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Easy · data_manipulation · Quant Researcher interview question · twap, pandas, time-series, resampling, data-manipulation, python
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