v2b (a couple more slight tweaks)

Setup:

CREATE ASSEMBLY [Challenge6]
AUTHORIZATION [dbo]
FROM
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WITH PERMISSION_SET = UNSAFE
GO
ALTER ASSEMBLY [Challenge6]
WITH VISIBILITY = ON
GO
CREATE PROCEDURE [dbo].[GenerateOrderBookState]
AS EXTERNAL NAME [Challenge6].[StoredProcedures].[GenerateOrderBookState]
GO

Execute & Teardown as before.

Code:

using System;
using System.Data;
using System.Data.SqlClient;
using System.Data.SqlTypes;
using Microsoft.SqlServer.Server;
using System.Collections.Generic;
using System.Threading;
using System.IO;

struct rowDetail
{
    public int EventID;
    public int OrderBookID;
    public long BestBuyPrice;
    public int BestBuyQuantity;
    public long BestSellPrice;
    public int BestSellQuantity;
    public long SecondBestBuyPrice;
    public int SecondBestBuyQuantity;
    public long SecondBestSellPrice;
    public int SecondBestSellQuantity;

    /// <summary>
    /// Creates a new <see cref="rowDetail" /> class instance.
    /// </summary>
    public rowDetail(int eventID,
    int orderBookID,
    long bestBuyPrice,
    int bestBuyQuantity,
    long bestSellPrice,
    int bestSellQuantity,
    long secondBestBuyPrice,
    int secondBestBuyQuantity,
    long secondBestSellPrice,
    int secondBestSellQuantity)
    {
        this.EventID = eventID;
        this.OrderBookID = orderBookID;
        this.BestBuyPrice = bestBuyPrice;
        this.BestBuyQuantity = bestBuyQuantity;
        this.BestSellPrice = bestSellPrice;
        this.BestSellQuantity = bestSellQuantity;
        this.SecondBestBuyPrice = secondBestBuyPrice;
        this.SecondBestBuyQuantity = secondBestBuyQuantity;
        this.SecondBestSellPrice = secondBestSellPrice;
        this.SecondBestSellQuantity = secondBestSellQuantity;
    }

    internal DataRow AddToTable(DataTable outputDataTable)
    {
        DataRow outputRow = outputDataTable.NewRow();
        outputRow[0] = EventID;
        outputRow[1] = OrderBookID;
        Decimal bestBuyPrice = BestBuyPrice;
        bestBuyPrice /= 100;
        outputRow[2] = bestBuyPrice;
        outputRow[3] = BestBuyQuantity;
        Decimal bestSellPrice = BestSellPrice;
        bestSellPrice /= 100;
        outputRow[4] = bestSellPrice;
        outputRow[5] = BestSellQuantity;
        Decimal secondBestBuyPrice = SecondBestBuyPrice;
        secondBestBuyPrice /= 100;
        outputRow[6] = secondBestBuyPrice;
        outputRow[7] = SecondBestBuyQuantity;
        Decimal secondBestSellPrice = SecondBestSellPrice;
        secondBestSellPrice /= 100;
        outputRow[8] = secondBestSellPrice;
        outputRow[9] = SecondBestSellQuantity;
        return outputRow;
    }
}

delegate int ActiveOrderComparison(ActiveOrder x, ActiveOrder y);

sealed class SortedActiveOrderList
{
    public void GetBestAndSecondBest(out long BestPrice, out int BestQuantity, out long SecondBestPrice, out int SecondBestQuantity)
    {
        int i = 0;
        ActiveOrder ao;

        if (i < _size)
        {
            ao = _items[i];
            BestPrice = ao.UnitPrice;
            BestQuantity = ao.Quantity;
            SecondBestPrice = 0;
            SecondBestQuantity = 0;
        }
        else
        {
            BestPrice = 0;
            BestQuantity = 0;
            SecondBestPrice = 0;
            SecondBestQuantity = 0;
            return;
        }

        while (++i < _size)
        {
            ao = _items[i];
            long price = ao.UnitPrice;
            if (price == BestPrice)
            {
                BestQuantity += ao.Quantity;
            }
            else
            {
                SecondBestPrice = price;
                SecondBestQuantity = ao.Quantity;
                break;
            }
        }

        while (++i < _size)
        {
            ao = _items[i];
            long price = ao.UnitPrice;
            if (price == SecondBestPrice)
            {
                SecondBestQuantity += ao.Quantity;
            }
            else
            {
                return;
            }
        }
    }

    int _binarySearch(ActiveOrder value)
    {
        int lo = 0;
        int hi = _size - 1;
        while (lo <= hi)
        {
            int i = lo + ((hi - lo) >> 1);
            int order = _comparison(_items[i], value);

            if (order == 0) return i;
            if (order < 0)
            {
                lo = i + 1;
            }
            else
            {
                hi = i - 1;
            }
        }

        return ~lo;
    }

    private ActiveOrder[] _items;
    private int _size;

    ActiveOrderComparison _comparison;

    void _setCapacity(int value)
    {
        if (value != _items.Length)
        {
            Array.Resize<ActiveOrder>(ref _items, value);
        }
    }

    /// <summary>
    /// Constructs a <see cref="SortedList&lt;T&gt;"/> object specifying an IComparer for type T
    /// </summary>
    /// <param name="Comparer">The IComparer for type T that compares objects</param>
    public SortedActiveOrderList(ActiveOrderComparison comparison)
    {
        _items = new ActiveOrder[4096];
        _comparison = comparison;
    }

    /// <summary>
    /// Gets the index of the item using a BinarySearch
    /// </summary>
    /// <param name="item">The item to search for</param>
    /// <returns>The index of the item, or it's complement if not found</returns>
    private int indexOf_(ActiveOrder item)
    {
        int potentialIndex = _binarySearch(item);
        return (potentialIndex < 0) ? -1 : potentialIndex;
    }

    /// <summary>
    /// Adds an item to the collection.
    /// </summary>
    /// <param name="item">The object to add to the collection.</param>
    public void Add(ActiveOrder item)
    {
        int index = _binarySearch(item);

        if (index < 0)
        {
            // If the item isn't present BinarySearch returns the insertion point negated.
            index = ~index;
        }

        if (_size == _items.Length)
        {
            _setCapacity(_items.Length * 2);
        }
        if (index < _size)
        {
            Array.Copy(_items, index, _items, index + 1, _size - index);
        }
        _items[index] = item;
        _size++;
    }

    /// <summary>
    /// Removes the first occurrence of item from the collection.
    /// </summary>
    /// <param name="item">The object to remove</param>
    /// <returns>true if item was successfully removed from the collection, otherwise false. This method also returns false if item is not found.</returns>
    public void Remove(ActiveOrder item)
    {
        int index = indexOf_(item);
        if (index != -1)
        {
            _size--;
            if (index < _size)
            {
                Array.Copy(_items, index + 1, _items, index, _size - index);
            }
        }
    }
}

sealed class ActiveOrder
{
    public readonly int OrderBookID;
    public readonly int OrderReferenceNumber;
    public readonly bool SellIndicator;
    public readonly long UnitPrice;
    public int Quantity;

    /// <summary>
    /// Creates a new <see cref="ActiveOrder" /> class instance.
    /// </summary>
    public ActiveOrder(int orderBookID, int orderReferenceNumber, bool sellIndicator, long unitPrice, int quantity)
    {
        OrderBookID = orderBookID;
        OrderReferenceNumber = orderReferenceNumber;
        SellIndicator = sellIndicator;
        UnitPrice = unitPrice;
        Quantity = quantity;
    }
}

enum EventTypes
{
    Add = 65,
    Execute = 69,
    Cancel = 67,
    Delete = 68
}

sealed class ThreadDetails
{
    public string ConnectionString;
    public Queue<rowDetail> loadQueue = new Queue<rowDetail>();
    public object lockObject = new object();
    public bool finished = false;
    public ManualResetEvent rowsAvailable = new ManualResetEvent(false);
}

public partial class StoredProcedures
{
    private static void _threadProc(object o)
    {
        ThreadDetails td = (ThreadDetails)o;
        using (SqlConnection externalConn = new SqlConnection(td.ConnectionString))
        {
            externalConn.Open();
            object lockObject = td.lockObject;
            Queue<rowDetail> rowQueue = td.loadQueue;
            using (SqlBulkCopy bulkCopy = new SqlBulkCopy(externalConn))
            {
                DataTable outputDataTable = new DataTable("OrderBookState");
                outputDataTable.Columns.Add("EventID", typeof(Int32));
                outputDataTable.Columns.Add("OrderBookID", typeof(Int32));
                outputDataTable.Columns.Add("BestBuyPrice", typeof(Decimal));
                outputDataTable.Columns.Add("BestBuyQuantity", typeof(Int32));
                outputDataTable.Columns.Add("BestSellPrice", typeof(Decimal));
                outputDataTable.Columns.Add("BestSellQuantity", typeof(Int32));
                outputDataTable.Columns.Add("SecondBestBuyPrice", typeof(Decimal));
                outputDataTable.Columns.Add("SecondBestBuyQuantity", typeof(Int32));
                outputDataTable.Columns.Add("SecondBestSellPrice", typeof(Decimal));
                outputDataTable.Columns.Add("SecondBestSellQuantity", typeof(Int32));

                bulkCopy.DestinationTableName = "[dbo].[OrderBookState]";
                bulkCopy.BatchSize = _batchSize;
                DataRowCollection rows = outputDataTable.Rows;
                ManualResetEvent sync = td.rowsAvailable;
                while (true)
                {
                    bool finish = false;
                    sync.WaitOne(System.Threading.Timeout.Infinite);
                    rowDetail[] rowDetailArray;
                    lock (lockObject)
                    {
                        sync.Reset();
                        rowDetailArray = rowQueue.ToArray();
                        rowQueue.Clear();
                        finish = td.finished;
                    }

                    foreach (rowDetail row in rowDetailArray)
                    {
                        rows.Add(row.AddToTable(outputDataTable));
                    }

                    if (finish || rows.Count >= _batchSize)
                    {
                        bulkCopy.WriteToServer(outputDataTable);
                        outputDataTable.Clear();
                    }

                    if (finish)
                    {
                        break;
                    }
                }
            }
        }
    }

    const int _batchSize = 2000;
    const int _signalBatchSize = 1000;
    private static int _ascendingComparison(ActiveOrder x, ActiveOrder y)
    {
        int i = x.UnitPrice.CompareTo(y.UnitPrice);
        if (i != 0)
        {
            return i;
        }
        else
        {
            return x.OrderReferenceNumber.CompareTo(y.OrderReferenceNumber);
        }
    }

    private static int _descendingComparison(ActiveOrder x, ActiveOrder y)
    {
        int i = x.UnitPrice.CompareTo(y.UnitPrice);
        if (i != 0)
        {
            return i * -1;
        }
        else
        {
            return x.OrderReferenceNumber.CompareTo(y.OrderReferenceNumber);
        }
    }

    [Microsoft.SqlServer.Server.SqlProcedure]
    public static void GenerateOrderBookState()
    {
        Dictionary<int, ActiveOrder> ordersByReferenceNumber = new Dictionary<int, ActiveOrder>();
        SortedActiveOrderList buyOrderList = null;
        SortedActiveOrderList sellOrderList = null;

        using (SqlConnection sqlConn = new SqlConnection("context connection=true;"))
        {
            sqlConn.Open();
            string serverName, databaseName;
            using (SqlCommand truncateCommand = new SqlCommand("TRUNCATE TABLE [dbo].[OrderBookState]; SELECT @@SERVERNAME, DB_NAME()", sqlConn))
            {
                using (SqlDataReader reader = truncateCommand.ExecuteReader())
                {
                    reader.Read();
                    serverName = reader.GetString(0);
                    databaseName = reader.GetString(1);
                }
            }

            string externalConnectionString = "Server=" + serverName + ";Initial Catalog=" + databaseName + ";Integrated Security=true;";

            ThreadDetails td = new ThreadDetails();
            td.ConnectionString = externalConnectionString;

            Thread loadThread = new Thread(new ParameterizedThreadStart(_threadProc));
            loadThread.Priority = ThreadPriority.AboveNormal;
            loadThread.Start(td);
            Queue<rowDetail> rowQueue = td.loadQueue;

