A key part of the recruitment process for Quants is the data set test that is designed to simulate the day-to-day tasks in the Quantitative Strategies and Development Team at Itarle. After completing the test, you will have a better understanding of the role.
Quants test
Due to the specific requirements of the role, we kindly ask you to complete the below test in Java/C++. Please note that Python is not allowed.
Please see the link below which is a zipped CSV file on AWS for 4 days' worth of tick data for 100 Scandinavian blue chip stocks.
Could you please complete a report and send us the findings to include the following data on a stock by stock basis (the individual unique stock codes are given in the first column):
Mean time between trades
Median time between trades
Mean time between tick changes
Median time between tick changes
Longest time between trades
Longest time between tick changes
Mean bid ask spread
Median bid ask spread
Examples of the round number effect - (both in traded values and traded volumes - i.e. is there an increased probability of the last digit on prices being a 0 compared to other last digits)
The CSV has the following fields / columns:
1 = Bloomberg Code/Stock identifier
3 = Bid Price
4 = Ask Price
5 = Trade Price
6 = Bid Volume
7 = Ask Volume
8 = Trade Volume
9 = Update type => 1=Trade; 2= Change to Bid (Px or Vol); 3=Change to Ask (Px or Vol)
11 = Date
12 = Time in seconds past midnight
15 = Condition codes
Instructions
This data is over several days and so when no trading occurs there are large time gaps to take into account so as not to skew the figures.
Please also exclude auctions from your analysis. There should be c. 2 auctions a day - morning and afternoon. During this period you will see crossed spreads (i.e. bid price is larger than ask price) along with specific condition codes. Please only include the XT condition code (along with no condition code).
Could you send both the analysis results, along with the code that you have written to complete the analysis as an appendix within 3 working days following the receipt of this invite to:
