Problems

Recognise it when: you simulate a strategy over a time series: execution with constraints, backtests, allocation rules, broker fallbacks.

• Process events in timestamp order. Be explicit about what happens at the same time (fills before new orders? the close price vs the next open?).
• Separate state (cash, position, open orders) from rules (when to trade, how much). Small pure functions are testable.
• Proportional allocation: split a total by weights using integer arithmetic. Hand the rounding remainder out deterministically, e.g. largest remainder first, ties by id.
• Execution: track the remaining quantity, cap each slice by available liquidity or a participation limit, and trigger the fallback ("backstop") when a deadline passes.
• Metrics: PnL (realized and unrealized), average fill price, max drawdown.

Gotchas: look-ahead bias (using data from the future), float rounding of money (use ints or Decimal), and off-by-one on the last bar.