            EventTypes EventType;
            int OrderReferenceNumber;
            int OrderBookID;
            bool SellIndicator;
            long UnitPrice;
            int Quantity;

            long BestBuyPrice;
            int BestBuyQuantity;
            long BestSellPrice;
            int BestSellQuantity;
            long SecondBestBuyPrice;
            int SecondBestBuyQuantity;
            long SecondBestSellPrice;
            int SecondBestSellQuantity;
            long PrevBestBuyPrice = 0;
            int PrevBestBuyQuantity = 0;
            long PrevBestSellPrice = 0;
            int PrevBestSellQuantity = 0;
            long PrevSecondBestBuyPrice = 0;
            int PrevSecondBestBuyQuantity = 0;
            long PrevSecondBestSellPrice = 0;
            int PrevSecondBestSellQuantity = 0;
            int PrevOrderBookID = -1;

            int outputRowCount = 0;

            object lockObject = td.lockObject;
            using (SqlCommand readCommand = new SqlCommand("SELECT [EventID], ASCII([EventType]) AS [EventType], [OrderReferenceNumber], [OrderBookID], ASCII([BuySellIndicator]) AS [BuySellIndicator], CONVERT([bigint], [UnitPrice] * 100), [Quantity] FROM [OrderBookEvents] ORDER BY [OrderBookID], [EventID]", sqlConn))
            {
                using (SqlDataReader reader = readCommand.ExecuteReader())
                {
                    while (reader.Read())
                    {
                        EventType = (EventTypes)reader.GetInt32(1);
                        OrderReferenceNumber = reader.GetInt32(2);
                        OrderBookID = reader.GetInt32(3);

                        if (OrderBookID != PrevOrderBookID)
                        {
                            buyOrderList = new SortedActiveOrderList(_descendingComparison);
                            sellOrderList = new SortedActiveOrderList(_ascendingComparison);
                        }
                        PrevOrderBookID = OrderBookID;

                        switch (EventType)
                        {
                            case EventTypes.Add:
                            {
                                SellIndicator = reader.GetInt32(4) != 66;
                                UnitPrice = reader.GetInt64(5);
                                Quantity = reader.GetInt32(6);

                                ActiveOrder ao = new ActiveOrder(OrderBookID, OrderReferenceNumber, SellIndicator, UnitPrice, Quantity);
                                ordersByReferenceNumber.Add(OrderReferenceNumber, ao);

                                if (SellIndicator)
                                {
                                    sellOrderList.Add(ao);
                                }
                                else
                                {
                                    buyOrderList.Add(ao);
                                }
                            } break;
                            case EventTypes.Execute:
                            case EventTypes.Cancel:
                            {
                                Quantity = reader.GetInt32(6);

                                ActiveOrder ao = ordersByReferenceNumber[OrderReferenceNumber];
                                if (ao.Quantity == Quantity)
                                {
                                    if (ao.SellIndicator)
                                    {
                                        sellOrderList.Remove(ao);
                                    }
                                    else
                                    {
                                        buyOrderList.Remove(ao);
                                    }
                                    ordersByReferenceNumber.Remove(OrderReferenceNumber);
                                }
                                else
                                {
                                    ao.Quantity -= Quantity;
                                }
                            } break;
                            case EventTypes.Delete:
                            {
                                ActiveOrder ao = ordersByReferenceNumber[OrderReferenceNumber];
                                if (ao.SellIndicator)
                                {
                                    sellOrderList.Remove(ao);
                                }
                                else
                                {
                                    buyOrderList.Remove(ao);
                                }
                                ordersByReferenceNumber.Remove(OrderReferenceNumber);
                            } break;
                        }

                        buyOrderList.GetBestAndSecondBest(out BestBuyPrice, out BestBuyQuantity, out SecondBestBuyPrice, out SecondBestBuyQuantity);
                        sellOrderList.GetBestAndSecondBest(out BestSellPrice, out BestSellQuantity, out SecondBestSellPrice, out SecondBestSellQuantity);

                        if (PrevBestBuyPrice != BestBuyPrice
                         || PrevBestBuyQuantity != BestBuyQuantity
                         || PrevBestSellPrice != BestSellPrice
                         || PrevBestSellQuantity != BestSellQuantity
                         || PrevSecondBestBuyPrice != SecondBestBuyPrice
                         || PrevSecondBestBuyQuantity != SecondBestBuyQuantity
                         || PrevSecondBestSellPrice != SecondBestSellPrice
                         || PrevSecondBestSellQuantity != SecondBestSellQuantity)
                        {
                            rowDetail rd = new rowDetail(reader.GetInt32(0), OrderBookID, BestBuyPrice, BestBuyQuantity, BestSellPrice, BestSellQuantity, SecondBestBuyPrice, SecondBestBuyQuantity, SecondBestSellPrice, SecondBestSellQuantity);
                            lock (lockObject)
                            {
                                rowQueue.Enqueue(rd);
                                if (++outputRowCount >= _signalBatchSize)
                                {
                                    td.rowsAvailable.Set();
                                    outputRowCount = 0;
                                }
                            }

                            PrevBestBuyPrice = BestBuyPrice;
                            PrevBestBuyQuantity = BestBuyQuantity;
                            PrevBestSellPrice = BestSellPrice;
                            PrevBestSellQuantity = BestSellQuantity;
                            PrevSecondBestBuyPrice = SecondBestBuyPrice;
                            PrevSecondBestBuyQuantity = SecondBestBuyQuantity;
                            PrevSecondBestSellPrice = SecondBestSellPrice;
                            PrevSecondBestSellQuantity = SecondBestSellQuantity;
                        }


                    }

                }
            }
            lock (lockObject)
            {
                td.finished = true;
                td.rowsAvailable.Set();
            }
            loadThread.Join();
        }
    }
};

Matt v1

Setup:

CREATE INDEX IX_OrderBookEvents_1 ON [dbo].[OrderBookEvents] ([OrderBookID], [EventID]) INCLUDE ([EventType], [OrderReferenceNumber], [BuySellIndicator], [UnitPrice], [Quantity])
GO
CREATE ASSEMBLY [Challenge6]
AUTHORIZATION [dbo]
FROM
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WITH PERMISSION_SET = EXTERNAL_ACCESS
GO
ALTER ASSEMBLY [Challenge6]
WITH VISIBILITY = ON
GO
CREATE PROCEDURE [dbo].[GenerateOrderBookState]
AS EXTERNAL NAME [Challenge6].[StoredProcedures].[GenerateOrderBookState]
GO

Execute:

EXEC [dbo].[GenerateOrderBookState]

Teardown:

DROP INDEX IX_OrderBookEvents_1 ON [dbo].[OrderBookEvents]
GO
DROP PROCEDURE [dbo].[GenerateOrderBookState]
GO
DROP ASSEMBLY [Challenge6]

Code:

using System;
using System.Data;
using System.Data.SqlClient;
using System.Data.SqlTypes;
using Microsoft.SqlServer.Server;
using System.Collections.Generic;

sealed class SortedList<T> : IEnumerable<T>
{
    /// <summary>
    /// Constructs a <see cref="SortedList&lt;T&gt;"/> object specifying an IComparer for type T
    /// </summary>
    /// <param name="Comparer">The IComparer for type T that compares objects</param>
    public SortedList(IComparer<T> Comparer)
    {
        comparer = Comparer;
    }

    /// <summary>
    /// Adds an item to the list
    /// </summary>
    /// <param name="newItem">The item to add</param>
    /// <returns>The index of the added item</returns>
    int add_(T newItem)
    {
        int index = orderedList.BinarySearch(newItem, comparer);

        if (index < 0)
        {
            // If the item isn't present BinarySearch returns the insertion point negated.
            index = ~index;
        }

        orderedList.Insert(index, newItem);

        return index;
    }

    /// <summary>
    /// Gets the index of the item using a BinarySearch
    /// </summary>
    /// <param name="item">The item to search for</param>
    /// <returns>The index of the item, or it's complement if not found</returns>
    private int indexOf_(T item)
    {
        // As this collection can contain one *or more* of the same item, potentialIndex
        // is only guaranteed to point to an arbitrary item which matches "item" (based on the
        // comparer). 
        int potentialIndex = orderedList.BinarySearch(item, comparer);

        // No hint for the search if potentialIndex is negative.
        if (potentialIndex < 0) potentialIndex = 0;

        // To find the actual item's index we must search forwards and backwards around 
        // potentialIndex until we find an item with the same reference.

        // Search forwards
        for (int i = potentialIndex; i < orderedList.Count; ++i)
        {
            // if we have come to an item that the provided IComparer says is different,
            // then we have searched fare enough already
            if (comparer.Compare(orderedList[i], item) != 0)
            {
                break;
            }
            if (object.ReferenceEquals(orderedList[i], item))
            {
                return i;
            }
        }

        // Search backwards
        for (int i = potentialIndex; i >= 0; --i)
        {
            // if we have come to an item that the provided IComparer says is different,
            // then we have searched fare enough already
            if (comparer.Compare(orderedList[i], item) != 0)
            {
                break;
            }
            if (object.ReferenceEquals(orderedList[i], item))
            {
                return i;
            }
        }

        // Item not found
        return -1;
    }

    /// <summary>
    /// The internal list object
    /// </summary>
    private List<T> orderedList = new List<T>();

    /// <summary>
    /// The comparer
    /// </summary>
    private IComparer<T> comparer;

    #region IEnumerable<T> Members

    /// <summary>
    /// Returns an enumerator that iterates through a collection.
    /// </summary>
    /// <returns>An System.Collections.Generic.IEnumerator&lt;T&gt; object that can be used to iterate through the collection.</returns>
    public IEnumerator<T> GetEnumerator()
    {
        return orderedList.GetEnumerator();
    }

    #endregion

    #region IEnumerable Members

    /// <summary>
    /// Returns an enumerator that iterates through a collection.
    /// </summary>
    /// <returns>An System.Collections.IEnumerator object that can be used to iterate through the collection.</returns>
    System.Collections.IEnumerator System.Collections.IEnumerable.GetEnumerator()
    {
        return orderedList.GetEnumerator();
    }

    #endregion

    /// <summary>
    /// Adds an item to the collection.
    /// </summary>
    /// <param name="item">The object to add to the collection.</param>
    public void Add(T item)
    {
        add_(item);
    }

    /// <summary>
    /// Removes the first occurrence of item from the collection.
    /// </summary>
    /// <param name="item">The object to remove</param>
    /// <returns>true if item was successfully removed from the collection, otherwise false. This method also returns false if item is not found.</returns>
    public void Remove(T item)
    {
        int index = indexOf_(item);
        if (index != -1)
        {
            orderedList.RemoveAt(index);
        }
    }
}

sealed class ActiveOrder
{
    public readonly int OrderBookID;
    public readonly int OrderReferenceNumber;
    public readonly bool SellIndicator;
    public readonly decimal UnitPrice;
    public int Quantity;

    /// <summary>
    /// Creates a new <see cref="ActiveOrder" /> class instance.
    /// </summary>
    public ActiveOrder(int orderBookID, int orderReferenceNumber, bool sellIndicator, decimal unitPrice, int quantity)
    {
        OrderBookID = orderBookID;
        OrderReferenceNumber = orderReferenceNumber;
        SellIndicator = sellIndicator;
        UnitPrice = unitPrice;
        Quantity = quantity;
    }
}

sealed class AscendingPriceComparer : IComparer<ActiveOrder>
{

    #region IComparer<ActiveOrder> Members

    public int Compare(ActiveOrder x, ActiveOrder y)
    {
        int i = x.UnitPrice.CompareTo(y.UnitPrice);
        if (i != 0)
        {
            return i;
        }
        else
        {
            return x.OrderReferenceNumber.CompareTo(y.OrderReferenceNumber);
        }
    }

    #endregion
}

sealed class DescendingPriceComparer : IComparer<ActiveOrder>
{
    #region IComparer<ActiveOrder> Members

    public int Compare(ActiveOrder x, ActiveOrder y)
    {
        int i = x.UnitPrice.CompareTo(y.UnitPrice);
        if (i != 0)
        {
            return i * -1;
        }
        else
        {
            return x.OrderReferenceNumber.CompareTo(y.OrderReferenceNumber);
        }
    }

    #endregion
}

enum EventTypes
{
    Add = 1,
    Execute = 2,
    Cancel = 3,
    Delete = 4
}

public partial class StoredProcedures
{
    const int _batchSize = 1000;

