Order Book Match Finding | Dataford Interview Questions

How would you implement a match-finding system for an order book (buy/sell)?

Implement process_orders(orders) for limit orders processed in input order. A sell matches the highest-priced available buy when buy_price >= sell_price; a buy matches the lowest-priced available sell when sell_price <= buy_price. At the same price, older orders have priority. Each trade executes at the resting order's price. Return all trades in execution order and all unfilled orders grouped by side and priority.

Input orders contain id, side ("buy" or "sell"), price, and positive quantity. Assume unique IDs, integer prices, no cancellations, and no market orders.

Constraints

0 <= len(orders) <= 1000
Each order has a unique string id
side is either "buy" or "sell"
price is a positive integer
quantity is a positive integer
Orders are processed in input order
All orders are limit orders and no cancellations are included

Function Signature

def process_orders(orders):

Your question is Order Book Match Finding. Start with the requirements in the Question tab.

Run and submit as often as you like. When you're ready, talk me through your approach or go straight to the code.

Problem

How would you implement a match-finding system for an order book (buy/sell)?

Input orders contain id, side ("buy" or "sell"), price, and positive quantity. Assume unique IDs, integer prices, no cancellations, and no market orders.

Constraints

0 <= len(orders) <= 1000
Each order has a unique string id
side is either "buy" or "sell"
price is a positive integer
quantity is a positive integer
Orders are processed in input order
All orders are limit orders and no cancellations are included

Function Signature

def process_orders(orders):

Your question is Order Book Match Finding. Start with the requirements in the Question tab.

Run and submit as often as you like. When you're ready, talk me through your approach or go straight to the code.