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.
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):
The CSV has the following fields / columns:
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:
Please let us know in advance if an extension is needed for any particular reason.Thanks, and good luck!