Stock Exchange

Phase 1 — Clarify & Scope

Interviewer: Design a stock exchange — think NYSE or NASDAQ. What do you want to clarify?

Candidate: This is a complex domain. Key questions:

1. What types of orders — market orders, limit orders, stop orders?
2. What's the matching engine model — price-time priority (FIFO)?
3. What's the throughput requirement — orders per second?
4. Is this equities only, or also options, futures, crypto?
5. Latency SLA — HFT firms need microseconds; retail traders need milliseconds?

Interviewer: Equities only. Limit orders and market orders. Price-time priority matching. 100,000 orders/sec peak. Latency: order acknowledgment < 1 ms, trade execution notification < 10 ms. No HFT co-location for now.

Candidate: Let me size this:

$\text{Orders/sec} = 100{,}000$

$\text{Symbols traded} \approx 5{,}000 \text{ (US equities)}$

$\text{Orders per symbol per sec} = \frac{100{,}000}{5{,}000} = 20 \text{ orders/symbol/sec average}$

$\text{Order book depth (active price levels)} \approx 1{,}000 \text{ levels per symbol}$

\text{Trade notifications} \approx 100{,}000 \times 0.3 = 30{,}000 \text{ trades/sec (30% match rate)}

Interviewer: What are the core requirements?

Candidate:

• Accept limit orders (buy/sell at price ≤/≥ limit) and market orders (execute at best available)
• Maintain an order book per symbol: sorted bid/ask price levels
• Match orders in price-time priority: best price first, oldest order at same price first
• Emit trade execution notifications and order status updates
• Market data feed: real-time order book state and last trade prices

Non-functional:

• Order acknowledgment: < 1 ms (order received and validated)
• Matching…