Data-Structures

When I joined the bank’s risk team, Clojure was already in production for risk calculation. The code I inherited used Clojure’s persistent maps and vectors everywhere — not as a philosophical statement but because the team had found them practically useful in a specific way. The specific way: concurrent reads and occasional writes to a shared state snapshot, with no locks. ...

An order book is a data structure that maintains the set of outstanding buy and sell orders at each price level. For an FX market maker, maintaining a locally consistent view of the book at each LP (liquidity provider) is the foundation everything else sits on. At 100,000 book updates per second across 50 currency pairs, the implementation choices matter. ...