Data Model: YU13-limit-order-book

LimitBook (one per security, lazily created on the security's first order)

Field	Type	Meaning
tickTicks	long	Px units per book tick (1_000 = 0.001)
levels	int	band width in ticks (power of two, default 1<<17)
baseLevel	long	absolute tick index of array slot 0; -1 until anchored
bidHead/bidTail, askHead/askTail	RestingOrder[levels]	per-level intrusive FIFO queue ends
bidQty, askQty	long[levels]	aggregate open quantity per level (racy-safe edge depth reads)
bidBits, askBits	long[levels/64]	level-occupancy bitmaps driving best-price maintenance
bestBid, bestAsk	int	current best level slots (NO_LEVEL when side empty)
openOrders	int	resting order count

Slot mapping: slot = limitPx / tickTicks - baseLevel; anchoring on first use places the first price mid-band (baseLevel = max(0, absLevel - levels/2)). priceAt(slot) is exact: grid admission guarantees a level price equals every resting order's limit at that level.

RestingOrder additions (pooled entry; links are BLP-private, never serialized)

Field	Type	Meaning
bookNext, bookPrev	RestingOrder	intrusive FIFO links within the price level
bookLevel	int	level slot while resting; NO_LEVEL otherwise (isResting())

Engine state changes

• booksBySecurity: LimitBook[] replaces the per-security open-reference IntList index; open orders ARE book nodes, and recovery digests/tuples iterate the dense ordersByRef index filtered by open status.
• lastPxBySecurity holds the last TRADE price; PRICE_TICK seeds it only while Px.NONE.
• bookLevels/bookTickPx are engine-wide geometry (env BOOK_LEVELS / BOOK_TICK_PX, defaults 1<<17 and 1_000), settable before first use and adopted from the snapshot on restore.

Cluster snapshot format 2

Record	Layout	Notes
T_HEADER (52 B)	int type, int format=2, long nextOrderRef, long highestIssuedRef, long appliedSeq, long tradeCounter, int bookLevels, long bookTickPx	geometry adopted before any book exists
T_BOOK = 11	int type, long securityId, long baseLevel	one per created book, written before order rows; baseLevel -1 round-trips an unanchored book
T_ORDER	unchanged 15-field tuple	open rows first in ascending ref order (arrival order → exact per-level FIFO on restore), then terminal rows in eviction-FIFO order
all other records	unchanged from format 1	policy, accounts, securities, symbols, idempotency, positions, prices

Fail-closed on restore: unknown format (including format 1), off-grid open limit, open row outside the restored band, order ref at/beyond the restored generator, missing header, unknown record type.

Egress ack (24 bytes, length unchanged)

Offset	Field
0	long appliedSeq
8	int orderRef
12	byte kind
13	long tradeSeq
21	byte restingClass; 1 = counterparty resting-order update, 0 = direct response

Output-event flags

FLAG_RESTING_UPDATE = 1<<6 marks the resting side's order update in a match step; all other kinds and flags are unchanged from the parent state.