代码题库

Almgren-Chriss Static Optimal Execution Trajectory

Arrival Price vs TWAP Decision under Alpha Decay

Dual-Benchmark IS — Arrival Price vs Interval VWAP

Daily Backtest with Overnight Borrow Cost

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

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

Optimal Execution Trajectory Under Hard Per-Bucket Volume Caps

Per-Venue Fill Rate with Wilson Confidence Intervals

Iceberg Order Book — Replenishment & Fills

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

Implementation Shortfall — Three-Component Attribution

Limit-Order Fill Simulation against High-Low Bars

Linear Market-Impact Cost of a Child-Order Schedule

Multi-Leg Implementation Shortfall — Basket Covariance Attribution

Multi-Period DP for Optimal Execution Under Impact and Risk

Multi-Period Impact P&L with Exponential Decay Between Periods

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

Implementation Shortfall — Fee vs Market-Impact Decomposition

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

Smart-Order Routing With Bayesian Fill-Rate Priors and UCB Exploration

Fit the Square-Root Market-Impact Coefficient by Weighted Least-Squares

TWAP Equal-Slice Schedule with Front-Loaded Residue

TWAP Scheduling Through Forbidden No-Go Windows

Vectorized PnL with Time-Varying Borrow Fee Curve

Vectorized Per-Period PnL with Transaction Costs

VWAP Deviation by Broker

VWAP Tracking-Error P&L

VWAP Schedule Along a Volume Curve with Participation Cap