Mock Multi-Exchange

Building a low-latency multi-exchange order book in C++ or Python

This hard coding problem tests your ability to design and implement a production-grade order book data structure under real-world constraints. Multi-exchange trading systems rely on fast, accurate order book maintenance to compute derived signals like micro-prices; this problem mirrors the kind of work quant trading and market-making firms do when bridging distant exchanges over bandwidth-constrained networks.

The challenge combines several layers: you must implement a clean OrderBook interface that supports efficient level updates, correctly handle both bid and ask sides independently, work with scaled integer price representation, and integrate with a provided micro-price calculator. The system must remain correct when processing multiple securities concurrently and when individual messages contain multiple updates to the same level. Strong solutions separate concerns (price representation, book state, output generation), choose appropriate data structures to keep updates O(1), and handle edge cases like price scaling and redundant message collapsing deliberately.

• Order book data structure design and level indexing
• Handling bid and ask sides with opposite ordering semantics
• Fixed-point and floating-point price representation and conversion
• Per-security state isolation and initialization
• Output filtering and message deduplication