AdvancedMultiple choice
You join trades to quotes using the exchange timestamp on both. What can still go wrong?
- AYour own system received them in a different order, so the join uses information you did not have
- BExchange timestamps have insufficient resolution
- CTrades and quotes come from different exchanges
- DThe exchange clock drifts from UTC
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
Learn the method
Market-data cases: short-horizon prediction from the order book
Reported in interviews at
More research case studies questions
- The best bid has 300 lots and the best offer 100.Foundation
- You buy 100 shares at $10.00, 300 at $10.20 and 100 at $10.50.Foundation
- You buy at $100.03 when the mid-quote is $100.00.Foundation
- Reading the top of the book, part 1 of 4Foundation
- You are asked to build a five-minute return predictor from order book data.Applied
- A short-horizon signal earns 8 basis points a trade before costs of 3 basis…Applied