    [Microsoft.SqlServer.Server.SqlProcedure]
    public static void GenerateOrderBookState()
    {
        Dictionary<int, ActiveOrder> ordersByReferenceNumber = new Dictionary<int, ActiveOrder>();
        Dictionary<int, SortedList<ActiveOrder>> buyOrdersByPriceByOrderBookID = new Dictionary<int, SortedList<ActiveOrder>>();
        Dictionary<int, SortedList<ActiveOrder>> sellOrdersByPriceByOrderBookID = new Dictionary<int, SortedList<ActiveOrder>>();

        using (SqlConnection sqlConn = new SqlConnection("context connection=true;"))
        {
            sqlConn.Open();
            string serverName, databaseName;
            using (SqlCommand truncateCommand = new SqlCommand("TRUNCATE TABLE [dbo].[OrderBookState]; SELECT @@SERVERNAME, DB_NAME()", sqlConn))
            {
                using (SqlDataReader reader = truncateCommand.ExecuteReader())
                {
                    reader.Read();
                    serverName = reader.GetString(0);
                    databaseName = reader.GetString(1);
                }
            }

            string externalConnectionString = "Server=" + serverName + ";Initial Catalog=" + databaseName + ";Integrated Security=true;";
            using (SqlConnection externalConn = new SqlConnection(externalConnectionString))
            {
                externalConn.Open();

                int EventID;
                EventTypes EventType;
                int OrderReferenceNumber;
                int OrderBookID;
                bool SellIndicator;
                decimal UnitPrice;
                int Quantity;

                decimal BestBuyPrice;
                int BestBuyQuantity;
                decimal BestSellPrice;
                int BestSellQuantity;
                decimal SecondBestBuyPrice;
                int SecondBestBuyQuantity;
                decimal SecondBestSellPrice;
                int SecondBestSellQuantity;
                decimal PrevBestBuyPrice = 0;
                int PrevBestBuyQuantity = 0;
                decimal PrevBestSellPrice = 0;
                int PrevBestSellQuantity = 0;
                decimal PrevSecondBestBuyPrice = 0;
                int PrevSecondBestBuyQuantity = 0;
                decimal PrevSecondBestSellPrice = 0;
                int PrevSecondBestSellQuantity = 0;

                int outputRowCount = 0;

                DataTable outputDataTable = new DataTable("OrderBookState");
                outputDataTable.Columns.Add("EventID", typeof(Int32));
                outputDataTable.Columns.Add("OrderBookID", typeof(Int32));
                outputDataTable.Columns.Add("BestBuyPrice", typeof(Decimal));
                outputDataTable.Columns.Add("BestBuyQuantity", typeof(Int32));
                outputDataTable.Columns.Add("BestSellPrice", typeof(Decimal));
                outputDataTable.Columns.Add("BestSellQuantity", typeof(Int32));
                outputDataTable.Columns.Add("SecondBestBuyPrice", typeof(Decimal));
                outputDataTable.Columns.Add("SecondBestBuyQuantity", typeof(Int32));
                outputDataTable.Columns.Add("SecondBestSellPrice", typeof(Decimal));
                outputDataTable.Columns.Add("SecondBestSellQuantity", typeof(Int32));

                using (SqlBulkCopy bulkCopy = new SqlBulkCopy(externalConn))
                {
                    bulkCopy.DestinationTableName = "[dbo].[OrderBookState]";
                    bulkCopy.BatchSize = _batchSize;

                    using (SqlCommand readCommand = new SqlCommand("SELECT [EventID], CONVERT([tinyint], CHARINDEX([EventType], 'AECD')) AS [EventType], [OrderReferenceNumber], [OrderBookID], CONVERT([bit], CHARINDEX([BuySellIndicator], 'BS') - 1) AS [BuySellIndicator], [UnitPrice], [Quantity] FROM [OrderBookEvents] ORDER BY [OrderBookID], [EventID]", sqlConn))
                    {
                        using (SqlDataReader reader = readCommand.ExecuteReader())
                        {
                            while (reader.Read())
                            {
                                EventType = (EventTypes)reader.GetByte(1);
                                OrderReferenceNumber = reader.GetInt32(2);
                                OrderBookID = reader.GetInt32(3);

                                SortedList<ActiveOrder> sellOrderList = null;
                                SortedList<ActiveOrder> buyOrderList = null;

                                switch (EventType)
                                {
                                    case EventTypes.Add:
                                    {
                                        SellIndicator = reader.GetBoolean(4);
                                        UnitPrice = reader.GetDecimal(5);
                                        Quantity = reader.GetInt32(6);

                                        ActiveOrder ao = new ActiveOrder(OrderBookID, OrderReferenceNumber, SellIndicator, UnitPrice, Quantity);
                                        ordersByReferenceNumber.Add(OrderReferenceNumber, ao);

                                        if (!sellOrdersByPriceByOrderBookID.TryGetValue(OrderBookID, out sellOrderList))
                                        {
                                            sellOrderList = new SortedList<ActiveOrder>(new AscendingPriceComparer());
                                            sellOrdersByPriceByOrderBookID.Add(OrderBookID, sellOrderList);
                                        }
                                        if (!buyOrdersByPriceByOrderBookID.TryGetValue(OrderBookID, out buyOrderList))
                                        {
                                            buyOrderList = new SortedList<ActiveOrder>(new DescendingPriceComparer());
                                            buyOrdersByPriceByOrderBookID.Add(OrderBookID, buyOrderList);
                                        }

                                        if (SellIndicator)
                                        {
                                            sellOrderList.Add(ao);
                                        }
                                        else
                                        {
                                            buyOrderList.Add(ao);
                                        }
                                    } break;
                                    case EventTypes.Execute:
                                    case EventTypes.Cancel:
                                    {
                                        Quantity = reader.GetInt32(6);

                                        buyOrderList = buyOrdersByPriceByOrderBookID[OrderBookID];
                                        sellOrderList = sellOrdersByPriceByOrderBookID[OrderBookID];

                                        ActiveOrder ao = ordersByReferenceNumber[OrderReferenceNumber];
                                        if (ao.Quantity == Quantity)
                                        {
                                            if (ao.SellIndicator)
                                            {
                                                sellOrderList.Remove(ao);
                                            }
                                            else
                                            {
                                                buyOrderList.Remove(ao);
                                            }
                                            ordersByReferenceNumber.Remove(OrderReferenceNumber);
                                        }
                                        else
                                        {
                                            ao.Quantity -= Quantity;
                                        }
                                    } break;
                                    case EventTypes.Delete:
                                    {
                                        buyOrderList = buyOrdersByPriceByOrderBookID[OrderBookID];
                                        sellOrderList = sellOrdersByPriceByOrderBookID[OrderBookID];

                                        ActiveOrder ao = ordersByReferenceNumber[OrderReferenceNumber];
                                        if (ao.SellIndicator)
                                        {
                                            sellOrderList.Remove(ao);
                                        }
                                        else
                                        {
                                            buyOrderList.Remove(ao);
                                        }
                                        ordersByReferenceNumber.Remove(OrderReferenceNumber);
                                    } break;
                                }

                                _getBestAndSecondBest(buyOrderList, out BestBuyPrice, out BestBuyQuantity, out SecondBestBuyPrice, out SecondBestBuyQuantity);
                                _getBestAndSecondBest(sellOrderList, out BestSellPrice, out BestSellQuantity, out SecondBestSellPrice, out SecondBestSellQuantity);

                                if (PrevBestBuyPrice != BestBuyPrice
                                 || PrevBestBuyQuantity != BestBuyQuantity
                                 || PrevBestSellPrice != BestSellPrice
                                 || PrevBestSellQuantity != BestSellQuantity
                                 || PrevSecondBestBuyPrice != SecondBestBuyPrice
                                 || PrevSecondBestBuyQuantity != SecondBestBuyQuantity
                                 || PrevSecondBestSellPrice != SecondBestSellPrice
                                 || PrevSecondBestSellQuantity != SecondBestSellQuantity)
                                {
                                    EventID = reader.GetInt32(0);

                                    DataRow outputRow = outputDataTable.NewRow();
                                    outputRow[0] = EventID;
                                    outputRow[1] = OrderBookID;
                                    outputRow[2] = BestBuyPrice;
                                    outputRow[3] = BestBuyQuantity;
                                    outputRow[4] = BestSellPrice;
                                    outputRow[5] = BestSellQuantity;
                                    outputRow[6] = SecondBestBuyPrice;
                                    outputRow[7] = SecondBestBuyQuantity;
                                    outputRow[8] = SecondBestSellPrice;
                                    outputRow[9] = SecondBestSellQuantity;
                                    outputDataTable.Rows.Add(outputRow);
                                    if (++outputRowCount >= _batchSize)
                                    {
                                        bulkCopy.WriteToServer(outputDataTable);
                                        outputDataTable.Clear();
                                        outputRowCount = 0;
                                    }

                                    PrevBestBuyPrice = BestBuyPrice;
                                    PrevBestBuyQuantity = BestBuyQuantity;
                                    PrevBestSellPrice = BestSellPrice;
                                    PrevBestSellQuantity = BestSellQuantity;
                                    PrevSecondBestBuyPrice = SecondBestBuyPrice;
                                    PrevSecondBestBuyQuantity = SecondBestBuyQuantity;
                                    PrevSecondBestSellPrice = SecondBestSellPrice;
                                    PrevSecondBestSellQuantity = SecondBestSellQuantity;
                                }


                            }
                            if (outputRowCount > 0)
                            {
                                bulkCopy.WriteToServer(outputDataTable);
                            }
                        }
                    }
                }
            }
        }
    }

    private static void _getBestAndSecondBest(IEnumerable<ActiveOrder> orderedOrders, out decimal BestPrice, out int BestQuantity, out decimal SecondBestPrice, out int SecondBestQuantity)
    {
        IEnumerator<ActiveOrder> enumerator = orderedOrders.GetEnumerator();
        enumerator.Reset();

        ActiveOrder ao;
        if (enumerator.MoveNext())
        {
            ao = enumerator.Current;
            BestPrice = ao.UnitPrice;
            BestQuantity = ao.Quantity;
            SecondBestPrice = 0;
            SecondBestQuantity = 0;
        }
        else
        {
            BestPrice = 0;
            BestQuantity = 0;
            SecondBestPrice = 0;
            SecondBestQuantity = 0;
            return;
        }

        bool b;
        while ((b = enumerator.MoveNext()))
        {
            ao = enumerator.Current;
            decimal price = ao.UnitPrice;
            if (price == BestPrice)
            {
                BestQuantity += ao.Quantity;
            }
            else
            {
                SecondBestPrice = price;
                SecondBestQuantity = ao.Quantity;
                break;
            }
        }

        if (!b)
        {
            return;
        }

        while (enumerator.MoveNext())
        {
            ao = enumerator.Current;
            if (ao.UnitPrice == SecondBestPrice)
            {
                SecondBestQuantity += ao.Quantity;
            }
            else
            {
                return;
            }
        }
    }   
};

Daniel Ross V1

Wow, good work Jahlen you have really put up a nice challenge. I am going to call this "My one and only version cause my head hurts".

CREATE ASSEMBLY [SqlClassLibrary]  
AUTHORIZATION [dbo]  
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 
WITH PERMISSION_SET = EXTERNAL_ACCESS    

GO  

CREATE PROCEDURE [dbo].[orderBook]  
@aServer [nvarchar](4000),  
@aDatabase [nvarchar](4000)  
WITH EXECUTE AS CALLER  
AS  
EXTERNAL NAME [SqlClassLibrary].[stockMarket_CLR.StoredProcedures].[orderBook]  

GO  

then use this

DECLARE @dbName AS NVARCHAR(128)  
DECLARE @serverName AS NVARCHAR(128)  

set @serverName= @@SERVERNAME  
set @dbName= DB_NAME()  

EXEC dbo.orderbook @servername,@dbName 

and here is my code

Imports System
Imports System.Data
Imports System.Data.SqlClient
Imports System.Data.SqlTypes
Imports Microsoft.SqlServer.Server



Partial Public Class StoredProcedures


<Microsoft.SqlServer.Server.SqlProcedure()> _
Public Shared Sub orderBook(ByVal aServer As SqlString, ByVal aDatabase As SqlString)
    Dim htOrder As New Hashtable
    Dim htState As New Hashtable
    Dim htBuy As New Hashtable
    Dim htSell As New Hashtable
    Dim dt As New DataTable
    Dim slSell As New SortedList
    Dim slBuy As New SortedList
    Dim intEventID, intOrderRef, intOrderBook, intQuantity As Integer
    Dim strEventType, strBS As String
    Dim decUnit As Decimal
    Dim aOrder As order
    Dim aState As orderState

    Dim strServer, strDatabase As String
    strServer = aServer.ToString
    strDatabase = aDatabase.ToString
    'initiliase the datatable. this dt holds the data for the orderBookState table
    dt.Columns.Add(New DataColumn("EventID"))
    dt.Columns.Add(New DataColumn("OrderBookID"))
    dt.Columns.Add(New DataColumn("BestBuyPrice"))
    dt.Columns.Add(New DataColumn("BestBuyQuantity"))
    dt.Columns.Add(New DataColumn("BestSellPrice"))
    dt.Columns.Add(New DataColumn("BestSellQuantity"))
    dt.Columns.Add(New DataColumn("SecondBestBuyPrice"))
    dt.Columns.Add(New DataColumn("SecondBestBuyQuantity"))
    dt.Columns.Add(New DataColumn("SecondBestSellPrice"))
    dt.Columns.Add(New DataColumn("SecondBestSellQuantity"))

