System Design · Jane Street · Hard
Design the concurrent processing path for a quote system that ingests updates from multiple exchanges. The system must sustain an input rate of 1,000,000 quote updates per second with low latency. For every instrument and exchange, it must keep the current bid price, ask price, and available sizes. A cross-exchange opportunity exists when a valid bid on one exchange is strictly above a valid ask on a different exchange for the same instrument. A proposed setup uses…
Checking your access…