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Very Hard · architecture & logic · Quant Developer interview question · c++, trading, backtesting, simulation, data-structures
Event-driven backtesting is a foundational component of quantitative research, allowing practitioners to simulate order executions against historical market data chronologically. By maintaining an internal matching engine that enforces price-time priority and volume constraints, backtesters provide realistic estimates of strategy performance and liquidity impact. Task Implement an event-driven backtester that processes a chronological sequence of Market Data updates, Limit Orders, and Cancel re