代写FTEC5530程序、代做python/R编程语言、MATLAB程序代写

日期：2021-04-14 10:55

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).