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FTEC5530 Assignment II. Trading Cost Analysis
Tick data (trade and quote) is provided in the month of 2020 Dec (trade.csv and
quote.csv)
VWAP orders as below: (parent_oder.csv)
Child order execution data is provided (child_order.csv)
Aim:
Calculate the trading cost analysis as below format (assignment 2.xlsx).
Please note there are only three orders in above example for illustration purpose, the
assignment has five orders. Hint: – the performance number should be all side adjusted
- If order start time is before market open, then arrival price should use open price
instead of mid of quote - Sometime market tick data has small delay, for example, you may see last price end
around 15:00:03, you should normalize all trades after 14:57 as close price, timestamp as 15:00: for example an order end time is 15:00, then all those trades
slightly after 15:00:00 shall be also included for iVWAP or volume calculation
.Requirement:
Provide both of your code script (python/R/MATLAB/KDB or other languages) and result
(filled in the assignment 2.xlsx spreadsheet with 2 digital accuracy).
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