Algorithm · Citadel · Medium
There are K separate event feeds, and inside each feed the events are already arranged so that timestamps never decrease. Every event carries two fields: timestamp delta, the amount by which the price changes (this can be negative) The price starts at an absolute value of 0. Interleave the events from all feeds into a single global timeline. As each event is handled, apply its delta to the running price and report the absolute price that results. Ordering Rules Handle events…