Hence I use data structures optimum for swap facilities

The trading pits I envision actually swap the order of bid/ask; in the two color. It is a strng signal about setting basket fullnes.  So I use nested block which makes the significance graph a linear array.  A scan through the graph is a matter of accumulating the integer index, travel is always left to right in the array.

One graph per color is maintained, one color systems are pricings for ledger services or fix priced goods. I have two color, and am not talking about multi-color trades.  But the pit boss, in every case assumes there is a hypothetical, but uncertain, typical sequence of bid/ask.  If you have an individual bid or ask, then take your price and quantize it by tracing it down the typical graph.  You winor lose depending upon how much quantization noise, and your color, as your quants are matched to the typical.

The array is accessible only under protection, So the python iterator is a protected and validated code. Hence, all security is expected to be enclosed by the python interface to hardware. This is essential, and very lucrative to the company that gets it done.  I am not looking for it, I trust the greed of python interpreter folks to get the ob done.

My  view on two color pricing.

Pricing is the surface, the pit boss is constructing the typical sequence in one extra dimension. So, if the single color price is dollars, the the pit matches the bid and ask. If the price two color the pit boss manages bid ask and seigniorage; for example. In the second case, we do triple entry accounting.

Do we do triple entry accounting? Yes,when we see the price is $10 plus tax, the picer signals two color pricing. Or, 10% off with this coupon, another example.  The pti boss assumes we are doing triple entry accounting, and our baskets can overflow, underflow, and be tilted. The pit boss has angular momentum to co-quantize. Every queue has three parties, buyer, seller and seigniorager.

My Russian mathematician refuses to fess up on how we do that. I did sneak a peak at his scribblings, and the approach is that the pit boss primises a bounded volatility circular flow, unobserveable outside the pit, but enough flow to keep the three colored graphs stable.  So, for a time it seems we constantly lose money on currency risk, the  for a while we suddenly make money, the pit boss making sure liquidity balances an internal circuit/.