Rebalance crypto index

A technical interview question.

Running the project

A makefile simplifies setup.

• Start the Jupyter server:

make run

This will create a python virtual environment and start the Jupyter server.

• Open the main.ipynb file in your browser and run all.

Description

You need to rebalance a crypto index fund that contains an asset cap. This means that the fund’s constituents are rebalanced according to their market capitalisations - until they reach their cap. The remaining funds that would have been allocated above the cap are then redistributed. Make sure no other asset exceeds its cap. This should work for any number of assets and any cap. First calculate the percentage allocations and then capital allocations and amounts. A good sanity check is to look at the outputs with an unlimited cap (1 or 100%).

Example 1

Input

Ticker	Market capitalisation	Price
BTC	20 000	50
ETH	10 000	52
LTC	5 000	10

Asset capital: 50% Total capital: 10 000

Output

Ticker	Amount	Value	%
BTC	10.000000	500.00	50.0000
ETH	13.333333	333.33	33.3333
LTC	16.666667	166.67	16.6667

Example 2

Note
This example contains an ‘impossible’ input. A fund with 3 constituents naturally has a minimum cap of a third before all elements are set equal and this is what is reflected in the output.

Input

Ticker	Market capitalisation	Price
BTC	20 000	50
ETH	10 000	52
LTC	5 000	10

Asset capital: 10% Total capital: 10 000

Output

Ticker	Amount	Value	%
BTC	6.666667	333.33	33.3333
ETH	13.333333	333.33	33.3333
LTC	33.333333	333.33	33.3333