Chicago Trading Company interview questions and how to prepare

1. Imagine a scenario where our primary market data feed from a major options exchange experiences a 10-millisecond latency spike during a high-volatility trading session. Describe your systematic debugging process, including the tools and metrics you would prioritize, to isolate the root cause within our low-latency trading infrastructure, from network ingress to our strategy engine.

   Software EngineerDebugging/Low Latency SystemsTests: Evaluates candidate's structured approach to debugging complex, time-sensitive distributed systems and knowledge of performance monitoring in a HFT context.

2. Design a highly available and fault-tolerant real-time risk calculation service for CTC that aggregates positions and market data across multiple asset classes (options, futures) and exchanges. Detail the architecture, data consistency model, and how you would handle stale market data or a temporary loss of connectivity to a single exchange.

   Software EngineerSystem Design/Distributed SystemsTests: Assesses candidate's ability to design robust, high-performance financial systems, considering trade-offs between latency, consistency, and availability.

3. You are tasked with optimizing the C++ core of an existing options market-making strategy that frequently misses quoting opportunities due to processing delays. Identify three specific areas you would investigate for optimization (e.g., memory access patterns, thread contention, compiler optimizations) and propose concrete code-level changes or architectural adjustments to reduce p99 latency without compromising numerical accuracy.

   Software EngineerCoding Reasoning/Performance OptimizationTests: Probes deep understanding of C++ performance characteristics, low-level optimization techniques, and their application in HFT.

4. CTC is expanding its market-making activities into a new, less liquid derivatives market. Propose a data pipeline architecture, from ingestion to storage, for handling potentially messy and high-volume market data from this new market, ensuring it's readily available for quantitative research, backtesting, and real-time trading strategies. Highlight key challenges and how your design addresses them.

   Software EngineerSystem Design/Data EngineeringTests: Evaluates candidate's experience with data pipeline design, handling diverse data quality, and support for quantitative financial applications.

5. Write a Python function that efficiently processes a stream of market depth updates for a specific options contract, maintaining the current bid-ask spread and the total volume at the best bid and ask. Assume updates can arrive out-of-order or duplicate, and you need to handle these gracefully to reflect the true market state.

   Software EngineerCoding/Data StructuresTests: Checks candidate's ability to use appropriate data structures and algorithms to manage real-time, potentially unreliable financial data streams.

6. A newly deployed trading strategy for S&P 500 futures is exhibiting unexpected behavior: it's consistently taking more aggressive positions than intended when volatility surges. Outline how you would instrument and monitor this strategy in a production environment to diagnose the issue, focusing on key metrics and logging strategies.

   Software EngineerDebugging/Production MonitoringTests: Assesses practical experience with production monitoring, diagnostic instrumentation, and understanding of trading strategy behavior.

72+ more Chicago Trading Company-style questions are in the free library, each practiceable live with adaptive follow-ups and an honest scorecard. Start free.