Quant Assessment Question from Citadel
Quantitative assessment coding questions are a core component of interviews at top hedge funds and proprietary trading firms like Citadel. These questions test not only your coding skills but also your understanding of financial market concepts, efficiency in data structures, and problem-solving in real-world trading scenarios. In this article, we will solve and deeply explain a representative Citadel quant assessment question about constructing an order book and efficiently computing the Best Bid and Offer (BBO) and the National Best Bid and Offer (NBBO). We will go step by step through the concepts, data structures, and code implementation, as well as optimize for real-scale usage.
In electronic trading, an order book is a real-time list of buy and sell orders for a specific financial instrument, organized by price level. Each order has:
The order book allows traders to see the current market depth and liquidity at various price points.
