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pylimitbook's Issues

issue in "update_order"?

Hi,

Thanks a lot for your work on this. I wanted to raise a possible issue with the update_order method in the Tree class.

When you have an order that's been modified in price, you correctly "delete" that order and insert a new one (to replace the price and priority).

However, I think you are not updating the Tree volume correctly, because when you insert the new order the order.quantity gets duplicated.

Please correct me if I'm wrong.

Best,
Carlos A.

Order matching

Hi Daniel,
In your opinion, what is the best architecture to implement order matching?
Thx

faster binary tree implementations available

hey -

Thanks for your work on this - has been very helpful.

Wanted to send along a note that I identified some faster binary tree implementations while trying to speed this up.

For my use case, I'm finding banyan.SortedDict with alg set to banyan.SPLAY_TREE is the fastest. There's another library called sortedcontainers that is also very fast.

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