RBC Wealth Management

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Interview Question

Software Developer Interview New York, NY

Design a program to build and update a market depth book.

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Interview Answer

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The relevant points are a quick look up for the security, putting the new quote in the proper sorted order on the proper side (bid / ask), checking for consistency of the book (crossed books - bids being higher than asks), how to handle crossed books etc. The key was the appropriate data structures for these aspects.

Interview Candidate on Jul 12, 2012

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