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Algorithms - Capstone · 4:15
Trading-Firm Coding Questions
Coding rounds for quant-dev and trading roles favour problems that look like small pieces of a trading system, and the limit order book is the most common. We animate a book with price-time priority as a market order sweeps it, store prices as integer ticks, build it from sorted price levels plus an id index for O(1) cancels, and time a std::map book against a flat array indexed by tick on a Mac. The lesson ends on the question types that keep coming back and the earlier lessons that built each tool, closing the algorithms core.
You will learn
- Explain price-time priority: incoming orders trade with the best opposite price first and, at equal prices, with the oldest order, always at the resting order's price
- Implement a limit order book with sorted price levels holding FIFO queues and an id-to-position hash map, so adds cost O(log n) and cancels O(1) once found
- Explain why prices are stored as integer ticks and why a flat array indexed by tick can beat std::map on real hardware
- Recognize the recurring trading-interview question types (LRU cache, streaming median, sliding-window max or VWAP, rate limiter, top-k, merging feeds, matching-engine replay, probability by DP) and the structure each one needs