Voleon 面经#6 – 撮合引擎（二）：参与率限制 + 委托撮合逻辑（高频交易 Matching Engine）

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

总结（面试官考点）

题 6 是 Voleon 高频交易方向的核心：

✅ 实现简单撮合引擎（Matching Engine）
✅ 处理外部市场成交 → 计算 trailing-minute volume
✅ 根据参与率（participation rate）动态计算可交易数量
✅ 订单有有效期（60 秒）
✅ 订单可多次分批成交（partial fills）

难点：

• 外部市场 prints 会改变 trailing volume
• 每次 print 都可能触发新的可交易量
• 每个 order 需要维护：
  • goal 剩余量
  • expire time
  • 已经交易的 emitted volume
• 考察 模拟复杂系统的能力，类似真实 HFT execution algo（VWAP/TWAP participation algo）。

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