About this question
Medium · data_structures · Quant Developer interview question · linked_list, hash_map, finance, low_latency
A Limit Order Book (LOB) is the central data structure in modern electronic exchanges, responsible for matching buyers and sellers based on price and time priority. Efficient implementation of an LOB is critical in high-frequency trading, where minimizing latency for order insertion, cancellation, and execution directly impacts profitability. This challenge involves constructing the Bid (buy) side of an LOB using composite data structures to ensure optimal performance for these key operations.