Design an order matching engine

Hard40 minFree, no account

Price-time priority, partial fills, and an invariant that must hold after every single event.

The question

Design the in-memory order book for one instrument: limit and market orders, cancellations, and matching.

Matching must be deterministic and follow price-time priority.

Functional

Place a limit order; it matches against the opposite side or rests.
Market orders execute against the best available prices.
Cancel a resting order by id.
Emit a trade for every match, with both order ids and the executed price.

Non-functional

Best bid and best ask in O(1).
Cancel by id without scanning the book.
The same input sequence must always produce the same trades.

40:00Commit to an answer before you open the solution. Reading it first teaches you to recognise good answers, which is not the skill being tested.

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The worked solution

written by a person · not a grade

Score yourself

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Two-level structure giving O(1) best price and FIFO within a level25
O(1) cancel via an id index15
Matched at the resting order's price25
Partial fills preserve time priority15
Stated the non-crossing invariant and kept matching deterministic20

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