Completed as part of a recruitment assignment for a quantitative trading firm and liquidity provider, based on large time series dataset of two financial instruments X and Y, includes crude simulation
First 10 rows of instrument dataset
| Time | X_BID | X_BID_VOL | X_ASK | X_ASK_VOL | Y_BID | Y_BID_VOL | Y_ASK | Y_ASK_VOL |
|---|---|---|---|---|---|---|---|---|
| 2019-11-18 08:00:00 | 106340.0 | 15.0 | 106348.0 | 11.0 | 105200.0 | 9.0 | 105210.0 | 19.0 |
| 2019-11-18 08:00:10 | 106312.0 | 6.0 | 106320.0 | 9.0 | 105180.0 | 5.0 | 105190.0 | 13.0 |
| 2019-11-18 08:00:20 | 106312.0 | 7.0 | 106320.0 | 12.0 | 105170.0 | 32.0 | 105180.0 | 1.0 |
| 2019-11-18 08:00:30 | 106336.0 | 22.0 | 106340.0 | 1.0 | 105190.0 | 10.0 | 105200.0 | 19.0 |
| 2019-11-18 08:00:40 | 106352.0 | 2.0 | 106356.0 | 4.0 | 105200.0 | 29.0 | 105220.0 | 24.0 |
| 2019-11-18 08:00:50 | 106372.0 | 26.0 | 106376.0 | 9.0 | 105210.0 | 24.0 | 105230.0 | 23.0 |
| 2019-11-18 08:01:00 | 106384.0 | 7.0 | 106388.0 | 1.0 | 105220.0 | 11.0 | 105230.0 | 16.0 |
| 2019-11-18 08:01:10 | 106444.0 | 4.0 | 106452.0 | 8.0 | 105260.0 | 22.0 | 105270.0 | 2.0 |
| 2019-11-18 08:01:20 | 106460.0 | 5.0 | 106464.0 | 1.0 | 105260.0 | 22.0 | 105280.0 | 24.0 |
| 2019-11-18 08:01:30 | 106456.0 | 1.0 | 106460.0 | 2.0 | 105250.0 | 22.0 | 105270.0 | 21.0 |
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