I spent way too long on the matching loop and almost forgot about the aggregation step entirely.
Start by clarifying requirements and edge cases, then outline a data structure design that supports FIFO priority and efficient matching. Walk through the matching algorithm step-by-step, emphasizing greedy processing and aggregation, and finally discuss trade-offs and potential optimizations.
Pro tip: Demonstrate awareness of real-world matching engine constraints by mentioning latency, concurrency, and order book data structures like heaps or balanced trees, even if the problem is simplified.
Ask questions to confirm assumptions: order types (limit/market), price-time priority, handling of partial fills, and aggregation rules. Identify edge cases like zero quantity, crossed book, and self-trade prevention.
Choose data structures for the order book: separate queues for buys and sells, each maintaining FIFO order. Consider using a priority queue or sorted list for price levels to efficiently find compatible orders.
Describe the greedy matching process: for each new order, iterate through resting orders in FIFO order, match if prices are compatible, compute trade price as midpoint, and handle partial fills by updating quantities.
Explain how to aggregate trades between the same buyer-seller pair: use a hash map keyed by (buyerId, sellerId) to accumulate total quantity and volume-weighted average price.
Talk about time/space complexity, potential optimizations (e.g., price-level queues, lazy aggregation), and how the design would scale in a real system with high throughput.
AI-generated suggestions, not part of the candidate's original notes. May be inaccurate — verify before relying on them.