Tag: market-data

Interview Questions

• Largest peak-to-trough drawdown
• Max profit with unlimited trades
• Single trade with a holding period
• Max profit from a single trade
• Stock span with a monotonic stack
• Rolling maximum over a sliding window
• Next greater price with a monotonic stack
• Running minimum over a sliding window
• 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
• Widest price range in a sliding window