What it does
Our code keeps a moving average of the difference between the ETFs and the stocks they track. When this ETF share difference is smaller than the moving average minus the loss, we hedge by buying the ETF and selling the shares. When this ETF share difference is larger than the sum of the moving average and the loss, we hedge by selling the ETF and buying the shares. We put limit orders for the ETFs and therefore provide liquidity and decrease the spreads. Our net positions are always very low (usually 0), so we have a very low risk.
How we built it
Studying the market dynamics and then developing the algorithm.
Challenges we ran into
Understanding what is actually going on in the market.
Accomplishments that we're proud of
Successfully gained huge losses, but came back swinging!
What we learned
Market dynamics, volatility, liquidity and how to be a market maker.
What's next for Making Markets to Make a Change
Applying our new knowledge at Optiver :wink:
Built With
- optibook
- python
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