Glossary BE

• Orderbook: data structure, contains price levels made up of orders. Price levels are separated into bids and asks.
• Price level: set price, associated with a priority queue of orders.
• Order: buy or sell an instrument with a set quantity
• Messages: represents deltas to the state of the orderbook
• Keyframes: a video compression algorithm, using that alg. to compress our storage
• Snapshots: orderbook's state for a fixed time