An Object-Oriented Library for Real-Time Processing of NASDAQ Order Book Data

Laurens E Howle, Clark McGe

Abstract

An Object-Oriented Libraryfor Real-Time Processing of NASDAQ Order Book Data Data mining for extremely data-intensive applications (big data)presents a number of challenges to the computer programmerbeyond the typical issues of numerical accuracy, algorithm speed, and stability. The specific data-intensive application we consider in this paper is an object-oriented library intended to efficiently construct and maintain the order books for the daily flow of stock market information on the NASDAQ stock exchange. We develop and optimize this library using the Microsoft .NET 4.0 productivity framework.