代码题库

Arrival Price vs TWAP Decision under Alpha Decay

Compact a Ring-Buffer of Ticks into Evenly-Bucketed Time Slices

Deduplicate a Replayed Tick Stream by (ts, exchange-seq), Latest-Ingest Wins

Downsample a Tick Stream into OHLCV Bars (Right-Closed)

Forward-Fill Missing Minutes Within a Trading Session

Iceberg Order Book — Replenishment & Fills

Post-Trade Impact Attribution Across Venues with a Cross-Venue Interaction

Limit-Order Fill Simulation against High-Low Bars

Linear Market-Impact Cost of a Child-Order Schedule

Merge Per-Day Bar Shards into a Sorted Timeseries

Reactive POV Schedule with Min/Max Catch-Up Bounds

Pre-Trade Multi-Leg Impact Budget Check (Square-Root Model)

Price-Time Priority Queue — Order Book Replay

Pro-Rata Allocation — Single-Level Fill Distribution

Queue Position Fill Probability — Closed-Form Under Poisson Arrivals

Multi-Level SOR with Stale-Quote Re-Routing — Event Replay

Min-Venue-Count Smart Order Routing with Fee-Tier Crossing Penalty

SOR Across Replenishing Iceberg Venues — Event Replay

Fee-Aware Static Smart-Order Routing Across Venues

Tick Buffer — Binary-Search Lookup and Range Scan by Timestamp

TWAP Equal-Slice Schedule with Front-Loaded Residue

VWAP Tracking-Error P&L

VWAP Schedule Along a Volume Curve with Participation Cap