Design a low-latency trading platform
Company: Citadel
Role: Software Engineer
Category: System Design
Difficulty: hard
Interview Round: Onsite
Design the architecture for a high-frequency fixed-income trading system. The platform should ingest live market data from multiple venues, maintain local market state, compute trading signals, run pre-trade risk checks, submit and cancel orders, process fills, and provide audit logs and monitoring. Explain the major components, the critical request path, latency-sensitive versus asynchronous work, fault tolerance, deployment choices, and how you would support simulation, backtesting, and replay.
Quick Answer: This question evaluates a candidate's ability to design a low-latency, real-time trading system, covering competencies in distributed systems, streaming market data ingestion, order management, pre-trade risk checks, fault tolerance, monitoring, and support for simulation/backtesting.