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RBC Wealth Management
www.rbccm.com New York, NY 150 to 499 Employees
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Interview Question for Software Developer at RBC Wealth Management:
Jul 12, 2012

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


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Jul 12, 2012

by Interview Candidate:

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.
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