This is an assignment I was given to complete for an interview at Blue Diamond Asset Management AG. It consisted in implementing the Interface Level2View, which describes the functionality for an Order Book.
Using Order Message objects, one can:
- add new orders,
- amend existing ones,
- cancel exisiting ones,
- and trade on the orders.
It also allows for the book to be queried about:
- The price level size,
- The depth of the side of the book,
- And the top of the side of a book.