https://quant.stackexchange.com/questions/3783/what-is-an-efficient-data-structure-to-model-order-book

https://stanford.edu/~ashlearn/RLForFinanceBook/chapter9.pdf

https://web.archive.org/web/20110219163448/http://howtohft.wordpress.com/2011/02/15/how-to-build-a-fast-limit-order-book/