Add order book scaffolding

lib/rex/order_book.rb

@@ -0,0 +1,32 @@
+require "rbtree"
+
+module Rex
+  class OrderBook
+    def initialize()
+      @sell_side = tree_with_limit_default
+      @buy_side = tree_with_limit_default
+    end
+
+    def add_order(order)
+      side = if order.is_buy
+        @buy_side
+      else
+        @sell_side
+      end
+
+      side[order.price].add_order(order)
+    end
+
+
+    def cancel_order(order_id)
+    end
+
+    private
+
+    def tree_with_limit_default
+      tree = RBTree.new
+      tree.default_proc = -> (tree, key) { tree[key] = Limit.new(key) }
+      tree
+    end
+  end
+end