The hardest questions you could face for a C++ job in a HFT interview

If you're applying for a quant developer or software engineering role at a hedge fund or quant trading firm, you'll probably end up having to do a number of coding challenges. According to C++ interview preparation site WallStreetCPP, these are the four hardest that you're likely to face in finance:

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1. Memory Pool

Implement a memory pool class that provides efficient allocation and deallocation of memory from a pre-allocated chunk. The memory pool should be able to allocate memory for objects of any type while managing memory allocation internally.

2. Vector Duplicates

Implement a template metaprogram that removes adjacent duplicates from a compile-time vector of integers. The vector is represented as a template struct with variadic integer parameters.

Given a vector defined as [template<int... I> struct Vector;], implement the [RemoveAdjacentDuplicates] metafunction that removes adjacent duplicate integers.

3. Thread Pool 

Implement a thread pool class that manages a pool of worker threads to execute submitted tasks asynchronously. The thread pool should maintain a fixed number of threads and a task queue to handle incoming tasks.

4. Safe Vector

Implement a vector class that maintains iterator validity even after modifications. Unlike standard vectors where iterators can be invalidated by operations that modify the container, your SafeVector should ensure that iterators remain valid even after push_back and insert operations.

The questions are designed to test your knowledge of coding techniques that you will actually be using on the job. Question three, for example, involves asynchronous programming, a niche but well-loved method of speeding up code. There's not necessarily a singular way to approach these problems; you can write asynchronous code using coroutines (which have full library support in C++23) or senders (which don't).

We've written previously about 12 important coding techniques for low-latency C++, according to ex-Deutsche Bank director Paul Bilokon. One of the most frequently recurring techniques in interviews according to engineers is lock-free programming, which can be implemented in multiple of these tasks. For a true challenge, attempt question 4 while using lock-free programming; the solution requires persistent data structures, which can significantly test your ability to decrease memory usage.

Coding questions are only one piece of the puzzle. You'll also be asked open-ended subject matter questions. Examples of these on WallStreetCPP include:

• Explain the role of FPGAs in HFT and their advantages/disadvantages.
• How would you handle clock synchronization in a distributed HFT system?
• Explain RAII (Resource Acquisition Is Initialization) in C++.
• What strategies can be used to minimize latency in HFT systems?

You should be prepared as well for the possibility of a take-home project. It's a growing trend for firms to give developers a more complex task to complete over the weekend and prove their ability without the extreme time pressure. System design problems that you could face during your application according to WallStreetCPP include:

• Design a system to detect and respond to market making opportunities across multiple venues in microseconds.
• Design a distributed cache for sharing market data across trading applications.

Just because it's difficult doesn't mean you won't have competition. A survey in September last year revealed that top scoring developers on Leetcode were more likely to code in C++ than any other language.

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