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Design an order-matching engine

Akuna CapitalSoftware Engineer · Technical Screen
HardSoftware EngineerTechnical ScreenSystem Design

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This question evaluates a candidate's ability to design a high-throughput, low-latency in-memory limit order-matching engine, testing competencies in data structure selection, algorithmic complexity, deterministic concurrency, API design, and handling domain-specific constraints such as self-trade prevention.

Design and implement an in-memory order-matching engine for a limit order book. Requirements:

  • Operations:
  • placeOrder(orderId, side, price, quantity, type) where side ∈ {BUY, SELL} and type ∈ {LIMIT, MARKET}
  • cancelOrder(orderId)
  • topOfBook(): return best bid and best ask (price, totalQuantity)
  • depth(k): return top k price levels on each side
  • Matching rules: price–time priority; match immediately on arrival; allow partial fills; leave remainders on the book; market orders sweep the book until filled or empty; prevent self-trade.
  • Performance targets: support up to 1e6 live orders and ~1e5 ops/sec; aim for O(log P) insert/cancel and O(
  1. top-of-book; avoid linear scans over orders.
  • Concurrency: single-threaded matcher is acceptable; describe how you would extend to multi-threading without breaking determinism. Deliverables: specify data structures (e.g., price-indexed maps with FIFO queues), implement core APIs, analyze time/space complexity, and explain strategies to prevent timeouts on adversarial inputs.