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HFT: Order Book
Maintains a database of outstanding orders. updated database for 4 type of transactions New Order, Modify Order, Cancel Order, Transaction.
Sends a UDP Packet to host when there is a change in top 10 Buy/Sell orders with the details of the cumulative outstanding orders at each price point.
Sends a UDP Packet to host when there is a change in top 10 Buy/Sell orders with the details of the cumulative outstanding orders at each price point.
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