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Hard · architecture & logic · Quant Developer interview question · trading-systems, data-structures, math, c++
Multi-leg options strategies, such as butterfly spreads or straddles, require executing multiple option legs simultaneously to achieve specific risk profiles. A critical component in quantitative trading systems is an order builder that tracks these legs, prices them against real-time market data, and validates constraints like delta neutrality and limit prices before execution. Task Implement a MultiLegOrderBuilder class that processes a stream of market data and order operations. You must sup