Implementation of fast implied order book server modeled on CME, ICE energy complex. The market modeled closely resembles CME WTI Crude (CL) futures, ICE/IPE Brent (B) futures, CME Heating Oil, RBOB, ICE Gasoil, etc. The main engine ingests streaming bid offer price & size data for outright leg months and calendar spreads, and gives as output 3 markets:
- User quotes [BBO for outrights (legs) based on only user inputs in outright markets]
- Impled quotes [BBO for implied outrights (legs) based on user inputs in outright, calendar spread markets]
- Merged quotes [BBO for merged User + Implied quotes]
O(n^2*log(n)) in the number of markets]
: ===========
: USER PRICES
: ===========
leg_0 leg_1 leg_2 leg_3 leg_4 leg_5 leg_6 leg_7 leg_8 leg_9 leg_10 leg_11
================ ================ ================ ================ ================ ================ ================ ================ ================ ================ ================ ================
4592 x (13) 4614 x (25) 4607 x (25) 4622 x (2) 4618 x (21) 4636 x (17) 4639 x (7) 4626 x (19) 4634 x (9) 4647 x (11) 4640 x (16) 4637 x (8)
4591 x (14) 4610 x (2) 4599 x (2) 4609 x (8) 4608 x (6) 4614 x (13) 4614 x (22) 4623 x (9) 4624 x (2) 4617 x (11) 4631 x (21) 4636 x (19)
================ ================ ================ ================ ================ ================ ================ ================ ================ ================ ================ ================
: ==============
: IMPLIED PRICES
: ==============
leg_0 leg_1 leg_2 leg_3 leg_4 leg_5 leg_6 leg_7 leg_8 leg_9 leg_10 leg_11
================ ================ ================ ================ ================ ================ ================ ================ ================ ================ ================ ================
4597 x (12) 4613 x (13) 4604 x (8) 4617 x (8) 4613 x (4) 4630 x (13) 4632 x (2) 4628 x (4) 4636 x (7) 4639 x (8) 4645 x (8) 4639 x (13)
4589 x (18) 4609 x (2) 4601 x (6) 4612 x (11) 4607 x (19) 4621 x (1) 4621 x (14) 4617 x (4) 4619 x (7) 4623 x (8) 4627 x (19) 4626 x (14)
================ ================ ================ ================ ================ ================ ================ ================ ================ ================ ================ ================
: =============
: MERGED PRICES
: =============
leg_0 leg_1 leg_2 leg_3 leg_4 leg_5 leg_6 leg_7 leg_8 leg_9 leg_10 leg_11
================ ================ ================ ================ ================ ================ ================ ================ ================ ================ ================ ================
4592 x (13) 4613 x (13) 4604 x (8) 4617 x (8) 4613 x (4) 4630 x (13) 4632 x (2) 4626 x (19) 4634 x (9) 4639 x (8) 4640 x (16) 4637 x (8)
4591 x (14) 4610 x (2) 4601 x (6) 4612 x (11) 4608 x (6) 4621 x (1) 4621 x (14) 4623 x (9) 4624 x (2) 4623 x (8) 4631 x (21) 4636 x (19)
================ ================ ================ ================ ================ ================ ================ ================ ================ ================ ================ ================