Top 6 Market data Interview Questions

Browse 6 real-world technical and behavioral interview questions about Market data. Review scenarios, edge cases, and architectural best practices.

You need one consolidated best bid and offer across five venues whose feeds arrive at different latencies. How do you build it, and what will it get wrong?

Keep a book per venue and recompute the composite top on each update, because independent feeds have no global ordering. Unequal latency will show crossed prices that never existed at one instant, so each venue's contribution needs a liveness clock and the composite needs a degraded state.

harddesign

How would you design an order book, and what makes it hard?

An order book is price levels in price order, each holding a time-ordered queue of orders, plus an ID index so a cancel is O(1); the hard parts are that cancels dominate the flow, the feed must be gap-checked and recoverable, and replay must be deterministic and allocation-free. It also connects matching engine to the point an interviewer is testing.

hardcoding

Your algorithm is a third of the way through a large sell order and the liquidity on the other side disappears. What should it do?

Establish first whether the book is genuinely empty or your market data has gone stale, then stop making the problem worse: your own prints are feeding the volume measure you throttle against. The correct behaviour is to pause against a price constraint and escalate, because leaving a residual unfilled is a decision the trader owns.

hardscenario

A researcher's backtest and the desk's live profit and loss disagree about the same stock's price history. Where do you look first?

Establish that both are talking about the same instrument, then about the same series. Adjusted histories are rewritten by every subsequent corporate action, tickers get reused, official closing prices are not last trades, and the currency conversion is a second series with all the same problems.

hardscenario

Your overnight risk run will not finish before the desks open. What do you cut, and what do you tell the people who use the numbers?

Decide by use rather than by runtime - limit monitoring needs coverage and can tolerate approximation, while a capital or disclosure figure cannot be approximated at all. Whatever you publish has to carry its coverage and its market-data vintage, because a number with unknown gaps is more dangerous than a missing one.

hardscenario

What cost does kernel-bypass networking actually remove, and what do you give up to get it?

Kernel bypass moves packet handling into user space so a market-data read no longer pays a syscall boundary, a kernel-to-user copy, interrupt and softirq handling, or a scheduler wakeup. You pay for it with a core burned on busy-polling, the loss of standard network tooling, and a driver-specific build. It also connects networking to the point an interviewer is testing.

hardconcept