Level Up the Book

Presenter: Petr Filipský
This talk takes a practical look at the limit order book (LOB) - a core data structure in high-frequency trading (HFT) - and shows how implementation choices, especially data structures and memory locality, shape latency and throughput.
We start with core market mechanics, then compare LOB design options and trade-offs through the lens of modern CPU memory hierarchies. Real access patterns and time-based profiling guide engineering decisions, helping separate what feels fast from what actually is.
Along the way, we highlight common pitfalls (cache-unfriendly access, poor sizing) and demonstrate simple, reproducible, well-targeted benchmarks that make the trade-offs visible. Attendees leave with practical principles for selecting and tuning complex data structures, designing for locality, and measuring what matters.

For those that want to join online here is the zoom link
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Timetable,
18:00 – Doors open, welcome drinks & networking
18:30–19:30 – Talk & discussion
19:30–21:30 – Light refreshments, informal conversations & socializing

For the location, please note: Google Maps shows the location in the "V Celnici" street, but the building is not accessible from there. Use the entrance from Hybernská — it’s the first door on the right, directly next to the Červený Jelen restaurant. At the reception, inform them that you are going to Qminers and then walk up the stairs to the 3rd floor.