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Feed handling at volume, sequencing and gap recovery, order-book reconstruction, and replay.
3 questions in Capital Markets.
Keep a book per venue and recompute the composite top on each update, because independent feeds have no global ordering. Unequal latency will show crossed prices that never existed at one instant, so each venue's contribution needs a liveness clock and the composite needs a degraded state.
An order book is price levels in price order, each holding a time-ordered queue of orders, plus an ID index so a cancel is O(1); the hard parts are that cancels dominate the flow, the feed must be gap-checked and recoverable, and replay must be deterministic and allocation-free. It also connects matching engine to the point an interviewer is testing.
Establish that both are talking about the same instrument, then about the same series. Adjusted histories are rewritten by every subsequent corporate action, tickers get reused, official closing prices are not last trades, and the currency conversion is a second series with all the same problems.