Voleon Interview #6 – Broker Execution Part 2 (Order Matching Engine, Participation Rate, HFT Quant OA)

Input (stdin)
An order message is a request to trade shares:

order <timestamp> <security> <client> <goal> <participation rate>

New fields:

• client: alphabetical string
• goal: total number of shares to trade
• participation rate: positive integer; the maximum percentage of the security’s trailing-minute traded volume (excluding this order) that this order may constitute

Order rules

• An order is filled when the goal quantity has been traded.
• An order expires after 1 minute.
• An order is active until filled or expired.
• A client can have at most one active order per security.

✅ Output (stdout)

After receiving an order at time T, emit prints:

print T' S <quantity> <price>

Following constraints:

1. Timestamps must be non-decreasing, and T’ ≥ T
2. Orders expire: T’ < T + 60
3. For the trailing minute ending at T’: emitted_volume / external_volume <= participation_rate
4. Quantity must be positive integer
5. Total emitted quantity ≤ goal
6. Price = most recently observed market print price for S

✅ Example

print 5 SILVER 100 8
order 11 SILVER ALICE 100 10
print 12 SILVER 200 9
print 90 SILVER 200 10

Output

print 11 SILVER 10 8
print 12 SILVER 20 9

Explanation:

• At time 11: trailing volume = 100 → can emit 10 shares
• At time 12: trailing volume = 300 → can emit 20 shares
• After time 12, no more prints; order eventually expires at 71

✅ Summary

This problem simulates an execution algorithm constrained by:

✅ Trailing-minute external traded volume
✅ Participation rate limits (PR)
✅ Expiration of orders
✅ Partial fills
✅ Market prints updating price and volume

You must compute at each timestamp:

• The latest market price
• External volume last 60 seconds
• Allowed trading quantity = floor(PR% * external_volume)
• Ensure quantities are positive and within goal
• Emit prints with correct timestamps and prices

This closely resembles a simplified real-world broker execution algorithm.

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