TWAP Calculation - Quant Researcher Interview Question
Difficulty: Easy
Category: data_manipulation
Asked at: Akuna, Citadel, Two Sigma, DRW, WorldQuant
Topics: pandas, time-series, finance, resampling
Problem Description
Time-Weighted Average Price (TWAP) serves as a critical benchmark in algorithmic trading for evaluating execution quality and minimizing market impact. By aggregating trade data into fixed time intervals, quantitative researchers can smooth out high-frequency noise to analyze underlying price trends and liquidity profiles.
Task
Implement a function solution that calculates the average trade price within fixed time intervals given a list of executed trades. The function must parse ISO-formatted
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