-470 Million Sigma

The market takes and the market gives...

Inspiration and what it does

Our strategy is simple: Let’s imagine there are snickers bars that have a value of 10€. We buy them for 5€ and sell them for 6€. This is because we want to buy as many snickers as possible but only have limited storage space. People will be able to buy cheap snickers and we will make a lot of profit!

How we built it

We are using a boosted version of an arbitrage technique. While most basic arbitrage techniques will eventually hit the max instrument limit, we strategically added a market-making element which lists our arbitrage position for a little profit and therefore increases liquidity (analogous to the analogy above). A strength of the algorithm is the resilience towards unprofitable trades. We did not design the program to maximimize the profit, but to avert any losses in the first place. Moreover we focused on latency and computational efficiency so that the product benefits from short response times and immediate requests to the server. Within the testing and developing phase we aimed at covering any occurring bugs and thereby making the code more stable. These actions momentarily led to extreme PnL’s and made us set records ;)

Challenges we ran into

We faced many bugs that we did not expect. They got nastier with increasing code complexity and therefore we had to readjust our strategy multiple times

We were trading as team-008