Risk Group Netting - Quant Developer Interview Question
Difficulty: Medium
Category: low_latency
Asked at: Akuna, Citadel, Two Sigma, Tower Research, HRT
Topics: data structures, union-find, graph, algorithms
Problem Description
Identifying connected accounts is critical for netting positions and calculating aggregated risk exposure in algorithmic trading. By treating accounts within the same legal entity or risk group as a single unit, systems can optimize capital usage and ensure regulatory compliance. Efficiently managing these dynamic groups requires the Disjoint Set Union (DSU) data structure to handle real-time updates and queries with nearly constant time complexity.
Task
Implement the RiskNetting class and the
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