Intraday VWAP Benchmark - Quant Researcher Interview Question
Difficulty: Easy
Category: statistical_analysis
Asked at: D.E. Shaw, Citadel, Two Sigma, Tower Research, WorldQuant
Topics: pandas, financial-indicators, data-processing, vectorization
Problem Description
The Volume Weighted Average Price (VWAP) is a critical benchmark in algorithmic trading used to assess execution quality relative to market volume. It is calculated by summing the product of price and volume for every transaction and dividing by the total cumulative volume over the trading horizon. Efficient calculation of this metric is essential for real-time analytics and strategy backtesting.
Task
Implement a function solution(df) that accepts a pandas DataFrame containing intraday trade da
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