Do you even trade bro? (team-053)

Inspiration

I want to buy a Bugatti 🏎️ and heard algorithmic trading is the way to go. So I created a trading bot to arbitrage semiconductor ETFs and their underlying stocks while I sleep.

What it does

• Trades semiconductor ETFs (EU and US) and their component stocks (ASML, NVDA, AMD)
• Implements 4 main arbitrage strategies:
  1. ETF vs ETF arbitrage (EU vs US)
  2. Single ETF vs its components
  3. ETF vs stocks when they're too cheap
  4. ETF vs stocks when they're too expensive
• Handles single-market scenarios (US-only or EU-only) using price history
• Manages position limits and risk with dynamic position sizing
• Auto-balances positions when crisis mode hits

How we built it

• Used Python and the Optibook trading API
• Implemented real-time order book monitoring
• Created safe volume calculations considering position limits and market liquidity
• Built position tracking across multiple instruments
• Added crisis management for when positions get too large
• Used weighted thresholds based on current positions

Challenges we ran into

• Dealing with market hours (EU/US timezone differences)
• Managing cross-market risk when one market is closed
• Handling position limits across 5 different instruments
• Balancing aggression vs safety in trading
• Rate limiting (25 requests per second)
• Not blowing up the account while trying to get that Bugatti

Accomplishments that we're proud of

• Built a fully automated trading system
• Implemented multiple arbitrage strategies in one bot
• Created dynamic position sizing and risk management
• Made the bot recover from crisis situations
• Didn't lose the house (yet)

What we learned

• ETF arbitrage is more complex than it looks
• Position management is crucial
• Market microstructure matters
• Sometimes the best trade is no trade
• Crisis management needs to be built in from the start
• Python can handle real-time trading pretty well

What's next for Do you even trade bro?

• Add more sophisticated pricing models for closed-market scenarios
• Implement machine learning for better threshold optimization
• Add more ETFs and stocks to the mix
• Create a dashboard for monitoring
• Buy that Bugatti (eventually) 🏎️
• Maybe add some risk management before the Bugatti

What's next for Do you even trade bro?

Built With

• python