Maintain Price Levels For A Single-Symbol Order Book
Company: Optiver
Role: Software Engineer
Category: Coding & Algorithms
Difficulty: medium
Interview Round: Technical Screen
Implement a simplified NASDAQ market data book for one symbol. You receive callbacks when orders are inserted, modified, or canceled. Each order has an id, side, price, and quantity. Implement `GetPriceLevel(side, level_index)`, where level 0 is the best price: highest price for buy orders and lowest price for sell orders. Return the price and total quantity at that price level.
Function signature:
```python
class OrderBook:
def on_order_insert(self, order_id: int, side: str, price: int, qty: int) -> None:
pass
def on_order_modify(self, order_id: int, price: int, qty: int) -> None:
pass
def on_order_cancel(self, order_id: int) -> None:
pass
def get_price_level(self, side: str, level_index: int) -> tuple[int, int] | None:
pass
```
Constraints:
- `side` is either `'buy'` or `'sell'`.
- Order ids are unique while active.
- Modifying an order may change both price and quantity.
- Canceling an unknown order should be handled gracefully or specified as invalid.
- If the requested level does not exist, return `None`.
Examples:
```text
Insert buy id 1 price 100 qty 5; insert buy id 2 price 101 qty 3. get_price_level('buy', 0) returns (101, 3).
```
```text
Insert sell id 3 price 105 qty 2; insert sell id 4 price 105 qty 7. get_price_level('sell', 0) returns (105, 9).
```
Quick Answer: Review a single-symbol order book implementation prompt with insert, modify, cancel, and price-level lookup callbacks. The interview topic focuses on side-specific best prices, aggregating quantities by price, active order tracking, and stateful API design.