    Dim sqlComm As New SqlCommand
    Dim sqlDR As SqlDataReader
    Using sqlconn As New SqlConnection
        sqlconn.ConnectionString = "Server=" & strServer & ";Database=" & strDatabase & ";Integrated Security=true"
        sqlconn.Open()

        sqlComm.Connection = sqlconn

        sqlComm.CommandText = "truncate table dbo.OrderBookState"
        sqlComm.ExecuteNonQuery()
        sqlComm.CommandText = "SELECT EventID ,EventType,OrderReferenceNumber,OrderBookID,BuySellIndicator ," & _
        "UnitPrice ,Quantity FROM dbo.OrderBookEvents obe order by eventID"
        sqlDR = sqlComm.ExecuteReader
        While sqlDR.Read
            intEventID = CInt(sqlDR(0).ToString)
            strEventType = sqlDR(1).ToString
            intOrderRef = CInt(sqlDR(2).ToString)
            intOrderBook = CInt(sqlDR(3).ToString)
            strBS = sqlDR(4).ToString
            decUnit = CDec(sqlDR(5).ToString)
            intQuantity = CInt(sqlDR(6).ToString)
            Select Case strEventType
                Case "A"
                    aOrder = New order(intEventID, strEventType, intOrderRef, intOrderBook, strBS, decUnit, intQuantity)
                    If strBS = "S" Then
                        addsell(htOrder, aOrder, slSell, htSell, intOrderRef, intQuantity, decUnit, intOrderBook)
                        updateAS(aOrder, aState, htOrder, htState, htSell, htBuy, slSell, slBuy, intOrderBook, intQuantity, intOrderRef, strBS, decUnit, intEventID, dt)

                    Else
                        addBuy(htOrder, aOrder, slBuy, htBuy, intOrderRef, intQuantity, decUnit, intOrderBook)
                        updateAB(aOrder, aState, htOrder, htState, htSell, htBuy, slSell, slBuy, intOrderBook, intQuantity, intOrderRef, strBS, decUnit, intEventID, dt)
                    End If
                Case "D"
                    delete(aOrder, aState, htOrder, htState, htSell, htBuy, slSell, slBuy, intOrderBook, intQuantity, intOrderRef, strBS, decUnit, intEventID, dt)
                Case "E"
                    cancelOrder(aOrder, aState, htOrder, htState, htSell, htBuy, slSell, slBuy, intOrderBook, intQuantity, intOrderRef, strBS, decUnit, intEventID, dt)
                Case "C"
                    cancelOrder(aOrder, aState, htOrder, htState, htSell, htBuy, slSell, slBuy, intOrderBook, intQuantity, intOrderRef, strBS, decUnit, intEventID, dt)
            End Select
        End While
        sqlDR.Close()
        Using copy As New SqlBulkCopy(sqlconn)
            copy.ColumnMappings.Add(0, 0)
            copy.ColumnMappings.Add(1, 1)
            copy.ColumnMappings.Add(2, 2)
            copy.ColumnMappings.Add(3, 3)
            copy.ColumnMappings.Add(4, 4)
            copy.ColumnMappings.Add(5, 5)
            copy.ColumnMappings.Add(6, 6)
            copy.ColumnMappings.Add(7, 7)
            copy.ColumnMappings.Add(8, 8)
            copy.ColumnMappings.Add(9, 9)
            copy.DestinationTableName = "OrderBookState"
            copy.BatchSize = dt.Rows.Count
            copy.WriteToServer(dt)
            sqlconn.Close()
        End Using
        sqlconn.Dispose()
    End Using
End Sub


Shared Sub cancelOrder(ByRef aorder As order, ByVal aState As orderState, ByRef htorder As Hashtable, ByRef htstate As Hashtable, ByRef htSell As Hashtable, ByRef htBuy As Hashtable, ByRef slSell As SortedList, ByRef slBuy As SortedList, ByVal intOrderBook As Integer, ByVal intQuantity As Integer, ByVal intOrderRef As Integer, ByVal strbs As String, ByVal decUnit As Decimal, ByVal intEventID As Integer, ByVal dt As DataTable)
    aorder = New order(CType(htorder.Item(intOrderRef), order))
    aState = New orderState(CType(htstate.Item(intOrderBook), orderState))
    If strbs = "S" Then
        If aorder.decUnit = aState.decSell Then
            slSell = New SortedList
            slSell = CType(htSell.Item(intOrderBook), SortedList)
            If intQuantity = aState.intSellQ Then
                aState.decSell = aState.decSell2
                aState.intSellQ = aState.intSellQ2
                aState.decSell2 = CDec(slSell.GetKey(2))
                aState.intSellQ2 = CInt(slSell.GetByIndex(2))
                sendrow(aState, dt, intEventID, intOrderBook)
                htstate.Item(intOrderBook) = aState
                slSell.Remove(aorder.decUnit)
                htSell.Item(intOrderBook) = slSell
            Else
                aorder.intQuantity += -intQuantity
                htorder.Item(intOrderRef) = aorder
                aState.intSellQ += -intQuantity
                htstate.Item(intOrderBook) = aState
                sendrow(aState, dt, intEventID, intOrderBook)
                slSell.Item(aorder.decUnit) = aState.intSellQ
                htSell.Item(intOrderBook) = slSell
            End If
        ElseIf aorder.decUnit = aState.decSell2 Then
            slSell = New SortedList
            slSell = CType(htSell.Item(intOrderBook), SortedList)
            If intQuantity = aState.intSellQ2 Then
                aState.decSell2 = CDec(slSell.GetKey(2))
                aState.intSellQ2 = CInt(slSell.GetByIndex(2))
                sendrow(aState, dt, intEventID, intOrderBook)
                htstate.Item(intOrderBook) = aState
                slSell.Remove(aorder.decUnit)
                htSell.Item(intOrderBook) = slSell
            Else
                aState.intSellQ2 += -intQuantity
                aorder.intQuantity += -intQuantity
                htorder.Item(aorder.intOrderRef) = aorder
                sendrow(aState, dt, intEventID, intOrderBook)
                htstate.Item(intOrderBook) = aState
                slSell.Item(aorder.decUnit) = aState.intSellQ2
                htSell.Item(intOrderBook) = slSell
            End If
        Else
            slSell = New SortedList
            slSell = CType(htSell.Item(intOrderBook), SortedList)
            If intQuantity = CInt(slSell.Item(aorder.decUnit)) Then
                slSell.Remove(aorder.decUnit)
                htSell.Item(intOrderBook) = slSell
            Else
                aorder.intQuantity += -intQuantity
                slSell.Item(aorder.decUnit) = CInt(slSell.Item(aorder.decUnit)) - intQuantity
                htorder.Item(aorder.intOrderRef) = aorder
                htSell.Item(intOrderBook) = slSell
            End If

        End If
    Else
        If aorder.decUnit = aState.decBuy Then
            slBuy = New SortedList
            slBuy = CType(htBuy.Item(intOrderBook), SortedList)
            If intQuantity = aState.intBuyQ Then
                aState.decBuy = aState.decBuy2
                aState.intBuyQ = aState.intBuyQ2
                aState.decBuy2 = CDec(slBuy.GetKey(slBuy.Count - 3))
                aState.intBuyQ2 = CInt(slBuy.GetByIndex(slBuy.Count - 3))
                sendrow(aState, dt, intEventID, intOrderBook)
                htstate.Item(intOrderBook) = aState
                slBuy.Remove(aorder.decUnit)
                htBuy.Item(intOrderBook) = slBuy
            Else
                aState.intBuyQ += -intQuantity
                aorder.intQuantity += -intQuantity
                htorder.Item(intOrderRef) = aorder
                sendrow(aState, dt, intEventID, intOrderBook)
                htstate.Item(intOrderBook) = aState
                slBuy.Item(aorder.decUnit) = aState.intBuyQ
                htBuy.Item(intOrderBook) = slBuy
            End If
        ElseIf aorder.decUnit = aState.decBuy2 Then
            slBuy = New SortedList
            slBuy = CType(htBuy.Item(intOrderBook), SortedList)
            If intQuantity = aState.intBuyQ2 Then
                aState.decBuy2 = CDec(slBuy.GetKey(slBuy.Count - 3))
                aState.intBuyQ2 = CInt(slBuy.GetByIndex(slBuy.Count - 3))
                sendrow(aState, dt, intEventID, intOrderBook)
                htstate.Item(intOrderBook) = aState
                slBuy.Remove(aorder.decUnit)
                htBuy.Item(intOrderBook) = slBuy
            Else
                aState.intBuyQ2 += -intQuantity
                aorder.intQuantity += -intQuantity
                htorder.Item(intOrderRef) = aorder
                sendrow(aState, dt, intEventID, intOrderBook)
                htstate.Item(intOrderBook) = aState
                slBuy.Item(aorder.decUnit) = aState.intBuyQ2
                htBuy.Item(intOrderBook) = slBuy
            End If
        Else
            slBuy = New SortedList
            slBuy = CType(htBuy.Item(intOrderBook), SortedList)
            If intQuantity = CInt(slBuy.Item(aorder.decUnit)) Then
                slBuy.Remove(aorder.decUnit)
                htBuy.Item(intOrderBook) = slBuy
            Else
                aorder.intQuantity = aorder.intQuantity - intQuantity
                slBuy.Item(aorder.decUnit) = CInt(slBuy.Item(aorder.decUnit)) - intQuantity
                htorder.Item(intOrderRef) = aorder
                htBuy.Item(intOrderBook) = slBuy
            End If
        End If
    End If

End Sub

Shared Sub delete(ByRef aorder As order, ByVal aState As orderState, ByRef htorder As Hashtable, ByRef htstate As Hashtable, ByRef htSell As Hashtable, ByRef htBuy As Hashtable, ByRef slSell As SortedList, ByRef slBuy As SortedList, ByVal intOrderBook As Integer, ByVal intQuantity As Integer, ByVal intOrderRef As Integer, ByVal strbs As String, ByVal decUnit As Decimal, ByVal intEventID As Integer, ByVal dt As DataTable)
    aorder = New order(CType(htorder.Item(intOrderRef), order))
    aState = New orderState(CType(htstate.Item(intOrderBook), orderState))
    If strbs = "S" Then
        If aorder.decUnit = aState.decSell Then
            slSell = New SortedList
            slSell = CType(htSell.Item(intOrderBook), SortedList)
            If aorder.intQuantity = aState.intSellQ Then
                aState.decSell = aState.decSell2
                aState.intSellQ = aState.intSellQ2
                aState.decSell2 = CDec(slSell.GetKey(2))
                aState.intSellQ2 = CInt(slSell.GetByIndex(2))
                sendrow(aState, dt, intEventID, intOrderBook)
                htstate.Item(intOrderBook) = aState
                slSell.Remove(aorder.decUnit)
                htSell.Item(intOrderBook) = slSell
            Else
                aState.intSellQ += -aorder.intQuantity

