> Insertion into the book is then largely O(1) as few people bid/offers are exactly the same price. This is very much not true in my experience. Automated trad

> Insertion into the book is then largely O(1) as few people bid/offers are exactly the same price. This is very much not true in my experience. Automated trades of any sort often hit the same prices, and trading strategies such as Iceberg which put many, many small orders will nearly always overrun with existing orders. Which markets were you building this order book for?