Question

Within an order book matching engine, which specific data structure is required to ensure that a &#x27;fill-or-kill&#x27; order is either fully executed at the current best price or discarded without partial fulfillment?

Accepted Answer

The data structure required is an in-memory limit order book implemented as a collection of price levels, typically using a price-sorted map where each level contains a doubly linked list of orders. A fill-or-kill order is a specific instruction requiring the entire quantity to be matched immediately against existing orders at the best available price; if the total quantity cannot be satisfied, the entire order is cancelled. To ensure this behavior, the matching engine must first perform a pre-trade validation check by traversing the price-sorted map starting at the best price level. The engine calculates the total liquidity available across multiple price levels until the order quantity is met or the price limit is exceeded. If the engine determines that the total quantity at or better than the limit price is insufficient to fill the order, the order is discarded before it ever touches the market data or the state of the order book. This process uses a temporary pointer or iterator to scan the book levels without modifying the book&#x27;s persistent state until the full fill is guaranteed, ensuring atomicity where the transaction either executes completely or is rejected entirely.

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Within an order book matching engine, which specific data structure is required to ensure that a 'fill-or-kill' order is either fully executed at the current best price or discarded without partial fulfillment?