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Difficulty: Very Hard
Category: architecture & logic
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Topics: 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
Practice this very_hard developer interview question on Myntbit - the all-in-one quant learning platform with 1000+ quant interview questions for Jane Street, Citadel, Two Sigma, and other top quantitative finance firms.