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 |
![image](https://private-user-images.githubusercontent.com/127172022/260296279-420e25a2-70df-4cca-97e2-652c85b6b68d.png?jwt=eyJhbGciOiJIUzI1NiIsInR5cCI6IkpXVCJ9.eyJpc3MiOiJnaXRodWIuY29tIiwiYXVkIjoicmF3LmdpdGh1YnVzZXJjb250ZW50LmNvbSIsImtleSI6ImtleTUiLCJleHAiOjE3MTg3Njg2NTgsIm5iZiI6MTcxODc2ODM1OCwicGF0aCI6Ii8xMjcxNzIwMjIvMjYwMjk2Mjc5LTQyMGUyNWEyLTcwZGYtNGNjYS05N2UyLTY1MmM4NWI2YjY4ZC5wbmc_WC1BbXotQWxnb3JpdGhtPUFXUzQtSE1BQy1TSEEyNTYmWC1BbXotQ3JlZGVudGlhbD1BS0lBVkNPRFlMU0E1M1BRSzRaQSUyRjIwMjQwNjE5JTJGdXMtZWFzdC0xJTJGczMlMkZhd3M0X3JlcXVlc3QmWC1BbXotRGF0ZT0yMDI0MDYxOVQwMzM5MThaJlgtQW16LUV4cGlyZXM9MzAwJlgtQW16LVNpZ25hdHVyZT0zZmJjOTJjZGY0ZTUyN2MyMTAwYzBjNTdlZWY5MzAxNDA3Zjc4NzVmMDZlZjZmZmJjNzJmZTRlZWNlNWY2ZTQyJlgtQW16LVNpZ25lZEhlYWRlcnM9aG9zdCZhY3Rvcl9pZD0wJmtleV9pZD0wJnJlcG9faWQ9MCJ9.WAAfOPsy5ypsZo81anFgPGif_1W0uP0BAAtfchjMfeM)
![image](https://private-user-images.githubusercontent.com/127172022/260296386-5c8ca676-e3a9-4ee4-91db-4100f41ee1c3.png?jwt=eyJhbGciOiJIUzI1NiIsInR5cCI6IkpXVCJ9.eyJpc3MiOiJnaXRodWIuY29tIiwiYXVkIjoicmF3LmdpdGh1YnVzZXJjb250ZW50LmNvbSIsImtleSI6ImtleTUiLCJleHAiOjE3MTg3Njg2NTgsIm5iZiI6MTcxODc2ODM1OCwicGF0aCI6Ii8xMjcxNzIwMjIvMjYwMjk2Mzg2LTVjOGNhNjc2LWUzYTktNGVlNC05MWRiLTQxMDBmNDFlZTFjMy5wbmc_WC1BbXotQWxnb3JpdGhtPUFXUzQtSE1BQy1TSEEyNTYmWC1BbXotQ3JlZGVudGlhbD1BS0lBVkNPRFlMU0E1M1BRSzRaQSUyRjIwMjQwNjE5JTJGdXMtZWFzdC0xJTJGczMlMkZhd3M0X3JlcXVlc3QmWC1BbXotRGF0ZT0yMDI0MDYxOVQwMzM5MThaJlgtQW16LUV4cGlyZXM9MzAwJlgtQW16LVNpZ25hdHVyZT1kZmJlNGIzNjU4YzA3Mjc1ZDEyZmY3M2Q4NDlkMWM1NWUyMmVkYzQ0YTAyODc4NTU0ZGNjODMwMjhkZTlhZDhjJlgtQW16LVNpZ25lZEhlYWRlcnM9aG9zdCZhY3Rvcl9pZD0wJmtleV9pZD0wJnJlcG9faWQ9MCJ9.qRgtpq4lGRx7mXfm2YUu2ocW_IwR_lPMCD_nQHYP7L8)
![image](https://private-user-images.githubusercontent.com/127172022/260296398-a6d3fc43-5193-40fc-a19e-1e8de74b539d.png?jwt=eyJhbGciOiJIUzI1NiIsInR5cCI6IkpXVCJ9.eyJpc3MiOiJnaXRodWIuY29tIiwiYXVkIjoicmF3LmdpdGh1YnVzZXJjb250ZW50LmNvbSIsImtleSI6ImtleTUiLCJleHAiOjE3MTg3Njg2NTgsIm5iZiI6MTcxODc2ODM1OCwicGF0aCI6Ii8xMjcxNzIwMjIvMjYwMjk2Mzk4LWE2ZDNmYzQzLTUxOTMtNDBmYy1hMTllLTFlOGRlNzRiNTM5ZC5wbmc_WC1BbXotQWxnb3JpdGhtPUFXUzQtSE1BQy1TSEEyNTYmWC1BbXotQ3JlZGVudGlhbD1BS0lBVkNPRFlMU0E1M1BRSzRaQSUyRjIwMjQwNjE5JTJGdXMtZWFzdC0xJTJGczMlMkZhd3M0X3JlcXVlc3QmWC1BbXotRGF0ZT0yMDI0MDYxOVQwMzM5MThaJlgtQW16LUV4cGlyZXM9MzAwJlgtQW16LVNpZ25hdHVyZT01MWVhODJlYWYzNmM5Yzk2ZDg0MTU4YmRmNzMzOTNhNjE0NWYxNmUwYWYyZGVhNTYxMzllZWIzOWE4M2ZhYjlhJlgtQW16LVNpZ25lZEhlYWRlcnM9aG9zdCZhY3Rvcl9pZD0wJmtleV9pZD0wJnJlcG9faWQ9MCJ9.ksv5YM0czMzRpgNLa7oj1lvDVCsM2q6zBhub6V8ZdhA)