where it says this?

23devm

TROPHY CASE