Volume Weighted Average Price
What this preview is
Volume Weighted Average Price is a medium quant coding problem on language knowledge in Cpp / Python, asked at Quant.
- Difficulty
- Medium
- Topic
- Language Knowledge
- Discipline
- Quant development
- Languages
- Cpp / Python
Real-time VWAP calculation over a sliding window
This is a medium-difficulty coding problem common in buy-side and market-making interviews, where candidates must implement an efficient data structure to track a time-windowed aggregate metric on a live trade stream. It tests both correctness in computing the metric and algorithmic efficiency under repeated queries.
The core challenge is balancing two demands: the add_tick method must be fast (ticks arrive at high frequency), but get_vwap
- Sliding-window aggregation patterns
- Trade-offs between insertion and query cost
- Timestamp-based filtering and data structure choice (deque, segment tree, or two-pointer sliding window)
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