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irage-assignment

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).

/work

includes code to model IVs and a notebook to visualize pnl components and difference between estimates and actual differences

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srajangarg avatar ayushgupt avatar akashv1234 avatar

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