System Design · Jane Street · Medium
Design the primary abstractions and data flow for a cross-venue arbitrage detection system. Several trading venues publish bid and ask quotes for instruments. The system must flag an opportunity only when a valid bid price on one venue is strictly above a valid ask price on a different venue; it should also support submitting the corresponding buy and sell orders in parallel. Each quote carries InstrumentID, ExchangeID, BidPrice, BidSize, AskPrice, AskSize, and Timestamp. An…
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