代码题库

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

As-of Merge — Trades against Quotes

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

Rank-to-Percentile Transform on a Cross-Section of Alpha Factors

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

Groupby-Mean by Key with a Min-Count Gate

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

Robust Cross-Sectional Z-Score via Median and MAD

Merge Per-Day Bar Shards into a Sorted Timeseries

Group-Neutralize a Factor by Sector Tag

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

Aggregate Book Delta per Underlying

Quintile (k-tile) Bucketing of a Cross-Sectional Factor

Resample Tick Prints into Fixed-Interval OHLC Bars

Sector-Neutralize an Alpha Factor Cross-Section

Bucket Vega Exposure by Maturity