Markets and more

Background

Participating in the Transistor Trading Challenge during hackaTUM 2024 was an exciting and educational journey. As newcomers to market making, our team was eager to dive into the complexities of this financial landscape and develop an algorithm for trading in a simple market environment with semiconductor stocks and ETFs. Our enthusiasm drove us to learn rapidly and implement our strategies, constantly trying out new approaches and methods.

Achievements

We successfully tackled Part 1 of the challenge, where we developed a basic trading strategy that achieved a positive PnL over extended periods. This involved leveraging opportunities in the order book of SEMIS_ETF_US and SEMIS_ETF_EU when both markets were open, ensuring that trades were effectively hedged to minimize risks.

Challenges and Learning

Despite our initial success, we encountered significant challenges with Part 2 of the project, particularly when attempting to trade against the basket of stocks. Our strategy struggled with (probably) market fluctuations, resulting in substantial losses. The difficulties underlined the necessity for a deeper understanding of the basket's dynamics and risk management, especially when operating with incomplete market data during closed trading periods.

Future Directions

Reflecting on our overall performance, while we did not secure a top spot on the leaderboard, the challenge was an invaluable learning experience. It highlighted areas for improvement such as risk management and algorithm resilience under varying market conditions. We are motivated to continue exploring the intricacies of market-making and to refine our strategies. The insights gained from this challenge have equipped us with a solid foundation to dive deeper into financial algorithms and algorithmic trading in future endeavors!

Built With

• optibook
• python