                sendrow(aState, dt, intEventID, intOrderBook)
                htstate.Item(intOrderBook) = aState
                slSell.Item(aorder.decUnit) = aState.intSellQ
                htSell.Item(intOrderBook) = slSell
            End If
        ElseIf aorder.decUnit = aState.decSell2 Then
            slSell = New SortedList
            slSell = CType(htSell.Item(intOrderBook), SortedList)
            If aorder.intQuantity = aState.intSellQ2 Then
                aState.decSell2 = CDec(slSell.GetKey(2))
                aState.intSellQ2 = CInt(slSell.GetByIndex(2))
                sendrow(aState, dt, intEventID, intOrderBook)
                htstate.Item(intOrderBook) = aState
                slSell.Remove(aorder.decUnit)
                htSell.Item(intOrderBook) = slSell
            Else
                aState.intSellQ2 += -aorder.intQuantity
                sendrow(aState, dt, intEventID, intOrderBook)
                htstate.Item(intOrderBook) = aState
                slSell.Item(aorder.decUnit) = aState.intSellQ2
                htSell.Item(intOrderBook) = slSell
            End If
        Else
            slSell = New SortedList
            slSell = CType(htSell.Item(intOrderBook), SortedList)
            If aorder.intQuantity = CInt(slSell.Item(aorder.decUnit)) Then
                slSell.Remove(aorder.decUnit)
                htSell.Item(intOrderBook) = slSell
            Else
                slSell.Item(aorder.decUnit) = CInt(slSell.Item(aorder.decUnit)) - aorder.intQuantity
                htSell.Item(intOrderBook) = slSell
            End If
        End If
    Else
        If aorder.decUnit = aState.decBuy Then
            slBuy = New SortedList
            slBuy = CType(htBuy.Item(intOrderBook), SortedList)
            If aorder.intQuantity = aState.intBuyQ Then
                aState.decBuy = aState.decBuy2
                aState.intBuyQ = aState.intBuyQ2
                aState.decBuy2 = CDec(slBuy.GetKey(slBuy.Count - 3))
                aState.intBuyQ2 = CInt(slBuy.GetByIndex(slBuy.Count - 3))
                sendrow(aState, dt, intEventID, intOrderBook)
                htstate.Item(intOrderBook) = aState
                slBuy.Remove(aorder.decUnit)
                htBuy.Item(intOrderBook) = slBuy
            Else
                aState.intBuyQ += -aorder.intQuantity
                sendrow(aState, dt, intEventID, intOrderBook)
                htstate.Item(intOrderBook) = aState
                slBuy.Item(aorder.decUnit) = aState.intBuyQ
                htBuy.Item(intOrderBook) = slBuy
            End If
        ElseIf aorder.decUnit = aState.decBuy2 Then
            slBuy = New SortedList
            slBuy = CType(htBuy.Item(intOrderBook), SortedList)
            If aorder.intQuantity = aState.intBuyQ2 Then
                aState.decBuy2 = CDec(slBuy.GetKey(slBuy.Count - 3))
                aState.intBuyQ2 = CInt(slBuy.GetByIndex(slBuy.Count - 3))
                sendrow(aState, dt, intEventID, intOrderBook)
                htstate.Item(intOrderBook) = aState
                slBuy.Remove(aorder.decUnit)
                htBuy.Item(intOrderBook) = slBuy
            Else
                aState.intBuyQ2 += -aorder.intQuantity
                sendrow(aState, dt, intEventID, intOrderBook)
                htstate.Item(intOrderBook) = aState
                slBuy.Item(aorder.decUnit) = aState.intBuyQ2
                htBuy.Item(intOrderBook) = slBuy
            End If
        Else
            slBuy = New SortedList
            slBuy = CType(htBuy.Item(intOrderBook), SortedList)
            If aorder.intQuantity = CInt(slBuy.Item(aorder.decUnit)) Then
                slBuy.Remove(aorder.decUnit)
                htBuy.Item(intOrderBook) = slBuy
            Else
                slBuy.Item(aorder.decUnit) = CInt(slBuy.Item(aorder.decUnit)) - aorder.intQuantity
                htBuy.Item(intOrderBook) = slBuy
            End If
        End If
    End If
    htorder.Remove(intOrderRef)
End Sub

Shared Sub updateAB(ByRef aorder As order, ByVal aState As orderState, ByRef htorder As Hashtable, ByRef htstate As Hashtable, ByRef htSell As Hashtable, ByRef htBuy As Hashtable, ByRef slSell As SortedList, ByRef slBuy As SortedList, ByVal intOrderBook As Integer, ByVal intQuantity As Integer, ByVal intOrderRef As Integer, ByVal strbs As String, ByVal decUnit As Decimal, ByVal intEventID As Integer, ByVal dt As DataTable)

    If Not htstate.ContainsKey(intOrderBook) Then
        aState = New orderState(0, 0, 0, 0, 0, 0, 0, 0)
        htstate.Add(intOrderBook, aState)
    End If
    aState = New orderState(CType(htstate.Item(intOrderBook), orderState))
    Dim decSell, decSell2, decBuy, decBuy2 As Decimal
    Dim intSellQ, intSellQ2, intBuyQ, intBuyQ2 As Integer
    decSell = aState.decSell
    decSell2 = aState.decSell2
    decBuy = aState.decBuy
    decBuy2 = aState.decBuy2
    intSellQ = aState.intSellQ
    intSellQ2 = aState.intSellQ2
    intBuyQ = aState.intBuyQ
    intBuyQ2 = aState.intBuyQ2

    Select Case decUnit

        Case Is > decBuy

            decBuy2 = decBuy
            intBuyQ2 = intBuyQ
            decBuy = decUnit
            intBuyQ = intQuantity

            aState = New orderState(decSell, decSell2, decBuy, decBuy2, intSellQ, intSellQ2, intBuyQ, intBuyQ2)
            htstate.Item(intOrderBook) = aState
            sendrow(aState, dt, intEventID, intOrderBook)

        Case Is = decBuy
            intBuyQ += intQuantity
            aState = New orderState(decSell, decSell2, decBuy, decBuy2, intSellQ, intSellQ2, intBuyQ, intBuyQ2)
            htstate.Item(intOrderBook) = aState
            sendrow(aState, dt, intEventID, intOrderBook)
        Case Is > decBuy2
            decBuy2 = decUnit
            intBuyQ2 = intQuantity
            aState = New orderState(decSell, decSell2, decBuy, decBuy2, intSellQ, intSellQ2, intBuyQ, intBuyQ2)
            htstate.Item(intOrderBook) = aState
            sendrow(aState, dt, intEventID, intOrderBook)
        Case Is = decBuy2
            intBuyQ2 += intQuantity
            aState = New orderState(decSell, decSell2, decBuy, decBuy2, intSellQ, intSellQ2, intBuyQ, intBuyQ2)
            htstate.Item(intOrderBook) = aState
            sendrow(aState, dt, intEventID, intOrderBook)
    End Select

End Sub

Shared Sub updateAS(ByRef aorder As order, ByVal aState As orderState, ByRef htorder As Hashtable, ByRef htstate As Hashtable, ByRef htSell As Hashtable, ByRef htBuy As Hashtable, ByRef slSell As SortedList, ByRef slBuy As SortedList, ByVal intOrderBook As Integer, ByVal intQuantity As Integer, ByVal intOrderRef As Integer, ByVal strbs As String, ByVal decUnit As Decimal, ByVal intEventID As Integer, ByVal dt As DataTable)

    If Not htstate.ContainsKey(intOrderBook) Then
        aState = New orderState(0, 0, 0, 0, 0, 0, 0, 0)
        htstate.Add(intOrderBook, aState)
    End If

    aState = New orderState(CType(htstate.Item(intOrderBook), orderState))

    Dim decSell, decSell2, decBuy, decBuy2 As Decimal
    Dim intSellQ, intSellQ2, intBuyQ, intBuyQ2 As Integer

    decSell = aState.decSell
    decSell2 = aState.decSell2
    decBuy = aState.decBuy
    decBuy2 = aState.decBuy2
    intSellQ = aState.intSellQ
    intSellQ2 = aState.intSellQ2
    intBuyQ = aState.intBuyQ
    intBuyQ2 = aState.intBuyQ2

    If decSell = 0 Then
        decSell = decUnit + 1
        decSell2 = 0
    ElseIf decSell2 = 0 Then
        decSell2 = decUnit + 1
    End If


    Select Case decUnit
        Case Is < decSell
            If decSell2 <> 0 Then
                decSell2 = decSell
            End If
            intSellQ2 = intSellQ
            decSell = decUnit
            intSellQ = intQuantity

            aState = New orderState(decSell, decSell2, decBuy, decBuy2, intSellQ, intSellQ2, intBuyQ, intBuyQ2)
            htstate.Item(intOrderBook) = aState
            sendrow(aState, dt, intEventID, intOrderBook)
        Case Is = decSell
            intSellQ += intQuantity
            aState = New orderState(decSell, decSell2, decBuy, decBuy2, intSellQ, intSellQ2, intBuyQ, intBuyQ2)
            htstate.Item(intOrderBook) = aState
            sendrow(aState, dt, intEventID, intOrderBook)
        Case Is < decSell2
            decSell2 = decUnit
            intSellQ2 = intQuantity
            aState = New orderState(decSell, decSell2, decBuy, decBuy2, intSellQ, intSellQ2, intBuyQ, intBuyQ2)
            htstate.Item(intOrderBook) = aState
            sendrow(aState, dt, intEventID, intOrderBook)
        Case Is = decSell2
            intSellQ2 += intQuantity
            aState = New orderState(decSell, decSell2, decBuy, decBuy2, intSellQ, intSellQ2, intBuyQ, intBuyQ2)
            htstate.Item(intOrderBook) = aState
            sendrow(aState, dt, intEventID, intOrderBook)
    End Select

End Sub

Shared Sub sendrow(ByVal astate As orderState, ByRef dt As DataTable, ByVal intEventID As Integer, ByVal intOrderBook As Integer)
    Dim row As DataRow
    row = dt.NewRow
    row.Item(0) = intEventID
    row.Item(1) = intOrderBook
    row.Item(2) = astate.decBuy
    row.Item(3) = astate.intBuyQ
    row.Item(4) = astate.decSell
    row.Item(5) = astate.intSellQ
    row.Item(6) = astate.decBuy2
    row.Item(7) = astate.intBuyQ2
    row.Item(8) = astate.decSell2
    row.Item(9) = astate.intSellQ2
    dt.Rows.Add(row)
End Sub

Shared Sub addBuy(ByRef htOrder As Hashtable, ByVal aorder As order, ByRef slBuy As SortedList, ByRef htBuy As Hashtable, ByVal intOrderRef As Integer, ByVal intQuantity As Integer, ByVal decUnit As Decimal, ByVal intOrderBook As Integer)

    Dim intIndex As Integer

    htOrder.Add(intOrderRef, aorder)

    If Not htBuy.ContainsKey(intOrderBook) Then
        slBuy = New SortedList
        slBuy.Add(decUnit, intQuantity)
        htBuy.Add(intOrderBook, slBuy)

    Else
        slBuy = New SortedList
        slBuy = CType(htBuy.Item(intOrderBook), SortedList)

        If slBuy.ContainsKey(decUnit) Then
            intIndex = slBuy.IndexOfKey(decUnit)
            slBuy.SetByIndex(intIndex, CInt(slBuy.GetByIndex(intIndex)) + intQuantity)
            htBuy.Item(intOrderBook) = slBuy
        Else
            slBuy.Add(decUnit, intQuantity)
            htBuy.Item(intOrderBook) = slBuy
        End If

    End If

End Sub

Shared Sub addsell(ByRef htOrder As Hashtable, ByVal aorder As order, ByRef slSell As SortedList, ByRef htSell As Hashtable, ByVal intOrderRef As Integer, ByVal intQuantity As Integer, ByVal decUnit As Decimal, ByVal intOrderBook As Integer)

    Dim intIndex As Integer

    htOrder.Add(intOrderRef, aorder)

    If Not htSell.ContainsKey(intOrderBook) Then
        slSell = New SortedList
        slSell.Add(decUnit, intQuantity)
        htSell.Add(intOrderBook, slSell)

    Else
        slSell = New SortedList
        slSell = CType(htSell.Item(intOrderBook), SortedList)

        If slSell.ContainsKey(decUnit) Then
            intIndex = slSell.IndexOfKey(decUnit)
            slSell.SetByIndex(intIndex, CInt(slSell.GetByIndex(intIndex)) + intQuantity)
            htSell.Item(intOrderBook) = slSell
        Else
            slSell.Add(decUnit, intQuantity)
            htSell.Item(intOrderBook) = slSell
        End If

    End If

End Sub

End Class

Public Class orderState

Public decSell, decSell2, decBuy, decBuy2 As Decimal
Public intSellQ, intSellQ2, intBuyQ, intBuyQ2 As Integer

Sub New(ByVal Sell As Decimal, ByVal Sell2 As Decimal, ByVal Buy As Decimal, ByVal Buy2 As Decimal, ByVal SellQ As Integer, ByVal SellQ2 As Integer, ByVal BuyQ As Integer, ByVal BuyQ2 As Integer)

    decSell = Sell
    decSell2 = Sell2
    decBuy = Buy
    decBuy2 = Buy2
    intSellQ = SellQ
    intSellQ2 = SellQ2
    intBuyQ = BuyQ
    intBuyQ2 = BuyQ2

End Sub

Sub New(ByVal state As orderState)

    decSell = state.decSell
    decSell2 = state.decSell2
    decBuy = state.decBuy
    decBuy2 = state.decBuy2
    intSellQ = state.intSellQ
    intSellQ2 = state.intSellQ2
    intBuyQ = state.intBuyQ
    intBuyQ2 = state.intBuyQ2

End Sub

End Class

Public Class order

Public intEventID, intOrderRef, intOrderBook, intQuantity As Integer
Public strEventType, strBS As String
Public decUnit As Decimal

Sub New(ByVal EventId As Integer, ByVal eventType As String, ByVal OrderRef As Integer, ByVal OrderBook As Integer, ByVal BS As String, ByVal UnitPrice As Decimal, ByVal Quantity As Integer)

    intEventID = EventId
    strEventType = eventType
    intOrderRef = OrderRef
    intOrderBook = OrderBook
    strBS = BS
    intQuantity = Quantity
    decUnit = UnitPrice

End Sub

Sub New(ByVal aOrder As order)

    intEventID = aOrder.intEventID
    strEventType = aOrder.strEventType
    intOrderRef = aOrder.intOrderRef
    intOrderBook = aOrder.intOrderBook
    strBS = aOrder.strBS
    intQuantity = aOrder.intQuantity
    decUnit = aOrder.decUnit

End Sub

End Class

Matt v2 - The 'don't do this at home kinds' version. I wouldn't put this in production, because it's an UNSAFE assembly, due to threading. But it does run a bit quicker than my single thread version.

