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Hard · architecture & logic · Quant Developer interview question · finance, algorithms, data-structures, low-latency
A Limit Order Book (LOB) serves as the central mechanism in electronic exchanges for matching buy and sell interest based on specific priority rules. Implementing a matching engine with Price-Time Priority (FIFO) is essential for understanding market microstructure and building high-frequency trading systems. Task Design and implement a matching engine that processes a stream of limit orders and calculates the total quantity executed immediately upon arrival for each order. The engine must adhe