Build the data infrastructure every quant desk needs. Fetch market data from APIs, detect and handle gaps, outliers, and corporate actions, and output clean, analysis-ready datasets.
numpy · pandas · data-engineering · apis · data-quality
Learners placed at Morgan Stanley NYC · Optiver AMS
A production-style market data pipeline, built section by section - hands-on, but never alone. Theory first, then you implement it, and checkpoints confirm each section clicked before the next one opens.
Never stuck
Reveal a hint when you want a nudge - or the full worked solution when you want the answer. Every exercise ships one.
Theory before code
Each formula is explained step by step before you implement it. Nothing is assumed mid-build.
Yours to keep
Finish with the complete research notebook - keep extending it with your own data.
Real code from inside the project. Press Run to clean a dirty tick feed - fat fingers, empty prints and all. Open this page on desktop to run it live in your browser.
import numpy as np
rng = np.random.default_rng(7)
n = 5_000
mid = 100 + np.cumsum(rng.normal(0, 0.02, n)) # the true price walk
px = mid + rng.normal(0, 0.01, n) # ticks around it
sz = rng.integers(1, 500, n).astype(float)
# A real feed is dirty: fat fingers and empty prints hide in the stream.
px[rng.choice(n, 12, replace=False)] *= rng.choice([0.5, 1.5], 12)
sz[rng.choice(n, 25, replace=False)] = 0
ok = (sz > 0) & (np.abs(px - mid) < 0.25)
bars = px[ok][: (ok.sum() // 100) * 100].reshape(-1, 100)
print(f"raw ticks : {n:,}")
print(f"dropped as junk : {(~ok).sum()} (fat fingers + zero-size prints)")
print(f"clean 100-tick bars: {bars.shape[0]} (open {bars[0,0]:.2f}, last close {bars[-1,-1]:.2f})")The full build goes from this toy cleaner to a resilient pipeline over real exchange data.
Resume bullets
Copy-paste ready - with the build behind you to back every line.
2 more resume bullets inside the project
Interview ammo
“Walk me through how you would build a data pipeline for a new asset class from scratch”
You answer this with a system you built, not a definition you memorized.
4 more talking points inside the project
Full access to this build and the rest of the pipeline - every project in the vault, plus the lessons, exams and certificates behind them. Guided from the first line to the last.
~8h build · +250 XP · 3 resume bullets · 5 interview answers