Optiver Market Making Challenge

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  3rd

The trading strategy developed our team (026) focuses on arbitrage opportunities between SMALL_CHIPS and SMALL_CHIPS_NEW_COUNTRY, coupled with rigorous risk management and adherence to Optibook's trading limits. Key components of our strategy include:

Arbitrage Execution: Identifying and exploiting price discrepancies between the dual listings to secure immediate profits, while considering transaction costs.

Risk Management via Hedging: Implementing a hedging strategy to minimize market volatility exposure, ensuring positions are balanced within the +/- 100 hedged position limit.

Compliance with Limits: Our algorithm proactively monitors and adjusts to stay within the maximum position, order volume, and update rate limits to avoid penalties.

Market Making: Enhancing liquidity for SMALL_CHIPS_NEW_COUNTRY by quoting two-sided limit orders, with dynamic pricing to remain competitive and profitable.

Strategic Position Management: Carefully managing trades and positions, especially during asynchronous market hours, to maintain the ability to hedge effectively.

Adaptability: Our approach is designed to be resilient and adaptable, dynamically responding to changing market conditions to maintain effectiveness.

Team number 026's algorithm combines arbitrage with strategic market making, emphasizing liquidity provision, market efficiency, and strategic risk-taking within the simulated trading environment of Optibook.

Built With

• python