Optiver 2024 Campus Recruitment Software Engineer Test Questions. oavoservice shares complete questions and high-frequency topics to help you prepare for interviews at quantitative trading firms.
📋 Question 1: Order Book Implementation
Implement a simplified Order Book data structure.
Core Features
import heapq
from collections import defaultdict
class OrderBook:
def __init__(self):
self.bids = [] # Buy orders (Max Heap)
self.asks = [] # Sell orders (Min Heap)
self.orders = {} # {order_id: order_info}
def add_order(self, order_id, side, price, quantity):
order = {
'id': order_id,
'side': side,
'price': price,
'quantity': quantity
}
self.orders[order_id] = order
if side == 'buy':
heapq.heappush(self.bids, (-price, order_id))
else:
heapq.heappush(self.asks, (price, order_id))
def cancel_order(self, order_id):
if order_id in self.orders:
del self.orders[order_id]
return True
return False
def get_best_bid(self):
while self.bids:
price, order_id = self.bids[0]
if order_id in self.orders:
return -price
heapq.heappop(self.bids)
return None
def get_best_ask(self):
while self.asks:
price, order_id = self.asks[0]
if order_id in self.orders:
return price
heapq.heappop(self.asks)
return None
def get_spread(self):
best_bid = self.get_best_bid()
best_ask = self.get_best_ask()
if best_bid and best_ask:
return best_ask - best_bid
return None
📋 Question 2: Market Data Analysis
Calculate moving average and volatility.
Implementation
from collections import deque
class MarketDataAnalyzer:
def __init__(self, window_size):
self.window_size = window_size
self.prices = deque(maxlen=window_size)
def add_price(self, price):
self.prices.append(price)
def get_moving_average(self):
if not self.prices:
return None
return sum(self.prices) / len(self.prices)
def get_volatility(self):
if len(self.prices) < 2:
return None
mean = self.get_moving_average()
variance = sum((p - mean) ** 2 for p in self.prices) / len(self.prices)
return variance ** 0.5
💼 How oavoservice Helps
Quant Knowledge - Order Book and Market Data Data Structures - Applications of Heaps and Queues Performance Optimization - High-frequency Trading Scenarios
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