Questions / Quant development, Trading system components
Sweeping an ask book
A buy for 700 with limit 101.0 sweeps the asks. What does it print?
import heapq
asks = [(101.0, 1, 300), (100.5, 2, 200), (100.5, 3, 400), (102.0, 4, 500)]
heapq.heapify(asks) # (price, arrival, qty)
want, cost = 700, 0.0
while want and asks and asks[0][0] <= 101.0:
p, t, q = heapq.heappop(asks)
take = min(q, want)
want -= take
cost += take * p
if q > take:
heapq.heappush(asks, (p, t, q - take))
print(cost)Answer it in the app It's free. You get hints, a second try if you miss, and a follow-up question.
Show the answer and worked solution
Answer: 70400 USD
- Heap order: 100.5 (t2, 200), 100.5 (t3, 400), 101.0 (300).
- Fill 200 + 400 at 100.5 = 60,300.
- 100 at 101.0 = 10,100.
- Cost 70,400.
Interview shortcut. 600 × 100.5 + 100 × 101.
Takeaway. Price-time priority: best price first, earliest order within a price.
In the app this has a follow-up where one thing about the setup changes. Try the follow-up.