IMC Trading–styleSoftware EngineerSoftware EngineerQuestion #70
How would you implement a trade matching engine? The API for it should support: (1) adding Buy/Sell orders (these methods should return a Trade if an existing order matches the new one), (2) deleting pending orders, and (3) getting market depth or demand (i.e., range of buy/sell prices and total volume of pending orders at each price).
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