download and extract the two given files into the tbt_data_UCB folder
run program using
python3 assignment.py
Assumptions:
We observed that there are some exchange_id in the "timestamp_file" which did not have any "N" order line hence we have modified the code to include these corner cases in the final output. (for ex - "ExchId1" == 1500000000745996 has only modified orders in the file).
includes code to model IVs and a notebook to visualize pnl components and difference between estimates and actual differences