High-throughput systems – improving the order bookIn Chapter 1, The Road to Performance, you met MVT's head trader, Dave, under tense circumstances. The financial markets underwent a period of extreme volatility that exposed a weakness in the order book design. After speaking to Dave, you learned that in volatile markets, order volume is dominated by cancels because traders are reacting to quickly changing market conditions. Through order book benchmarking and profiling, you confirmed the suspicion that under high volume, cancel performance causes high order book response latency
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