代码题库

Quote Engine Active Set: Peak Concurrently-Live Quotes

Shrinkage Blend of Two Alpha Sources with Z-Score Normalization

American Put Pricing via Longstaff-Schwartz Least-Squares Monte Carlo

Arrival Price vs TWAP Decision under Alpha Decay

Dual-Benchmark IS — Arrival Price vs Interval VWAP

As-of Merge — Attach Most-Recent Mid-Price to Each Trade

As-of Merge — Trades against Quotes

Per-Asset Beta to a Benchmark Portfolio

Daily Backtest with Overnight Borrow Cost

Basel III Output Floor — Capital Requirement Across Phase-In Schedule

Basel VaR Backtest Traffic-Light Zones

Basel VaR Backtest — Traffic-Light Zone and Capital Multiplier Add-On

Binary-State Strategy — Best PnL With Post-Exit Cooldown

Best Single Trade in a Day

Best Trades With K Transactions and Fee

Bilateral CVA and DVA Under Independence: Two Discounted Time-Profile Sums

Blocked Time-Respecting CV: Contiguous Folds with Train-Before-Test

Bond Portfolio Key-Rate Duration Hedge via Least Squares

Best Realized PnL Bound Under K Disjoint Round-Trips with Per-Roundtrip Impact Cost

Brinson-Hood-Beebower Three-Effect Attribution

Budgeted Whole-Share Portfolio

Detect Butterfly-Arbitrage Violations on a Call-Price Strike Grid

Calmar Ratio — Annualized Return over Maximum Drawdown

Per-Tenor Flat-Hazard Survival Curve from a CDS Spread Term Structure

Choueifaty Diversification Ratio of a Gaussian Portfolio

Christoffersen Conditional Coverage LR_cc Joint Statistic for VaR Backtesting

Christoffersen LR_ind Independence Statistic for VaR Backtesting

Christoffersen Independence Test for VaR Breach Clustering

Closest Trade Pair to Target Notional

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

Component VaR Decomposition for a Gaussian Portfolio

IC-IR-Weighted Composite of Three Sub-Factors

Conditional Scenario-Tree Probability-Weighted PnL Aggregation

Aggregate Multi-Desk VaR from Standalone VaRs and a Loss-Correlation Matrix

Correlated Factor-Shock Monte-Carlo for Stress P&L

Counterparty Activity Shift: Largest Trade-Count Differential Across Two Sessions

Counterparty Gross-Notional Aggregator: Magnitude-Sorted Roll-Up

Credit Expected Loss under Multiplicative PD and LGD Stress Shocks

Credit Portfolio Concentration: HHI and Effective Number of Counterparties from Per-Obligor EAD

Cross-Feed Cumulative-Count Lead Exchanges

Worst Cross-Feed Closest-Match Paired Lag

Cross-Feed Unmatched Tick Counts Per Side Within Tolerance

Cross-Gamma 2D Shock-Grid PnL via Bilinear-Quadratic Taylor

Cross-Sectional Demean of an Alpha Factor

Cumulative PnL Drawdown Alert: Sorted Indices Underwater Beyond Threshold

Cumulative PnL Zero-Crossings: Count Sign Flips of the Backtest Equity Curve

Cumulative Volume Snapshot

Cumulative VWAP at Each Tick

Counterparty Rotation Indicator: Day-Over-Day Symmetric-Difference Series

Decile-Spread Forward Return Averaged Across Dates

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

Diebold-Mariano Test for Two VaR Forecasts via Pinball-Loss Differential

Open-Order Dashboard Tile: Distinct Symbols Currently In Play

Double-No-Touch Pricing via Antithetic-Variate Monte Carlo

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

Sequenced Limit Orders — Earliest K-th Fire Day With Per-Order Threshold And Cooldown Gap

PV-Weighted Effective Maturity M for IRB Credit RWA Input

Empirical CDF Tail Probability at a Fixed PnL Threshold

Enumerate Hedge Decompositions

Expected Shortfall Calibration Backtest via Exceedance-Day Ratio

Exponentially-Weighted Sharpe Ratio

RiskMetrics EWMA Volatility Forecast

Excess Returns Over a Benchmark

Composite Broker Execution-Quality Score with Direction-Aware Z-Score Blend

Expected Portfolio RWA After H Rating-Migration Steps

Factor-Shock Scenario P&L on a Linear Factor Model

Fill Attribution by Parent Order ID

Per-Venue Fill Rate with Wilson Confidence Intervals

First Day Cumulative PnL Crosses Threshold

First Duplicate Order ID

Fills-Audit Frequency Probe: First Order-ID Whose Lifecycle Hits Exactly k FIX Events

