This must have been tried

Assume price is elastic, a smooth Reg/Gteen scaler.

Take the bids, as integers. Sort them on the MSB, into two groups. Then each subgoup, sort by the send bit down, etc.  Use the set size as a measure of probaility, build your tree.  If this works, then we can systematically keep the 'best look' on the tree, the accuracy of the tree dependent on the rate os innovations in the bid.  Hence, in the scenario, the precision of the tree depends on he site bot getting requant cycles.  If traders jam the queue , so what, they see the two bit version of the tree.

Notice it self balances, the python interpreter and the human market pit are both entropy increasing, or redundancy removing, they self organize over a limited bandwidth.  Combinatorial theory makes the math similar in both cases, as long as price is locally elastic.  If the python folks get an enforcerd, thread fairness bot system built-in, secure and verifiable, then the interpreter is the market and it guarantees pure cash digits. I should mention the interpreter guarantees pure cash because it produces queu distributions accurate to the stated precision.  It measures queue size for actual goods.

So, we would:
import tradingpit

And we get it all:  the classes to box in trader bots, keep the trading trees and verify the secure digits.  And, smart card connects it.  An important trade off.  The better that python can bond the system, the simpler is code verification for the bots.  Binding the bot to a gravity fall through the graph, having timeouts. Add to that very short term data integrity checks, done asynchronously,at the interpreter level.  Then code verification, we are looking for complete fallthrough on the code, sorter snippets, nouse of dictionry to tore indexes,.  These can be enforced, we get:

import sourceverify

A package that does standard checks on snippet bots.  And this code is tied to the integrity system by python, it itself is verified. The python group generates such an enthusiastic response from traders, they will get confidant with the system.  The geeks can do this, make them do it, demand it.

The market works the way it seems to be shaping up.  The hot commodities are the new fangled quant bots, and they will be running against a set of standard site bots; all working from the same frame work, import tradingpit.  This is huge money, way beyond a few trillion folks.

B uid and sell a complete trading box, physically. Offer hardware connect between microprocessor and smart card. A lock down, verified, interpreter with full security cnrol, get tyhe memory hardware built in.. Comes complete with security, verify and trading pit, all libs burned in, cannot be replaced until the guy with the smart card shows up., and nothing else.  No trading site would ever use any other box, it guarantees pure cash, because it guarantees an secure, efficient trading pit.