Quant Interview Practice Questions

In high-frequency trading and market making, the bid-ask spread is a crucial metric for evaluating market liquidity and transaction costs. The absolute spread provides the raw price difference, while the relative spread normalizes this cost against the asset's mid-price to facilitate comparison across different instruments. Maintaining an accurate limit order book is essential for calculating these top-of-book metrics in real-time. Task Implement a SpreadCalculator class that maintains a Level