Limit Order Book Quant Interview Guide
Limit order book quant interview guide covering bids, asks, depth, queue priority, spreads, trades, displayed liquidity, and examples.
Candidates preparing for microstructure, market making, or execution questions.
The book organizes resting liquidity
A limit order book shows resting bids and offers by price level, but displayed depth is not always stable or fully executable.
Price-time priority shapes fills
Many venues prioritize better prices first and earlier orders within the same price level, making queue position valuable.
Concrete example
A buy limit order at the best bid may not fill until enough sell market orders arrive to consume orders already ahead in the queue.
Depth changes constantly
New orders, cancellations, trades, hidden liquidity, and latency can change the apparent book before a trader receives a fill.
Common mistakes
Candidates often read top-of-book depth as guaranteed capacity. Execution answers should discuss queue, cancellations, and adverse selection.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.