This program is developed in C++ using object oriented concepts to analyse stock trades and give a setailed report on the trades using various parameters.
Input:
The input file represents a very simplified stream of trades on an exchange.
Each row represents a trade. If you don't know what that means don't worry.
The data can be thought of as a time series of values in columns:
,,,
Although the provided input file is small, the solution should be able to handle a source dataset well beyond the amount memory and hard disk space on your machine. Thus any solution that reads the entire file contents into memory at once is unacceptable.
Definitions
- TimeStamp is value indicating the microseconds since midnight.
- Symbol is the 3 character unique identifier for a financial instrument (Stock, future etc.)
- Quantity is the amount traded
- Price is the price of the trade for that financial instrument.
Safe Assumptions:
- TimeStamp is always for the same day and won't roll over midnight.
- TimeStamp is increasing or same as previous tick (time gap will never be < 0).
- Price - our currency is an integer based currency. No decimal points.
- Price - Price is always > 0.
Example: here is a row for a trade of 10 shares of aaa stock at a price of 12 1234567890,aaa,10,12
Problem: Find the following on a per symbol basis:
-
Maximum time gap (time gap = Amount of time that passes between consecutive trades of a symbol) if only 1 trade is in the file then the gap is 0.
-
Total Volume traded (Sum of the quantity for all trades in a symbol).
-
Max Trade Price.
-
Weighted Average Price. Average price per unit traded not per trade. Result should be truncated to whole numbers.
Example: the following trades 20 shares of aaa @ 18 5 shares of aaa @ 7 Weighted Average Price = ((20 * 18) + (5 * 7)) / (20 + 5) = 15
Output: The output file should be a comma separate file with this format: symbol, MaxTimeGap, Volume, WeightedAveragePrice, MaxPrice
The output should be sorted by symbol ascending ('aaa' should be first).
Sample Input:
52924702314,aaa,13,1136
52924702549,aac,20,477
52925641407,aab,31,907
52927350412,aab,29,724
52927783980,aac,21,638
52930489178,aaa,18,1222
52931654404,aaa,9,1077
52933453444,aab,9,756
Sample Output:
aaa,5786864,40,1161,1222
aab,6103032,69,810,907
aac,3081431,41,559,638