Daily Settlement for Long and Short Positions
Belvedere Trading● MediumFULLTIMEOAProblem statement
A futures desk starts before day 1 with position startPosition and the previous day's settlement price startSettle. A positive position is long and a negative position is short.
For each day i:
- The desk holds its current position through that day's settlement. Its cash change is
position * (settle[i] - previousSettle). - The signed trade
trade[i]takes effect at that close, after the day's cash change is calculated. A positive trade buys futures and a negative trade sells futures. - The current settlement price becomes
settle[i].
Return the running total settlement cash after every day.
Function
variationMargin(startPosition: int, startSettle: int, trade: int[], settle: int[]) → long[]Examples
Example 1
startPosition = -2startSettle = 100trade = [0,5,0]settle = [110,104,95]return = [-20,-8,-35]The initial short position earns -2 * 10 = -20 on day 1. It earns -2 * -6 = 12 on day 2 before the buy changes the position to 3, so the running total becomes -8. Day 3 contributes 3 * -9 = -27, producing -35.
Example 2
startPosition = 3startSettle = 50trade = [-1,0]settle = [55,53]return = [15,11]Day 1 contributes 3 * 5 = 15, then the sell changes the position to 2. Day 2 contributes 2 * -2 = -4, leaving a running total of 11.
Constraints
1 <= trade.length <= 10^5.trade.length = settle.length.-10^9 <= startPosition, trade[i] <= 10^9.1 <= startSettle, settle[i] <= 10^9.- Every position and returned running total fits in a signed 64-bit integer.
- Every daily settlement cash change and every intermediate running cash total fits in a signed 64-bit integer.