Real-Time Position Keeper - Quant Developer Interview Question
Difficulty: Medium
Category: architecture & logic
Asked at: Jump Trading, Tower Research, Optiver, Citadel Securities, HRT
Topics: c++, finance, hash-map, algorithms
Problem Description
Real-time position keeping is a fundamental component of algorithmic trading systems, ensuring accurate tracking of inventory, average costs, and profitability. By dynamically updating Volume Weighted Average Price (VWAP) and realized Profit and Loss (PnL) upon every execution, traders maintain precise oversight of portfolio performance and risk exposure.
Task
Implement a function solution that processes a stream of execution fills for multiple symbols and returns a std::vector<double> represen
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