Tag: aggregation

Interview Questions

• Count the yeses without exposing anyone
• Aggregate partial fills per order in arrival order
• Aggregate raw ticks into OHLC bars
• OHLC bars from a raw trade tape
• Per-symbol VWAP from a mixed tape
• Blended fill price per order
• Rolling VWAP over a trailing window
• Bucketed VWAP from a trade tape
• Simpson's paradox in broker fill rates
• Two analysts, two quarters, a reversal
• Simpson's paradox with two trading regimes