Setup:

CREATE INDEX IX_OrderBookEvents_1 ON [dbo].[OrderBookEvents] ([OrderBookID], [EventID]) INCLUDE ([EventType], [OrderReferenceNumber], [BuySellIndicator], [UnitPrice], [Quantity])
GO
CREATE ASSEMBLY [Challenge6]
AUTHORIZATION [dbo]
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WITH PERMISSION_SET = UNSAFE
GO
ALTER ASSEMBLY [Challenge6]
WITH VISIBILITY = ON    
GO
CREATE PROCEDURE [dbo].[GenerateOrderBookState]
AS EXTERNAL NAME [Challenge6].[StoredProcedures].[GenerateOrderBookState]
GO

Execute:

EXEC [dbo].[GenerateOrderBookState]

Teardown:

DROP INDEX IX_OrderBookEvents_1 ON [dbo].[OrderBookEvents]
GO
DROP PROCEDURE [dbo].[GenerateOrderBookState]
GO
DROP ASSEMBLY [Challenge6]

Code:

using System;
using System.Data;
using System.Data.SqlClient;
using System.Data.SqlTypes;
using Microsoft.SqlServer.Server;
using System.Collections.Generic;
using System.Collections;
using System.Threading;
using System.IO;

struct rowDetail
{
    public int EventID;
    public int OrderBookID;
    public decimal BestBuyPrice;
    public int BestBuyQuantity;
    public decimal BestSellPrice;
    public int BestSellQuantity;
    public decimal SecondBestBuyPrice;
    public int SecondBestBuyQuantity;
    public decimal SecondBestSellPrice;
    public int SecondBestSellQuantity;

    /// <summary>
    /// Creates a new <see cref="rowDetail" /> class instance.
    /// </summary>
    public rowDetail(int eventID,
    int orderBookID,
    decimal bestBuyPrice,
    int bestBuyQuantity,
    decimal bestSellPrice,
    int bestSellQuantity,
    decimal secondBestBuyPrice,
    int secondBestBuyQuantity,
    decimal secondBestSellPrice,
    int secondBestSellQuantity)
    {
        this.EventID = eventID;
        this.OrderBookID = orderBookID;
        this.BestBuyPrice = bestBuyPrice;
        this.BestBuyQuantity = bestBuyQuantity;
        this.BestSellPrice = bestSellPrice;
        this.BestSellQuantity = bestSellQuantity;
        this.SecondBestBuyPrice = secondBestBuyPrice;
        this.SecondBestBuyQuantity = secondBestBuyQuantity;
        this.SecondBestSellPrice = secondBestSellPrice;
        this.SecondBestSellQuantity = secondBestSellQuantity;
    }

    internal DataRow AddToTable(DataTable outputDataTable)
    {
        DataRow outputRow = outputDataTable.NewRow();
        outputRow[0] = EventID;
        outputRow[1] = OrderBookID;
        outputRow[2] = BestBuyPrice;
        outputRow[3] = BestBuyQuantity;
        outputRow[4] = BestSellPrice;
        outputRow[5] = BestSellQuantity;
        outputRow[6] = SecondBestBuyPrice;
        outputRow[7] = SecondBestBuyQuantity;
        outputRow[8] = SecondBestSellPrice;
        outputRow[9] = SecondBestSellQuantity;
        return outputRow;
    }
}

delegate int ActiveOrderComparison(ActiveOrder x, ActiveOrder y);

sealed class SortedActiveOrderList : IEnumerable<ActiveOrder>
{
    ActiveOrderComparison _comparison;

    /// <summary>
    /// Constructs a <see cref="SortedList&lt;T&gt;"/> object specifying an IComparer for type T
    /// </summary>
    /// <param name="Comparer">The IComparer for type T that compares objects</param>
    public SortedActiveOrderList(ActiveOrderComparison comparison)
    {
        _comparison = comparison;
    }

    int _binarySearch(ActiveOrder value)
    {
        int lo = 0;
        int hi = orderedList.Count - 1;
        while (lo <= hi)
        {
            int i = lo + ((hi - lo) >> 1);
            int order = _comparison(orderedList[i], value);

            if (order == 0) return i;
            if (order < 0)
            {
                lo = i + 1;
            }
            else
            {
                hi = i - 1;
            }
        }

        return ~lo;
    }

    /// <summary>
    /// Gets the index of the item using a BinarySearch
    /// </summary>
    /// <param name="item">The item to search for</param>
    /// <returns>The index of the item, or it's complement if not found</returns>
    private int indexOf_(ActiveOrder item)
    {
        // As this collection can contain one *or more* of the same item, potentialIndex
        // is only guaranteed to point to an arbitrary item which matches "item" (based on the
        // comparer). 
        int potentialIndex = _binarySearch(item);
        return (potentialIndex < 0) ? -1 : potentialIndex;

        // No hint for the search if potentialIndex is negative.
        if (potentialIndex < 0) potentialIndex = 0;

        // To find the actual item's index we must search forwards and backwards around 
        // potentialIndex until we find an item with the same reference.

        // Search forwards
        for (int i = potentialIndex; i < orderedList.Count; ++i)
        {
            // if we have come to an item that the provided IComparer says is different,
            // then we have searched fare enough already
            if (_comparison(orderedList[i], item) != 0)
            {
                break;
            }
            if (object.ReferenceEquals(orderedList[i], item))
            {
                return i;
            }
        }

        // Search backwards
        for (int i = potentialIndex; i >= 0; --i)
        {
            // if we have come to an item that the provided IComparer says is different,
            // then we have searched fare enough already
            if (_comparison(orderedList[i], item) != 0)
            {
                break;
            }
            if (object.ReferenceEquals(orderedList[i], item))
            {
                return i;
            }
        }

        // Item not found
        return -1;
    }

    /// <summary>
    /// The internal list object
    /// </summary>
    private List<ActiveOrder> orderedList = new List<ActiveOrder>();

    #region IEnumerable<ActiveOrder> Members

    /// <summary>
    /// Returns an enumerator that iterates through a collection.
    /// </summary>
    /// <returns>An System.Collections.Generic.IEnumerator&lt;T&gt; object that can be used to iterate through the collection.</returns>
    public IEnumerator<ActiveOrder> GetEnumerator()
    {
        return orderedList.GetEnumerator();
    }

    #endregion

    #region IEnumerable Members

    /// <summary>
    /// Returns an enumerator that iterates through a collection.
    /// </summary>
    /// <returns>An System.Collections.IEnumerator object that can be used to iterate through the collection.</returns>
    System.Collections.IEnumerator System.Collections.IEnumerable.GetEnumerator()
    {
        return orderedList.GetEnumerator();
    }

    #endregion

    /// <summary>
    /// Adds an item to the collection.
    /// </summary>
    /// <param name="item">The object to add to the collection.</param>
    public void Add(ActiveOrder item)
    {
        int index = _binarySearch(item);

        if (index < 0)
        {
            // If the item isn't present BinarySearch returns the insertion point negated.
            index = ~index;
        }

        orderedList.Insert(index, item);
    }

    /// <summary>
    /// Removes the first occurrence of item from the collection.
    /// </summary>
    /// <param name="item">The object to remove</param>
    /// <returns>true if item was successfully removed from the collection, otherwise false. This method also returns false if item is not found.</returns>
    public void Remove(ActiveOrder item)
    {
        int index = indexOf_(item);
        if (index != -1)
        {
            orderedList.RemoveAt(index);
        }
    }
}

sealed class ActiveOrder
{
    public readonly int OrderBookID;
    public readonly int OrderReferenceNumber;
    public readonly bool SellIndicator;
    public readonly decimal UnitPrice;
    public int Quantity;

    /// <summary>
    /// Creates a new <see cref="ActiveOrder" /> class instance.
    /// </summary>
    public ActiveOrder(int orderBookID, int orderReferenceNumber, bool sellIndicator, decimal unitPrice, int quantity)
    {
        OrderBookID = orderBookID;
        OrderReferenceNumber = orderReferenceNumber;
        SellIndicator = sellIndicator;
        UnitPrice = unitPrice;
        Quantity = quantity;
    }
}

enum EventTypes
{
    Add = 65,
    Execute = 69,
    Cancel = 67,
    Delete = 68
}

sealed class ThreadDetails
{
    public string ConnectionString;
    public Queue<rowDetail> loadQueue = new Queue<rowDetail>();
    public object lockObject = new object();
    public bool finished = false;
    public ManualResetEvent rowsAvailable = new ManualResetEvent(false);
}

public partial class StoredProcedures
{
    private static void _threadProc(object o)
    {
        ThreadDetails td = (ThreadDetails)o;
        using (SqlConnection externalConn = new SqlConnection(td.ConnectionString))
        {
            externalConn.Open();
            object lockObject = td.lockObject;
            Queue<rowDetail> rowQueue = td.loadQueue;
            using (SqlBulkCopy bulkCopy = new SqlBulkCopy(externalConn))
            {
                DataTable outputDataTable = new DataTable("OrderBookState");
                outputDataTable.Columns.Add("EventID", typeof(Int32));
                outputDataTable.Columns.Add("OrderBookID", typeof(Int32));
                outputDataTable.Columns.Add("BestBuyPrice", typeof(Decimal));
                outputDataTable.Columns.Add("BestBuyQuantity", typeof(Int32));
                outputDataTable.Columns.Add("BestSellPrice", typeof(Decimal));
                outputDataTable.Columns.Add("BestSellQuantity", typeof(Int32));
                outputDataTable.Columns.Add("SecondBestBuyPrice", typeof(Decimal));
                outputDataTable.Columns.Add("SecondBestBuyQuantity", typeof(Int32));
                outputDataTable.Columns.Add("SecondBestSellPrice", typeof(Decimal));
                outputDataTable.Columns.Add("SecondBestSellQuantity", typeof(Int32));

                bulkCopy.DestinationTableName = "[dbo].[OrderBookState]";
                bulkCopy.BatchSize = _batchSize;
                DataRowCollection rows = outputDataTable.Rows;
                ManualResetEvent sync = td.rowsAvailable;
                while (true)
                {
                    bool finish = false;
                    sync.WaitOne(System.Threading.Timeout.Infinite);
                    rowDetail[] rowDetailArray;
                    lock (lockObject)
                    {
                        sync.Reset();
                        rowDetailArray = rowQueue.ToArray();
                        rowQueue.Clear();
                        finish = td.finished;
                    }

                    foreach (rowDetail row in rowDetailArray)
                    {
                        rows.Add(row.AddToTable(outputDataTable));
                    }

                    if (finish || rows.Count >= _batchSize)
                    {
                        bulkCopy.WriteToServer(outputDataTable);
                        outputDataTable.Clear();
                    }

                    if (finish)
                    {
                        break;
                    }
                }
            }
        }
    }

    const int _batchSize = 2000;
    const int _signalBatchSize = 1000;
    private static int _ascendingComparison(ActiveOrder x, ActiveOrder y)
    {
        int i = x.UnitPrice.CompareTo(y.UnitPrice);
        if (i != 0)
        {
            return i;
        }
        else
        {
            return x.OrderReferenceNumber.CompareTo(y.OrderReferenceNumber);
        }
    }

    private static int _descendingComparison(ActiveOrder x, ActiveOrder y)
    {
        int i = x.UnitPrice.CompareTo(y.UnitPrice);
        if (i != 0)
        {
            return i * -1;
        }
        else
        {
            return x.OrderReferenceNumber.CompareTo(y.OrderReferenceNumber);
        }
    }

    [Microsoft.SqlServer.Server.SqlProcedure]
    public static void GenerateOrderBookState()
    {
        Dictionary<int, ActiveOrder> ordersByReferenceNumber = new Dictionary<int, ActiveOrder>();
        SortedActiveOrderList buyOrderList = null;
        SortedActiveOrderList sellOrderList = null;

        using (SqlConnection sqlConn = new SqlConnection("context connection=true;"))
        {
            sqlConn.Open();
            string serverName, databaseName;
            using (SqlCommand truncateCommand = new SqlCommand("TRUNCATE TABLE [dbo].[OrderBookState]; SELECT @@SERVERNAME, DB_NAME()", sqlConn))
            {
                using (SqlDataReader reader = truncateCommand.ExecuteReader())
                {
                    reader.Read();
                    serverName = reader.GetString(0);
                    databaseName = reader.GetString(1);
                }
            }

            string externalConnectionString = "Server=" + serverName + ";Initial Catalog=" + databaseName + ";Integrated Security=true;";

