Self-Trade Prevention Engine - Quant Developer Interview Question
Difficulty: Medium
Category: architecture & logic
Asked at: Tower Research, Optiver, Citadel Securities, IMC, HRT
Topics: c++, order-book, algorithms, finance
Problem Description
Self-Trade Prevention (STP) is a crucial risk management control in algorithmic trading designed to prevent an entity from executing trades against its own resting orders. By enforcing specific behaviors when self-matches occur, exchanges and trading firms ensure compliance with wash-trading regulations and avoid unnecessary transaction costs.
Task
Implement a matching engine that processes a stream of orders and enforces the "Cancel Aggressor" STP strategy within a Price-Time priority Limit Or
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