First Unique Character

Forward-Fill Missing Minutes Within a Trading Session

Groupby-Mean by Key with a Min-Count Gate

Highest K-Day Range

Historical Scenario Replay: Worst-K Rolling-Window PnLs

Historical Stress Loss Replay

Idiosyncratic Volatility Factor — Rolling Residual Std After Market Beta

Implementation Shortfall — Three-Component Attribution

Vega-Weighted Average Implied Volatility Across a Strike Grid

Importance Sampling for Deep OTM Monte Carlo

Incremental VaR of a Candidate Trade

Information Ratio of an Active-Return Series

Merton Jump-Diffusion European Call via Monte Carlo

Jump Game II — Minimum Jumps to Reach Last Index

K-Day Momentum Hits

K-Day Rolling Mean Filter

Lag/Lead Shift by Key — Within-Group Time-Series Offset

Largest Rectangle in Order Book Depth

Basel III Leverage Ratio: Credit Conversion Factors over Off-Balance Items

Lifetime Expected Loss with Survival Weighting and Per-Period LGD/EAD

Limit-Order Fill Simulation against High-Low Bars

Liquidity Coverage Ratio: HQLA, Inflow Cap, and Net-Outflow Floor

Longest Consecutive Sequence (Hash Set)

Longest Stable Trading Streak

Longest Stair-Stepping Subsequence Of Cumulative-PnL Reports Under A Minimum-Gain Gate

Longest Sub-Window Beating a PnL Target via Monotonic-Stack on Prefix Sums

Look-Ahead Bias Detector via Lagged-Correlation Comparison

Fixed-Strike Lookback Call Pricing via Monte Carlo

Lopez I Magnitude Loss Function for VaR Backtesting

Marginal VaR Sensitivity for a Gaussian Portfolio

Match Bid and Ask Snapshots

Maximum Cumulative Carry Under a Bounded Sign-Flip Budget

Maximum Realised Cumulative Return When Allowed To Skip At Most K Periods

Winning-Streak Counting — Maximum Disjoint Positive-Sum Runs of Minimum Length

Max Drawdown Decomposition

Maximum Drawdown Duration on the Equity Curve

Maximum Profit Over Bounded-Drawdown Window

Maximum Total Reward From Timestamped Trade Candidates Under A Compliance Hold-Period Gap

Three-State Action Path — Max Cumulative Reward With Flat Per-Flip Switching Penalty

Max Sum of a Min-Step-Monotone Reward Subsequence (Stair-Step PnL Ceiling)

Max Sum of Fixed-Size Window

Maximum Concurrent Trades

Mean-Excess Curve Across a Threshold Grid

Mean-Reversion Factor — Residualized Last-K Return

Merge K Sorted Trade Streams

Merge Two Trade Tapes

Min Cancels for Quote Stability

Minimum Cost for Train Travel Passes

Minimum Constant Maker Fill-Rate to Meet a Parent-Order Deadline Under Per-Minute Supply Caps

Minimum Flips for Monotone Up-Day Pattern

Best Single Round-Trip Realized PnL Under a Minimum-Holding-Period Compliance Rule

Tear-Sheet Bucketing — Fewest Strictly-Positive-Sum Cover Chunks With Per-Block Length Cap

Min Replenishments to Avoid Stockout

Smallest Slice Length Whose Every Window Meets a Volume Target

Mincer-Zarnowitz OLS Regression for VaR-Forecast Unbiasedness

Modigliani M-Squared — Vol-Rescaled Risk-Adjusted Return

Order-Event Footprint: Most-Frequent Consecutive Event-Pair

Tape-Anomaly Detector: Most-Repeated Trade Fingerprint

Multi-Horizon Gaussian VaR Scaling

Multi-Leg Implementation Shortfall — Basket Covariance Attribution

Multi-Level Monte Carlo for a European Call

Multi-Factor Scenario PnL Vector via Linear Taylor

Rank Features by Histogram-Estimated Mutual Information with the Target

End-of-Day Net Positions from a Raw Trade Tape

Net Stable Funding Ratio: ASF over RSF Aggregation

Group-Neutralize a Factor by Sector Tag

Notional by Venue, Ranked

Omega Ratio of a Return Series at a Threshold

Online Median of Slippage

Online PCA via Oja's Rule (Streaming PC1)

Online Z-Score Anomaly Flag

Optimal Cooldown Period Trades

Optimal Strike Allocation in Option Spread

Order Queue Priority

Router Reliability Check: Count Orphan Cancellations

Partition Orders to Minimize Basis Mismatch

Pascal's Triangle Row in O(k) Space

Post-Earnings Announcement Drift Signal (D+1 to D+60 Excess Return)