            ThreadDetails td = new ThreadDetails();
            td.ConnectionString = externalConnectionString;

            Thread loadThread = new Thread(new ParameterizedThreadStart(_threadProc));
            loadThread.Priority = ThreadPriority.AboveNormal;
            loadThread.Start(td);
            Queue<rowDetail> rowQueue = td.loadQueue;

            EventTypes EventType;
            int OrderReferenceNumber;
            int OrderBookID;
            bool SellIndicator;
            decimal UnitPrice;
            int Quantity;

            decimal BestBuyPrice;
            int BestBuyQuantity;
            decimal BestSellPrice;
            int BestSellQuantity;
            decimal SecondBestBuyPrice;
            int SecondBestBuyQuantity;
            decimal SecondBestSellPrice;
            int SecondBestSellQuantity;
            decimal PrevBestBuyPrice = 0;
            int PrevBestBuyQuantity = 0;
            decimal PrevBestSellPrice = 0;
            int PrevBestSellQuantity = 0;
            decimal PrevSecondBestBuyPrice = 0;
            int PrevSecondBestBuyQuantity = 0;
            decimal PrevSecondBestSellPrice = 0;
            int PrevSecondBestSellQuantity = 0;
            int PrevOrderBookID = -1;

            int outputRowCount = 0;

            object lockObject = td.lockObject;
            using (SqlCommand readCommand = new SqlCommand("SELECT [EventID], ASCII([EventType]) AS [EventType], [OrderReferenceNumber], [OrderBookID], ASCII([BuySellIndicator]) AS [BuySellIndicator], [UnitPrice], [Quantity] FROM [OrderBookEvents] ORDER BY [OrderBookID], [EventID]", sqlConn))
            {
                using (SqlDataReader reader = readCommand.ExecuteReader())
                {
                    while (reader.Read())
                    {
                        EventType = (EventTypes)reader.GetInt32(1);
                        OrderReferenceNumber = reader.GetInt32(2);
                        OrderBookID = reader.GetInt32(3);

                        if (OrderBookID != PrevOrderBookID)
                        {
                            buyOrderList = new SortedActiveOrderList(_descendingComparison);
                            sellOrderList = new SortedActiveOrderList(_ascendingComparison);
                        }
                        PrevOrderBookID = OrderBookID;

                        switch (EventType)
                        {
                            case EventTypes.Add:
                            {
                                SellIndicator = reader.GetInt32(4) != 66;
                                UnitPrice = reader.GetDecimal(5);
                                Quantity = reader.GetInt32(6);

                                ActiveOrder ao = new ActiveOrder(OrderBookID, OrderReferenceNumber, SellIndicator, UnitPrice, Quantity);
                                ordersByReferenceNumber.Add(OrderReferenceNumber, ao);

                                if (SellIndicator)
                                {
                                    sellOrderList.Add(ao);
                                }
                                else
                                {
                                    buyOrderList.Add(ao);
                                }
                            } break;
                            case EventTypes.Execute:
                            case EventTypes.Cancel:
                            {
                                Quantity = reader.GetInt32(6);

                                ActiveOrder ao = ordersByReferenceNumber[OrderReferenceNumber];
                                if (ao.Quantity == Quantity)
                                {
                                    if (ao.SellIndicator)
                                    {
                                        sellOrderList.Remove(ao);
                                    }
                                    else
                                    {
                                        buyOrderList.Remove(ao);
                                    }
                                    ordersByReferenceNumber.Remove(OrderReferenceNumber);
                                }
                                else
                                {
                                    ao.Quantity -= Quantity;
                                }
                            } break;
                            case EventTypes.Delete:
                            {
                                ActiveOrder ao = ordersByReferenceNumber[OrderReferenceNumber];
                                if (ao.SellIndicator)
                                {
                                    sellOrderList.Remove(ao);
                                }
                                else
                                {
                                    buyOrderList.Remove(ao);
                                }
                                ordersByReferenceNumber.Remove(OrderReferenceNumber);
                            } break;
                        }

                        _getBestAndSecondBest(buyOrderList, out BestBuyPrice, out BestBuyQuantity, out SecondBestBuyPrice, out SecondBestBuyQuantity);
                        _getBestAndSecondBest(sellOrderList, out BestSellPrice, out BestSellQuantity, out SecondBestSellPrice, out SecondBestSellQuantity);

                        if (PrevBestBuyPrice != BestBuyPrice
                         || PrevBestBuyQuantity != BestBuyQuantity
                         || PrevBestSellPrice != BestSellPrice
                         || PrevBestSellQuantity != BestSellQuantity
                         || PrevSecondBestBuyPrice != SecondBestBuyPrice
                         || PrevSecondBestBuyQuantity != SecondBestBuyQuantity
                         || PrevSecondBestSellPrice != SecondBestSellPrice
                         || PrevSecondBestSellQuantity != SecondBestSellQuantity)
                        {
                            rowDetail rd = new rowDetail(reader.GetInt32(0), OrderBookID, BestBuyPrice, BestBuyQuantity, BestSellPrice, BestSellQuantity, SecondBestBuyPrice, SecondBestBuyQuantity, SecondBestSellPrice, SecondBestSellQuantity);
                            lock (lockObject)
                            {
                                rowQueue.Enqueue(rd);
                                if (++outputRowCount >= _signalBatchSize)
                                {
                                    td.rowsAvailable.Set();
                                    outputRowCount = 0;
                                }
                            }

                            PrevBestBuyPrice = BestBuyPrice;
                            PrevBestBuyQuantity = BestBuyQuantity;
                            PrevBestSellPrice = BestSellPrice;
                            PrevBestSellQuantity = BestSellQuantity;
                            PrevSecondBestBuyPrice = SecondBestBuyPrice;
                            PrevSecondBestBuyQuantity = SecondBestBuyQuantity;
                            PrevSecondBestSellPrice = SecondBestSellPrice;
                            PrevSecondBestSellQuantity = SecondBestSellQuantity;
                        }


                    }

                }
            }
            lock (lockObject)
            {
                td.finished = true;
                td.rowsAvailable.Set();
            }
            loadThread.Join();
        }
    }

    private static void _getBestAndSecondBest(IEnumerable<ActiveOrder> orderedOrders, out decimal BestPrice, out int BestQuantity, out decimal SecondBestPrice, out int SecondBestQuantity)
    {
        IEnumerator<ActiveOrder> enumerator = orderedOrders.GetEnumerator();
        enumerator.Reset();

        ActiveOrder ao;
        if (enumerator.MoveNext())
        {
            ao = enumerator.Current;
            BestPrice = ao.UnitPrice;
            BestQuantity = ao.Quantity;
            SecondBestPrice = 0;
            SecondBestQuantity = 0;
        }
        else
        {
            BestPrice = 0;
            BestQuantity = 0;
            SecondBestPrice = 0;
            SecondBestQuantity = 0;
            return;
        }

        bool b;
        while ((b = enumerator.MoveNext()))
        {
            ao = enumerator.Current;
            decimal price = ao.UnitPrice;
            if (price == BestPrice)
            {
                BestQuantity += ao.Quantity;
            }
            else
            {
                SecondBestPrice = price;
                SecondBestQuantity = ao.Quantity;
                break;
            }
        }

        if (!b)
        {
            return;
        }

        while (enumerator.MoveNext())
        {
            ao = enumerator.Current;
            if (ao.UnitPrice == SecondBestPrice)
            {
                SecondBestQuantity += ao.Quantity;
            }
            else
            {
                return;
            }
        }
    }
};

Phil Factor Cursor 1C

I think I'm going for the 'Best Cursor Solution' prize. This modification makes the slow cursor solution run in 21 minutes on my machine. (runs twice as fast). It is really just a test-bed for a 'quirky' solution that unfortunately doesn't run error-free because the Quirky Update seems to allow only one correlated subquery (the next one returns null at the slightest provocation). Al I'm doing is to eliminate all the events that shouldn't require a complete recalculation of the first and second places. If, after all, the event involves a BUY, then how can that affect the best SELL prices?. (and so on) This eliminates most of the events that require a recalculation of the best and second best ...

     DECLARE @EventID INT ,
      @EventType CHAR(1) ,
      @OrderReferenceNumber INT ,
      @OrderBookID INT ,
      @BuySellIndicator CHAR(1) ,
      @UnitPrice DECIMAL(18, 2) ,
      @BookPrice DECIMAL(18, 2) ,
      @Quantity INT ,
      @BestBuyPrice DECIMAL(18, 2) ,
      @BestBuyQuantity INT ,
      @BestSellPrice DECIMAL(18, 2) ,
      @BestSellQuantity INT ,
      @SecondBestBuyPrice DECIMAL(18, 2) ,
      @SecondBestBuyQuantity INT ,
      @SecondBestSellPrice DECIMAL(18, 2) ,
      @SecondBestSellQuantity INT ,
      @PrevBestBuyPrice DECIMAL(18, 2) ,
      @PrevBestBuyQuantity INT ,
      @PrevBestSellPrice DECIMAL(18, 2) ,
      @PrevBestSellQuantity INT ,
      @PrevSecondBestBuyPrice DECIMAL(18, 2) ,
      @PrevSecondBestBuyQuantity INT ,
      @PrevSecondBestSellPrice DECIMAL(18, 2) ,
      @PrevSecondBestSellQuantity INT ,
      @PrevOrderBookID INT ,
      @Impact INT

    TRUNCATE TABLE OrderBookState

    DROP TABLE #OrderBook
    CREATE TABLE [dbo].#OrderBook (
    [EventID] [int] NOT NULL ,
    [EventType] [char](1) NOT NULL ,
    [OrderReferenceNumber] [int] NOT NULL ,
    [OrderBookID] [int] NOT NULL ,
    [BuySellIndicator] [char](1) NOT NULL ,
    [UnitPrice] [decimal](18, 2) NOT NULL ,
    [Quantity] [int] NOT NULL ,
    currentQuantity INT NULL ,
    BookPrice [decimal](18, 2) NULL ,
    ValidToEventID INT NULL, )

    CREATE CLUSTERED INDEX upwardsIndex ON  #OrderBook(OrderReferenceNumber ASC,eventID ASC)

    INSERT  INTO #OrderBook
            ( EventID ,
              EventType ,
              OrderReferenceNumber ,
              OrderBookID ,
              BuySellIndicator ,
              UnitPrice ,
              Quantity )
            SELECT  EventID ,
                    EventType ,
                    OrderReferenceNumber ,
                    OrderBookID ,
                    BuySellIndicator ,
                    UnitPrice ,
                    Quantity
            FROM    dbo.OrderBookEvents
            ORDER BY eventid

    DECLARE @OldOrn INT ,
      @currentQuantity INT

    UPDATE  #OrderBook
    SET     @currentQuantity = CurrentQuantity = CASE WHEN OrderReferenceNumber = @OldORN
                                                      THEN @currentQuantity
                                                      ELSE 0
                                                 END + CASE EventType
                                                         WHEN 'a'
                                                         THEN +quantity
                                                         WHEN 'C'
                                                         THEN -quantity
                                                         WHEN 'e'
                                                         THEN -quantity
                                                         WHEN 'd'
                                                         THEN -@currentQuantity
                                                         ELSE 0
                                                       END ,
            @bookPrice = bookprice = CASE EventType
                                       WHEN 'a' THEN Unitprice
                                       ELSE @bookprice
                                     END ,
            @OldOrn = OrderReferenceNumber

    DROP INDEX #OrderBook.upwardsIndex
--CREATE CLUSTERED INDEX EventidIndex ON  #OrderBook(orderbookid,eventID asc)

    SET NOCOUNT ON

    DECLARE @ActiveOrders TABLE (
      OrderBookID INT NOT NULL ,
      OrderReferenceNumber INT NOT NULL
                               PRIMARY KEY ,
      BuySellIndicator CHAR(1) NOT NULL ,
      UnitPrice DECIMAL(18, 2) NOT NULL ,
      Quantity INT NOT NULL ) 


    DECLARE SlowSolution CURSOR fast_forward
    FOR
    SELECT  [EventID]
    ,[EventType]
    ,[OrderReferenceNumber]
    ,[OrderBookID]
    ,[BuySellIndicator]
    ,[UnitPrice]
    ,[BookPrice]
    ,[Quantity]
    FROM [#OrderBook]
    ORDER BY [OrderBookID],[EventID] 
    FOR READ ONLY

