FIFO Matching Engine - Quant Developer Interview Question
Difficulty: Hard
Category: architecture & logic
Asked at: Jump Trading, Tower Research, Optiver, Akuna, HRT
Topics: finance, algorithms, data-structures, low-latency
Problem Description
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
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