Inspiration
My inspiration was mostly given from the presentation that the wonderful people of optiver gave. The actual challenge is pretty straight forward: 'create a market making bot that is profitable, minimizes risk and minimizes the spread of the instruments'.
Implementing this, however is another story.
What it does
I think I've created the simplest possible profitable bot.
What is does:
- Calculate the spread of the C2_GREEN_ENERGY_ETF
- if the spread is above a certain threshold we place a buy and ask bid at the same time
- To avoid risk hedge against the market movements by selling the illiquid stocks C2_WIND_CO and C2_SOLAR_CO
- Profit????
How we built it
Using python and optivers library optibook. We also used AWS Cloud9 as a code editor which I haven't used before.
Challenges we ran into
While the concept of my algorithm is easy I struggled a bit with understand what exactly a market maker is and how they actually make money.
Accomplishments that we're proud of
Becoming profitable
What we learned
Be better at time management.
