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Hard · architecture & logic · Quant Developer interview question · order-book, arbitrage, simulation, c++
Market makers and arbitrageurs continuously monitor correlated instruments to identify and capture implied crossing opportunities. A synthetic spread can be constructed between two instruments using a defined ratio and offset to detect pricing inefficiencies. Building an implied matching engine requires maintaining precise limit order books and evaluating synthetic crosses to execute profitable arbitrage trades in real-time. Task Implement an implied matching engine that processes a stream of m