A Guide to the World of the Limit Order Book by Petr Filipský

We enjoy giving lectures at universities – and most of all at Prague’s Faculty of Mathematics and Physics. Many of us studied there and still have a strong connection to the school.

When we visit, we don’t just talk about what we do at Qminers, but also show students in very practical terms what they can do with their top-tier education in their professional lives.

On November 5, our C++ Team Lead Petr Filipský returned to his alma mater to present a lecture titled “Level Up the Book”, which introduced the fundamental principles of market mechanics, compared different design approaches and trade-offs, and explained how real-world data access patterns and time profiling inform technical decisions.

The lecture served as a hands-on guide to the world of the limit order book, while also demonstrating how implementation choices – particularly in data structures and memory locality – affect overall system performance. Petr focused on common pitfalls (such as inefficient data layout or poorly sized structures) and used simple, reproducible benchmarks to make various differences and trade-offs tangible.

Attendees left with clear principles for selecting and tuning data structures with regard to memory locality, behavior predictability, and measuring what truly matters. The principles presented, however, are not limited to trading – they apply broadly across all performance-critical domains where C++ (or other systems languages) play a key role.