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

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

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

Cross-Tape Buy-Above-Sell Routing-Quality Alert Count

Open-Order Dashboard Tile: Distinct Symbols Currently In Play

Earliest End-Day Reaching A Cumulative Inventory Target From Each Starting Day

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

Optimal Execution Trajectory Under Hard Per-Bucket Volume Caps

Factor Dependency Topo Order: Deterministic Min-Heap Kahn for Nightly Rebuild

Per-Venue Fill Rate with Wilson Confidence Intervals

Greedy Coin Change on a Canonical Denomination Set

Minimum Fee-Tier Selection to Cover a Target Volume Range

Walking the Book: Greedy Minimum-Cost Fill

Minimum Platforms for a Railway Schedule

Iceberg Order Book — Replenishment & Fills

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

Implementation Shortfall — Three-Component Attribution

Jump Game — Can You Reach the Last Index

Limit-Order Fill Simulation against High-Low Bars

Linear Market-Impact Cost of a Child-Order Schedule

Longest Contiguous Window of Volumes Within an Impact Budget

Maximum Cumulative Carry Under a Bounded Sign-Flip Budget

Max Non-Overlapping Trade Windows

Single-Session Child-Order Scheduling with FIX Reconfigure Gap

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

Maximum Child-Order Throughput With Per-Order Durations And A FIX-Session Gap

Throttle-Window Compliance Replay: Minimum Order Cancels

Regime-Stability Segmentation — Fewest Bounded-Spread Runs Over A Return Stream

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

Position-Band Governance: Minimum Flatten-Resets to Stay Inside [-L, +L]

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

Hedge-Inventory Replenishment: Minimum Top-Ups to Stay Non-Negative

Minimum Concurrent Streaming Jobs for Execution Windows

Minimum Routers with FIX-Session Setup Delay

Smallest Slice Length Whose Every Window Meets a Volume Target

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

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

Min Rebalance Windows To Remove

Min Intervals To Remove For Non-Overlap

Router Reliability Check: Count Orphan Cancellations

Linear-Interpolation Percentile of Trade PnL

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

Size-Weighted Median Fill Price

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

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

Running VWAP Across Merged K-Venue Trade Tapes

TCA Worst-K Fills: Top-K Slippage with Stable Arrival-Seq Tiebreak

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

Sliding-Window Argmin Offset: Per-Window Position of the Minimum Price Relative to the Window Left Edge