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Design a low-latency trading system

CitadelSoftware Engineer · Technical Screen
HardSoftware EngineerTechnical ScreenSystem Design

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This question evaluates expertise in designing low-latency, high-determinism electronic trading systems, covering order matching, market data ingestion and publish, partitioning/sharding, persistence for auditability, idempotency, pre-trade risk controls, and operational reliability.

Design an electronic trading platform that supports equities trading with limit and market orders. Specify how you would: (

  1. maintain per-symbol order books and implement a price–time priority matching engine; (
  2. ingest and normalize market data from multiple venues and publish snapshots plus incremental updates with bounded skew; (
  3. expose authenticated APIs for order entry (REST/gRPC) and a low-latency streaming protocol for market data; (
  4. perform pre-trade risk checks (credit/position/price bands), ensure idempotent submissions, and provide exactly-once execution reports; (
  5. achieve P99 end-to-end acknowledgement under 5 ms within one region at 200k orders/second peak, and scale horizontally for bursts; (
  6. persist state with an append-only log or event sourcing, support deterministic replay/backtesting, and meet strict auditability; (
  7. handle partial fills, cancels, mass cancels, auctions, market halts, and symbol pauses; (
  8. design partitioning/sharding of order books, concurrency control inside the matcher, recovery and disaster recovery (RPO ≈ 0, RTO < 1 minute); (
  9. address fault tolerance, time synchronization and clock skew (e.g., PTP), fairness across partitions, backpressure, and flow control; (
  10. define monitoring, SLOs, capacity planning, and strategies to test latency and correctness under failures.