Onsite

Lock-Free Producer-Consumer, Currency Arbitrage, and an Order Book

Citadel SecuritiesSoftware Engineer · Onsite · Sep 2026

Implement a threaded producer-consumer, optimize from a mutex and then a spin lock. A list of currency conversions: determine if an arbitrage opportunity exists. Find the sequence of conversions to make money. Implement an order book data structure: maintain the order of incoming ask/bid/qty price, aggregate. Cancel an order without impacting other orders. Implement a smart queue: maintain the or…

Shared by a candidate · reported Sep 2026. Interview formats change; use it as a guide, not a script.