Cpp Trade Data Analysis Tool

In this exercise, we build a trade data analysis tool, together with a testing data generator and grader for checking the results. The requirements and commands are introduced below:

1. Input

The input file represents a very simplified stream of trades on an exchange.

Each row represents a trade. The data can be thought of as a time series of values in columns:

<TimeStamp>,<Symbol>,<Quantity>,<Price>

Although the provided input file is small, the solution should be able to handle a source dataset well beyond the amount of memory and hard disk space on your machine.

2. Definitions

- TimeStamp is value indicating the microseconds since midnight.

- Symbol is the 3 character unique identifier for a financial instrument.

- Quantity is the amount traded

- Price is the price of the trade for that financial instrument.

Safe Assumptions:

- TimeStamp is always for the same day and won't roll over midnight.

- TimeStamp is increasing or same as previous tick (time gap will never be < 0).

- Price - our currency is an integer based currency. No decimal points. - Price - Price is always > 0.

Example: here is a row for a trade of 10 shares of aaa stock at a price of 12

1234567,aaa,10,12

3. Problem

Find the following on a per symbol basis:

1. Maximum time gap time gap = Amount of time that passes between consecutive trades of a symbol, if only 1 trade is in the file then the gap is 0.

2. Total Volume traded (Sum of the quantity for all trades in a symbol).

3. Weighted Average Price. Average price per unit traded not per trade. Result should be truncated to whole numbers.

 Example: the following trades 
 - 20 shares of aaa @ 18 
 - 5 shares of aaa @ 7 
 - Weighted Average Price = ((20 * 18) + (5 * 7)) / (20 + 5) = 15 

4. Max Trade Price.

Your design should allow extension to additional numerical variables computed for each symbol.

4. Output

Your solution should produce a file called 'output.csv'. This file should be a comma separate file with this format:

<symbol>,<MaxTimeGap>,<Volume>,<WeightedAveragePrice>,<MaxPrice>

The output should be sorted by symbol ascending ('aaa' should be first).

Sample Input: 

52924702,aaa,13,1136 
52924702,aac,20,477 
52925641,aab,31,907 
52927350,aab,29,724 
52927783,aac,21,638 
52930489,aaa,18,1222 
52931654,aaa,9,1077
52933453,aab,9,756

 

Sample Output: 

aaa,5787,40,1161,1222
aab,6103,69,810,907
aac,3081,41,559,638 

5. Commands

To generate the testing data:

bash gen.sh

To run the main program:

bash run.sh

To run the grader:

bash check.sh