CPC G06F 16/137 (2019.01) [G06F 16/152 (2019.01); G06F 16/1734 (2019.01)] | 22 Claims |
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.
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