I had five video interviews before being invited for a one-week work trial at the Coinbase headquarters.

The first video interview was a general overview of the process. It was followed by a technical interview with a software engineer. This was further followed by two technical interviews with two other software engineers, and the last video interview was with the director of engineering.

All technical interviews involved some programming in a language of the candidate's choice. Typically, a general solution to the programming problem was further optimized in subsequent questions.

During the work trial, I worked alongside the team members on a project. It gave a great overview of the culture and ways of working in the company. The week finished with a presentation of the project accomplishments to the company founders and other team members. I was also compensated for the work trial.

Unfortunately, I did not receive an offer in the end. Nevertheless, the interview process was very professional and thorough. Everyone at the company was very friendly, and the work trial was a great experience overall.

Please implement order book reconstruction based on the Coinbase Exchange market data feed.