Peak Inventory Day After Batched Range-Update Trades

Percent-Change from a Configurable Base

Survival Probability at Multiple Horizons under a Piecewise-Flat Hazard Term Structure

Pinball (Quantile) Loss for VaR Forecast Backtesting

Standardized VaR-Forecast Residual Stream — De-Mean Then Divide By Vol

Long-to-Wide Pivot — Reshape a (Date, Ticker, Value) Panel into a Matrix

Aggregate Book Delta per Underlying

Portfolio Expected Loss by Bucket: PD x LGD x EAD Waterfall

Per-Asset and Portfolio Cap Clamping for Target Weights

Position P&L With Transaction Fees

Reactive POV Schedule with Min/Max Catch-Up Bounds

Purged k-Fold CV with Embargo

Purged k-Fold Cross-Validation for Time-Series ML

Present Value of a Post-Default Recovery Cash-Flow Stream

Quadratic-Taylor Scenario PnL Vector via Delta and Gamma

Cross-Sectional Rank Bucketing into Deciles with Ordinal Tie-Breaks

Spearman Rank Correlation with Average-Rank Tie Breaking

RankGauss Transform on a Cross-Section of Alpha Factors

Rank Strategies by Sharpe with Vol Tiebreak

Turnover-Aware Rebalance on Bucketed-Signal Change

Forward Recovery Distance: Days Until Cumulative Gain Clears Delta

Resample Tick Prints into Fixed-Interval OHLC Bars

Reverse Stress Test — Flag Scenarios That Hit a Loss Target

Reverse Stress Test — Solve for Shock Magnitude Hitting a Target Loss

Rolling Engle-Granger Cointegration Test for Pairs Trading

Counterparty Diversity Diagnostic: Running Distinct Counterparty Count

SA-CCR Counterparty EAD: Collateral-Adjusted RC plus Aggregated PFE with Alpha

Sector-Day Return Cube: Batched Rectangular Range Sums

Semi-Deviation of a Return Series Around the Sample Mean

Implementation Shortfall — Fee vs Market-Impact Decomposition

Single-Name Concentration: Flag Counterparties Breaching the Basel Large-Exposure Limit

Size Factor as Negative Log Market Cap (Cross-Sectional Z-Score)

Sortino Ratio of a Return Series with Target Return

Span of Higher Highs

Sticky Binary-State Strategy — Best PnL With Per-Flip Tax And Initial-State Anchor

Per-Strategy P&L Bookkeeping with Mark-to-Market

European Call MC with Stratified Sampling on Terminal Z

Stress Coverage Ratios Against Available Capital

Stress-Loss Aggregation by Bucket

Subranges Above Return Threshold

Survival-Weighted Expected-Exposure Profile for CVA Aggregation

Survivorship-Aware Tradeable Universe on a Date

Systematic-vs-Idiosyncratic Variance Decomposition (Factor Model)

Three-Stream Synchronized Triple Count Within Tolerance

Through-the-Cycle PD from a Point-in-Time Series: Geometric Mean of Survivals

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

Tier-1 Capital Ratio: CET1 Deductions, AT1 Add-back, and RWA

Top K Liquid Tickers

Top K PnL Days So Far

Tracking-Error Variance Contribution by Sector

Scalar Tracking Error of an Active-Return Series

Trailing 12-1 Momentum Factor (Skip Last Month)

Transaction-Cost-Aware Target Weights from Alpha Signal

Treynor Ratio — Systematic-Risk-Adjusted Excess Return

Iterative Tribonacci Number

TWAP Equal-Slice Schedule with Front-Loaded Residue

TWAP Scheduling Through Forbidden No-Go Windows

Two Sum

Unilateral CVA Under PD-EE Independence: Discounted Time-Profile Sum

Unique Tickers In Session

Up-Capture and Down-Capture Ratios versus a Benchmark

VaR Backtest Exceedance Count and Longest Cluster

Count and Timestamp VaR Breaches

Lag-1 Autocorrelation of VaR Hit Indicators

Vectorized PnL with Time-Varying Borrow Fee Curve

Vectorized Per-Period PnL with Transaction Costs

Vega-Bucketed PnL Explain Across a Strike Grid

Vintage Cohort Per-Period Default Rate: Conditional Hazard from a Loan Vintage

Linear Total-Variance Interpolation Across Maturities

VWAP Deviation by Broker

VWAP Tracking-Error P&L

VWAP Schedule Along a Volume Curve with Participation Cap

Walk-forward CV: Expanding and Rolling-window Folds

Walk-Forward Validation for Time-Series Backtests

Welford's Online Variance

Cross-Sectional Winsorization of Alpha-Factor Values

Cross-Sectional Z-Score with Optional Winsorization