Implement an orderbook

What this orderbook implementation problem tests

This is a medium-difficulty coding problem common at quantitative trading firms. It requires you to build a core market microstructure component—an orderbook that matches buy and sell orders in real time. The problem tests your ability to combine multiple data structures and rules into a working system that handles both correctness and efficiency.

Solving it well means choosing the right data structures to support price-priority and time-priority matching, implementing partial fills and order cancellation, and reasoning clearly about edge cases like duplicate order IDs and non-crossing prices. You'll need to track bids and asks separately, manage quantity across multiple matches, and identify the aggressor (the order that arrives second and triggers the trade).

• Price-priority and FIFO ordering within price levels
• Partial fills and order lifecycle management
• Efficient lookup, insertion, and removal by order ID and price
• Symmetry between buy and sell matching logic