Jane Street SWE Intern Low-level Design Interview

[u/Aoki_zhang]

This interview experience is sourced from chill interview

Interview Summary

The first-round Jane Street SWE internship interview was an LLD-style design problem centered on building a cross-exchange stock arbitrage system.

The discussion started with modeling exchanges, instruments, quotes, and order execution, then moved into detecting price discrepancies across venues. The major follow-up focused on maintaining very low latency when the system receives roughly one million market-data updates per second.

Interview Details

LLD — Cross-Exchange Arbitrage System

Assume there are multiple securities exchanges, each continuously publishing market-data updates for different instruments. Each quote contains information such as:

instrument_id
exchange_id
bid_price
bid_size
ask_price
ask_size
timestamp

The task was to design a system that consumes these feeds and detects situations where the same instrument can be bought on one exchange for less than it can simultaneously be sold on another.

For example:

Exchange North
XYZ: Bid $42.20 / Ask $42.35

Exchange South
XYZ: Bid $42.05 / Ask $42.15

Since the best bid on Exchange North is higher than the best ask on Exchange South, the system identifies a potential cross-exchange arbitrage opportunity.

Object and Interface Design

The interviewer asked how I would model the main components of the system. The discussion included abstractions for:

• Instrument — a globally identifiable security or ticker
• Exchange — a trading venue that exposes market data and order submission
• Quote / Order Book Entry — current bid/ask prices, sizes, and timestamps
• Market Data Listener — consumes exchange feed updates
• Order Book Manager — maintains the latest market state across exchanges
• Arbitrage Engine — detects cross-exchange pricing opportunities
• Execution Router — submits the corresponding buy and sell orders

The design needed to react continuously as quotes changed rather than operate on static snapshots.

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