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Quant Developer

Quant Developer

The night before

Read it tonight, then once more on the way in.

Back to the rounds

1The day

  1. Coding testData structures and algorithms: usually a timed online test, then live problems with an engineer.
  2. C++ and speedHow C++ really runs: who owns what, copies and moves, undefined behaviour, and what the cache does to speed.
  3. Order book designDesign a matching engine, or rebuild an order book from a stream of market data, carried from requirements to code.
  4. Numbers roundAt trading firms, a lighter round of mental maths or probability can be part of a developer's day too.
  5. Meeting the teamRealistic coding in a small codebase, then meeting the team and your manager.

2How to answer

Scope an order book45 min

  1. Operations and their speed8 min
  2. Data structures12 min
  3. Matching rules8 min
  4. The feed9 min
  5. Testing8 min

Tell a story from your work2 min

  1. The situation in one line15 sec
  2. What you did60 sec
  3. The result, with a number30 sec
  4. What you'd change15 sec

Walk through your project10 min

  1. The problem2 min
  2. Your choice and its alternative3 min
  3. What broke2 min
  4. The result2 min
  5. What's next1 min

3Numbers to have ready

Say each answer out loud, then open the fold.

  • Adding two numbers against one fetch from main memory.

    Under a nanosecond against around 100. Memory comes in 64-byte chunks. Fast data structures

  • The tick is 0.01 and the array starts at 99.00. Which slot holds 100.37?

    10,037 − 9,900 = slot 137. Fast data structures

  • A sell for 600 meets bids at one price: A 300, B 200, C 500, then yours for 100. Who fills?

    A 300, B 200 and 100 of C. Yours waits. Price-time priority

  • A sell at 97 meets a resting bid at 99. Where does it trade?

    At 99, the resting order's price. Matching a trade

  • Four rolls of a die: the chance of at least one six.

    1 − (5/6)⁴ = 671 / 1,296, about 51.8%. Probability is counting

4Traps

  • I'd start with a lock-free concurrent tree.A clever structure before the requirements worries an interviewer. One thread per book is usually simpler and faster.
  • We decided, we built it, and we fixed it.They're hiring you. With "we" all the way through, they can't tell what you did.
  • The stack was Python, Postgres, Airflow and Docker.A list of tools isn't a decision. Say what you chose, what you turned down, and why.
  • To cancel, I'd scan the level for the order id.Cancels are a large share of messages, and a busy level holds thousands of orders. Keep an index from id to order.

5On the day

  • Ask which AI tools, if any, you may use in each round.
  • Say your plan before you solve, so they can steer you early.
  • Stuck for a minute? Say what you've tried and ask for a hint. Taking one well counts.
  • Check units and sizes out loud before you give a number.
  • Say how fast each operation must be before you write the code.