algorithmic trading interview questions

[vkaul]

I will be interviewed for an algorithmic trading strategy desk. What kind of questions should I expect? Does the role involve a lot of programming?

 

[Subramaniam]

Yes, algorithmic trading will involve programming. By nature, it is a type of trading where you write programs to execute orders.

 

[vkaul]

What are the kind of questions I can expect?

 

[Once_Set]

If I may add a question:

How about specifically for quant hedge funds? brainteasers or also lots of statistics?

 

[Khorge]

Programming/Stats/Brainteasers

 

[Once_Set]

Thanks, what level are they assuming for entry level quant traders? in terms of programming and stats?

Stats: Are we talking basic distributions, probability theory, etc. or time series, advanced statistics, etc.?

Coding: Will you be able to get in with some basic OOP skills as a non developer?

 

[Khorge]

Thanks, what level are they assuming for entry level quant traders? in terms of programming and stats?

Stats: Are we talking basic distributions, probability theory, etc. or time series, advanced statistics, etc.?

Coding: Will you be able to get in with some basic OOP skills as a non developer?

Depends which shop you are applying to - generally the larger the firm the more you will be required to know.
Some shops - especially in trading - look for hard subjects because it is an indicator of intelligence and hard work rather than actual skills needed in the workplace

 

[OilCrock]

I will be interviewed for an algorithmic trading strategy desk. What kind of questions should I expect?

Does the role involve a lot of programming?

may not. usually programming is done by programmers.

they may ask about market microstructure.

I work in algo trading field. If you give me more details, I will be able to give more detailed answer.

 

[Once_Set]

Khorge: By hard subjects, do you mean hardcore, prestigious theses / masters at good universities? Are they more lenient with regards to existing skills than IBs? The tier 1 banks don't care that you haven't done much financial maths, they seem to need you to know all the same stuff as financial maths PhDs.

OilCrock: would they ask about market microstructure if you don't have a background? does that mean i'd have to pick up a book on that? What did you prepare to get into the field?

 

[Khorge]

Easiest to be a quant if you have good results in a Masters/PhD in Physics/Maths/Stats/Engineering etc... at a top university (i.e. top 5 in your country). Smaller shops dont have the patience to train you up so they want existing skills much more than at IB's.

 

[OilCrock]

OilCrock: would they ask about market microstructure if you don't have a background? does that mean i'd have to pick up a book on that? What did you prepare to get into the field?

you may install Saxo Bank or Interactive Brookers, use demo account and learn how to trade - it is not math, not algo trading, but you will be able to learn the language which is used on the trading floor: Bid/Offer, hit the bid, lift the offer, Iceberg, TWAP, etc.