Market Data Feed Interview Guide
Market data feed interview guide for snapshots, incremental updates, sequence numbers, timestamps, gaps, validation, and order book state.
Candidates working with exchange updates, limit order books, and trading data pipelines.
Feeds describe changing market state
A market data feed may include trades, quotes, order book updates, status messages, and snapshots. The interview goal is to show how raw events become trusted state.
Sequence and timestamp checks matter
Sequence numbers help detect gaps, while timestamps help reason about ordering and latency. A clean answer says what happens when messages arrive late, missing, or duplicated.
Concrete example
If an incremental order book update jumps from sequence 100 to 103, the consumer should detect a gap and recover from a snapshot or replay source before trusting the book.
Validation is part of ingestion
Check symbol mapping, price levels, crossed books, stale feeds, duplicate messages, and impossible sizes. Bad market data can create bad trading decisions quickly.
Common mistakes
Candidates often treat market data as a static table. Live feeds are event streams with ordering, recovery, and quality problems that must be handled explicitly.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.