About this question
Very Hard · architecture & logic · Quant Developer interview question · c++, low-latency, simulation, trading-systems, state-machine
Identifying cross-venue arbitrage opportunities in fragmented markets requires accounting for network latency to mitigate leg risk, where partial fills turn theoretical profits into realized losses. Building a latency-aware execution simulator allows quantitative researchers to backtest high-frequency trading strategies against historical order book updates and evaluate true profitability under realistic market conditions. Task Build a latency-aware cross-venue arbitrage detector and execution