US 11,797,480 B2
Storage of order books with persistent data structures
Aleksander Ostrovski, Toronto (CA)
Assigned to TSX INC., Toronto (CA)
Filed by TSX INC., Toronto (CA)
Filed on Dec. 31, 2021, as Appl. No. 17/566,920.
Prior Publication US 2023/0214355 A1, Jul. 6, 2023
Int. Cl. G06F 16/13 (2019.01); G06F 16/14 (2019.01); G06F 16/17 (2019.01)
CPC G06F 16/137 (2019.01) [G06F 16/152 (2019.01); G06F 16/1734 (2019.01)] 22 Claims
OG exemplary drawing
 
1. A device comprising:
memory configured to store a queryable persistent data structure;
a network interface configured to receive new data within a time span;
a processor connected to the memory and network interface, the processor configured to:
read a message and generate a delta based on a comparison of the message to an existing order book;
generate a new order book based on the delta;
generate an event based on the existing order book, the delta, and the new order book; and
accumulate a sequence of events, including the event, in the queryable persistent data structure over the time span, wherein the queryable persistent data structure includes a persistent map of orders of the new order book to discrete integer price levels.