Algorithm · Voleon · Hard
The simulation has three independent parts, each specified below. Part 1: Limit order book for one instrument Process a sequence of operations. An operation NEW orderId side price qty creates a limit order on the side indicated by side (B for buy, S for sell) at the given price and size. Before the new order is allowed to rest, it must be matched against existing orders on the opposite side. An operation CANCEL orderId removes whatever unfilled quantity remains for that…
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