- NEW:
order_id, price, quantity - MOD:
order_id, mod_price, mod_quantity - CXL:
order_id - TRD:
b_order_id, s_order_id, traded_price, traded_quantity
Data structure that publishes K (say 5) depth bid, ask <price, quantity> tuples every time this data structure has an update.
Sample Output
Bid Depth
Price: 100, Quantity: 55
Price: 95, Quantity: 120
Ask Depth
Price: 100, Quantity: 25
Price: 190, Quantity: 50