- self-balancing BST is popular and a default choice, as in Rebus.
- arrays are reported to be even faster but how about deletions?
- priority queue? used in http://falconair.github.io/2015/01/05/financial-exchange.html
Rebus has two levels of trees, according to Steve.
- For each feed there’s a separate symbol lookup tree — one would think a hashtable would be faster but given our symbol data size (a few thousands per feed) AVL tree is proven faster.
- A per-symbol bid-tree (and ask-tree) sorted by price