IMC Trading–styleSoftware EngineerSoftware EngineerQuestion #14
How would you implement a trade matching engine? The API should support: 1) adding Buy/Sell orders, which should return a Trade if an existing order matches the new one; 2) deleting pending orders; 3) getting market depth or demand, i.e., the range of buy/sell prices and total volume of pending orders at each price.
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