Our Strategy:
We implemented two different trading agents (python modules).
The first one focuses on arbitrage in the Fossil Energy Markets.
The second one does hedged Market Making in the Green Energy Markets: Per default (no position), it underbids the current best ask and overbids the current best bid of the Green Future ETF. However, if it has a positive or negative position in the Green Energy Markets ETF, it tries to implement the strategy "Lean Your Market", i.e. it tries to move the market in the opposite direction of its position. I.e., when it has a positive position, it improves the bid and worsens the ask. When it has a negative position, it improves the ask and worsens the bid. We choose a hedge ratio between 0 and 1 with which the algorithm hedges its Green Future ETF with the two green energy stocks. A hedge ratio of 1 means a full hedge with the relationship ETF = 0.5 Stock1 + 0.5 Stock2. While a hedge ratio of 0 means no hedging at all. (The sign of the hedge positions are the opposite of the sign of the ETF position).
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