    SET @PrevBestBuyPrice = 0
    SET @PrevBestBuyQuantity = 0
    SET @PrevBestSellPrice = 0
    SET @PrevBestSellQuantity = 0
    SET @PrevSecondBestBuyPrice = 0
    SET @PrevSecondBestBuyQuantity = 0
    SET @PrevSecondBestSellPrice = 0
    SET @PrevSecondBestSellQuantity = 0
    SET @PrevOrderBookID = 0

    OPEN SlowSolution
    FETCH NEXT FROM SlowSolution
    INTO @EventID, @EventType, @OrderReferenceNumber, @OrderBookID,
       @BuySellIndicator, @UnitPrice, @bookPrice, @Quantity
    WHILE @@FETCH_STATUS = 0 
      BEGIN
        IF @EventType = 'A' 
          BEGIN
            INSERT  INTO @ActiveOrders
                    ( OrderBookID ,
                      OrderReferenceNumber ,
                      BuySellIndicator ,
                      UnitPrice ,
                      Quantity )
            VALUES  ( @OrderBookID ,
                      @OrderReferenceNumber ,
                      @BuySellIndicator ,
                      @UnitPrice ,
                      @Quantity )
          END
        IF @EventType IN ( 'E', 'C' ) 
          BEGIN
            UPDATE  @ActiveOrders
            SET     Quantity = Quantity - @Quantity
            WHERE   OrderReferenceNumber = @OrderReferenceNumber
            DELETE  FROM @ActiveOrders
            WHERE   OrderReferenceNumber = @OrderReferenceNumber AND Quantity = 0
          END
        IF @EventType = 'D' 
          BEGIN
            DELETE  FROM @ActiveOrders
            WHERE   OrderReferenceNumber = @OrderReferenceNumber
          END

        SET @BestBuyPrice = 0
        SET @BestBuyQuantity = 0
        SET @BestSellPrice = 0
        SET @BestSellQuantity = 0
        SET @SecondBestBuyPrice = 0
        SET @SecondBestBuyQuantity = 0
        SET @SecondBestSellPrice = 0
        SET @SecondBestSellQuantity = 0

        IF @BuySellIndicator = 'B' AND @PrevOrderBookID = @OrderBookID 
          BEGIN 
         --if it is a buy on the same book, then nothing will affect the sell prices or quantities
            SELECT  @BestSellPrice = @PrevBestSellPrice ,
                    @BestSellQuantity = @PrevBestSellQuantity ,
                    @SecondBestSellPrice = @PrevSecondBestSellPrice ,
                    @SecondBestSellQuantity = @PrevSecondBestSellQuantity

            IF @BookPrice < @PrevSecondBestBuyPrice--then the price and quantity aren't affected
              SELECT  @BestBuyPrice = @PrevBestBuyPrice ,
                      @BestBuyQuantity = @PrevBestBuyQuantity ,
                      @SecondBestBuyPrice = @PrevSecondBestBuyPrice ,
                      @SecondBestBuyQuantity = @PrevSecondBestBuyQuantity

            ELSE 
              IF @eventtype = 'A' AND @BookPrice < @PrevBestBuyPrice 
                     AND @BookPrice > @PrevSecondBestBuyPrice --new second-best price
                SELECT  @BestBuyPrice = @PrevBestBuyPrice ,
                        @BestBuyQuantity = @PrevBestBuyQuantity ,
                        @SecondBestBuyPrice = @BookPrice ,
                        @SecondBestBuyQuantity = @Quantity

              ELSE 
                IF @BookPrice = @PrevBestBuyPrice --SOME more quantity FOR the best price
                  SELECT  @BestBuyPrice = @PrevBestBuyPrice ,
                          @BestBuyQuantity = @PrevBestBuyQuantity + CASE @eventtype
                                                          WHEN 'A'
                                                          THEN @quantity
                                                          WHEN 'D'
                                                          THEN -@PrevBestBuyQuantity
                                                          ELSE -@Quantity
                                                          END ,
                          @SecondBestBuyPrice = CASE WHEN @BestBuyQuantity = 0
                                                     THEN 0
                                                     ELSE @PrevSecondBestBuyPrice
                                                END ,--invalidate the second best
                          @SecondBestBuyQuantity = @PrevSecondBestBuyQuantity

                ELSE 
                  IF @BookPrice = @PrevSecondBestBuyPrice --SOME more quantity FOR the second-best price
                    SELECT  @BestBuyPrice = @PrevBestBuyPrice ,
                            @BestBuyQuantity = @PrevBestBuyQuantity ,
                            @SecondBestBuyPrice = @BookPrice ,
                            @SecondBestBuyQuantity = @PrevSecondBestBuyQuantity + CASE @eventtype
                                                          WHEN 'A'
                                                          THEN @quantity
                                                          WHEN 'D'
                                                          THEN -@PrevSecondBestBuyQuantity
                                                          ELSE -@Quantity
                                                          END

                  ELSE 
                    IF @eventtype = 'A' AND @BookPrice > @PrevBestBuyPrice --new best price
                      SELECT  @BestBuyPrice = @BookPrice ,
                              @BestBuyQuantity = @Quantity ,
                              @SecondBestBuyPrice = @PrevBestBuyPrice ,
                              @SecondBestBuyQuantity = @PrevBestBuyQuantity 
          END
        ELSE 
          IF @BuySellIndicator = 'S' AND @PrevOrderBookID = @OrderBookID 
            BEGIN 
         --if it is a sell on the same book, then nothing will affect the buy prices or quantities
              SELECT  @BestBuyPrice = @PrevBestBuyPrice ,
                      @BestBuyQuantity = @PrevBestBuyQuantity ,
                      @SecondBestBuyPrice = @PrevSecondBestBuyPrice ,
                      @SecondBestBuyQuantity = @PrevSecondBestBuyQuantity

              IF @BookPrice > @PrevSecondBestSellPrice AND @PrevSecondBestSellPrice>0--then the price and quantity aren't affected
                SELECT  @BestSellPrice = @PrevBestSellPrice ,
                        @BestSellQuantity = @PrevBestSellQuantity ,
                        @SecondBestSellPrice = @PrevSecondBestSellPrice ,
                        @SecondBestSellQuantity = @PrevSecondBestSellQuantity

              ELSE 
                IF @eventtype = 'A' AND @BookPrice < @PrevBestSellPrice AND @BookPrice > @PrevSecondBestSellPrice AND @PrevSecondBestSellPrice>0 --new second-best price
                  SELECT  @BestSellPrice = @PrevBestSellPrice ,
                          @BestSellQuantity = @PrevBestSellQuantity ,
                          @SecondBestSellPrice = @BookPrice ,
                          @SecondBestSellQuantity = @Quantity

                ELSE 
                  IF @BookPrice = @PrevBestSellPrice --SOME more quantity FOR the best price
                    SELECT  @BestSellPrice = @PrevBestSellPrice ,
                            @BestSellQuantity = @PrevBestSellQuantity + CASE @eventtype
                                                          WHEN 'A'
                                                          THEN @quantity
                                                          WHEN 'D'
                                                          THEN -@PrevBestSellQuantity
                                                          ELSE -@Quantity
                                                          END ,
                            @SecondBestSellPrice = CASE WHEN @BestSellQuantity = 0
                                                        THEN 0
                                                        ELSE @PrevSecondBestSellPrice
                                                   END ,--invalidate the second best
                            @SecondBestSellQuantity = @PrevSecondBestSellQuantity

                  ELSE 
                    IF @BookPrice = @PrevSecondBestSellPrice --SOME more quantity FOR the second-best price
                      SELECT  @BestSellPrice = @PrevBestSellPrice ,
                              @BestSellQuantity = @PrevBestSellQuantity ,
                              @SecondBestSellPrice = @BookPrice ,
                              @SecondBestSellQuantity = @PrevSecondBestSellQuantity + CASE @eventtype
                                                          WHEN 'A'
                                                          THEN @quantity
                                                          WHEN 'D'
                                                          THEN -@PrevSecondBestSellQuantity
                                                          ELSE -@Quantity
                                                          END

                    ELSE 
                      IF @eventtype = 'A' AND @BookPrice < @PrevBestSellPrice --new best price
                        SELECT  @BestSellPrice = @BookPrice ,
                                @BestSellQuantity = @Quantity ,
                                @SecondBestSellPrice = @PrevBestSellPrice ,
                                @SecondBestSellQuantity = @PrevBestSellQuantity 
            END



        IF @BestBuyPrice = 0 OR @BestBuyQuantity = 0 --flag that we need to recalculate
          SELECT TOP 1
                  @BestBuyPrice = UnitPrice--there is a change
                  ,
                  @BestBuyQuantity = SUM(Quantity)
          FROM    @ActiveOrders
          WHERE   BuySellIndicator = 'B' AND OrderBookID = @OrderBookID
          GROUP BY UnitPrice
          ORDER BY UnitPrice DESC

        IF @BestSellPrice = 0 OR @BestSellQuantity = 0--flag that we need to recalculate
          SELECT TOP 1
                  @BestSellPrice = UnitPrice ,
                  @BestSellQuantity = SUM(Quantity)
          FROM    @ActiveOrders
          WHERE   BuySellIndicator = 'S' AND OrderBookID = @OrderBookID
          GROUP BY UnitPrice
          ORDER BY UnitPrice ASC

        IF @SecondBestBuyPrice = 0 OR @SecondBestBuyQuantity = 0--flag that we need to recalculate
          SELECT TOP 1
                  @SecondBestBuyPrice = UnitPrice ,
                  @SecondBestBuyQuantity = SUM(Quantity)
          FROM    @ActiveOrders
          WHERE   BuySellIndicator = 'B' AND OrderBookID = @OrderBookID AND UnitPrice < @BestBuyPrice
          GROUP BY UnitPrice
          ORDER BY UnitPrice DESC

        IF @SecondBestSellPrice = 0 OR @SecondBestSellQuantity = 0--flag that we need to recalculate
          SELECT TOP 1
                  @SecondBestSellPrice = UnitPrice ,
                  @SecondBestSellQuantity = SUM(Quantity)
          FROM    @ActiveOrders
          WHERE   BuySellIndicator = 'S' AND OrderBookID = @OrderBookID AND UnitPrice > @BestSellPrice
          GROUP BY UnitPrice
          ORDER BY UnitPrice ASC

        IF ( @PrevBestBuyPrice <> @BestBuyPrice OR @PrevBestBuyQuantity <> @BestBuyQuantity OR @PrevBestSellPrice <> @BestSellPrice OR @PrevBestSellQuantity <> @BestSellQuantity OR @PrevSecondBestBuyPrice <> @SecondBestBuyPrice OR @PrevSecondBestBuyQuantity <> @SecondBestBuyQuantity OR @PrevSecondBestSellPrice <> @SecondBestSellPrice OR @PrevSecondBestSellQuantity <> @SecondBestSellQuantity ) 
          BEGIN
            INSERT  INTO [OrderBookState]
                    ( [EventID] ,
                      [OrderBookID] ,
                      [BestBuyPrice] ,
                      [BestBuyQuantity] ,
                      [BestSellPrice] ,
                      [BestSellQuantity] ,
                      [SecondBestBuyPrice] ,
                      [SecondBestBuyQuantity] ,
                      [SecondBestSellPrice] ,
                      [SecondBestSellQuantity] )
            VALUES  ( @EventID ,
                      @OrderBookID ,
                      @BestBuyPrice ,
                      @BestBuyQuantity ,
                      @BestSellPrice ,
                      @BestSellQuantity ,
                      @SecondBestBuyPrice ,
                      @SecondBestBuyQuantity ,
                      @SecondBestSellPrice ,
                      @SecondBestSellQuantity )

            SET @PrevBestBuyPrice = @BestBuyPrice
            SET @PrevBestBuyQuantity = @BestBuyQuantity
            SET @PrevBestSellPrice = @BestSellPrice
            SET @PrevBestSellQuantity = @BestSellQuantity
            SET @PrevSecondBestBuyPrice = @SecondBestBuyPrice
            SET @PrevSecondBestBuyQuantity = @SecondBestBuyQuantity
            SET @PrevSecondBestSellPrice = @SecondBestSellPrice
            SET @PrevSecondBestSellQuantity = @SecondBestSellQuantity
            SET @PrevOrderBookID = @OrderBookID

          END

        --PRINT @EventID

        FETCH NEXT FROM SlowSolution
        INTO @EventID, @EventType, @OrderReferenceNumber, @OrderBookID,
           @BuySellIndicator, @UnitPrice, @bookPrice, @Quantity
      END   

    CLOSE SlowSolution
    DEALLOCATE SlowSolution