Algorithmic Lads

Python Coded Bot
Graph of the bot's markers
When we realised there was something wrong
Change in PnL bar

Inspiration

We were determined to hack the hackiest + difficult challenge that laid upon us, so with little experience in algorithmic trading and little knowledge on what a basket means, we decided to do the Optiver Challenge.

So, we registered for the credentials and represented Team 33.

What it does

How we built it

This strategy is simple however stable and can generate income. Initially, we were on the road of losing all of our money (-$11,524). Instead, what we did was to extract the prices, use the bot to calculate the difference and spit out a moving average of that difference - depending on the result of the moving average, the bot will automatically react.

Considering the threshold is 0.3 and above, the bot is conditioned to sell google (G) and amazon (A) and purchase the tech_basket (B) hence setting marker notifies that this is happening. But when the threshold is below 0.3, it buys G + A and sells B, vice versa.

Challenges we ran into

We were losing money very quickly and we had no idea how to go about the challenge. We absolutely had no idea what basket meant or bid & ask represented in trading context. We initially spent a lot of time understanding the theory of it and had no real way to execute it in code.

Accomplishments that we're proud of

🏆Quickly recovering the losses 🏆Actually creating a code that functions, generates income, and works as a strategy 🏆Exporting real time data to csv files so that we can analyse the algorithm’s performance 🏆Learning the theories + concepts behind algorithmic basket trading

What we learned

🧠Generating a PnL graph from the code 🧠Although we were losing at the start, it takes a bit of persistence 🧠Figuring out what's wrong with our code when the graphs looked very odd 🧠Collaborating and creating synchronised schedules in order to collaborate properly in the only-single-user-at-a-time notebook