Rewrite the wiki for the engine that actually ships
The wiki documented a red-black-tree implementation deleted in 2023 and, in
places, a SQL engine retired last week. It is the first thing a search turns
up, and every code sample in it was Python 2 calling signatures that no longer
exist.
Two new pages carry the current library. The usage walkthrough is the
researcher's path from a first book through priority, maker pricing, partial
fills, IOC, cancel and modify, the self-match gate, refusals, balances, ticks,
the clock and episodes. Recording and analysis covers the record-then-inspect
workflow: attaching a sink, a tour of the schema, two dozen queries in SQL and
the same in pandas, killed-run recovery, and the write-ahead-log trap that can
otherwise cost somebody a run.
Every code block and every query in both pages was extracted from the page
itself and executed against the shipped library. That harness caught a stale
figure carried over from an earlier recording, which is the argument for
running documentation rather than reading it.
Introduction stays: it explains continuous double auctions and level 1 versus
level 2 data, which is market microstructure rather than this implementation,
and it is still true. Implementation keeps its text under a dated banner —
the structure it describes is gone, but its reasoning about what an order book
has to make fast survives the tree it was written about.
The three pages whose signatures changed become redirects rather than
corrections, since every line of them was wrong; the one whose API moved most
carries an old-to-new table. Two pages that never had content are deleted.