Wednesday, February 2, 2011

How to Build a Fast Limit Order Book

I set up this blog a few days ago (July, 2012) and noticed an unusual amount of incoming traffic given that I had nothing out of draft mode yet. It turns out that someone (WK Selph) had this blog registered before me and had a few popular posts. How to Build a Fast Limit Order Book was one of them.

I am not the author of that page. I don't know why that author deleted his old blog, but he did; however, the page has been saved and duplicated by the people responsible for the QuantCup. You may read the original text -- the text you were likely looking for -- at


  1. Excellent blog.

    Regarding the WK Selph I guess why he deleted his blog and I'm not surprised his decision. I think it was due to ugly criticism of the quantcup initiator (Max D.) on his blog.

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  3. Most of Wk Selph's posts are available here: