Order Book With Per-Exchange BBO and Cross-Exchange NBBO Queries
Company: Citadel
Role: Software Engineer
Category: Software Engineering Fundamentals
Difficulty: medium
Interview Round: Technical Screen
Overview: Design and implement an in-memory order book that aggregates quantity by exchange, side and price, and answers per-exchange best bid and offer and cross-exchange NBBO queries. It tests heap ordering with lazy deletion, keeping the global view consistent when any exchange's best price moves, and precise amortized complexity analysis.
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