Within an order book matching engine, which specific data structure is required to ensure that a 'fill-or-kill' order is either fully executed at the current best price or discarded without partial fulfillment?
The data structure required is an in-memory limit order book implemented as a collection of price levels, typically using a price-sorted map where each level contains a doubly linked list of orders. A fill-or-kill order is a specific instruction requiring the entire quantity to be matched immediately against existing orders at the best available price; if ....
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