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Design a Trading System

Alex Chen45 min readUpdated 63 real interview reports

A trading system is the software a trading firm runs to turn exchange data into orders. Optiver candidates report this prompt more than any other design question, in intern, graduate, SWE and senior loops, usually in a design round of about an hour. It covers the firm's side of the wire. The exchange's matching engine, the subject of the matching engine design, sits on the other end and receives these orders. The data fits on one machine, so storage and sharding barely come up. The interviewer grades the path a packet takes and how long it takes, and then what the system does when a packet goes missing or a connection drops.

The Optiver angle
Optiver is a market maker. It quotes buy and sell prices on many exchanges at once, from servers placed inside those exchanges' data centers, so this prompt sits close to the firm's daily work. Candidates describe a few recurring features of the round. Some loops hand out a written spec a couple of pages long and give you about five minutes to read it before you start. Interviewers tend to explain the trading side as you go, though one candidate who faced two senior developers warned that a lack of trading-firm experience shows. Networking is the expected depth. One candidate who got an offer listed what to know: TCP, UDP, unicast versus multicast versus broadcast, and how latency and bandwidth work. The same candidate's advice was to ask lots of questions about requirements, constraints and trading specifics. An intern was asked to describe the software and the hardware as deep as possible.

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