Order Book (Matching Engine)
Advanced
Design an order book for a trading exchange. Implement an OrderBook class that:
- Maintains buy and sell orders sorted by price (best prices first)
- Matches incoming orders against existing liquidity
- Tracks open orders and executed trades
Write methods:
add_order(order_type, price, quantity): add a buy/sell ordercancel_order(order_id): remove an open orderget_best_bid()/get_best_ask(): return current market prices
Constraints
- O(log n) insert/cancel (use heaps or BST)
- Match orders at the best available price
- Handle partial fills (order quantity > available liquidity)
Hints
Hint 1
Use a max-heap for buy orders (sorted by price descending) and a min-heap for sell orders (sorted by price ascending).
Hint 2
When a new order arrives, iterate through the opposite side's orders and match at their prices.
Keywords
dsa
Python
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