Optiver Optibook Market Making Challenge

Inspiration

Coming into IC Hack as first years without prior hackathon experience, our thoughts were to enjoy and absorb as much knowledge as possible. Out of the many themes available, the one workshop that stood out to us was Optiver’s Market Making Challenge. Using their codebase would level the playing field with the other teams, and financial markets had always been an intimidating mystery we were interested in, so what better choice was there?

What it does

The common phrase of "buy low, sell high" was our objective. By taking advantage of the same ETF being listed on two different markets, we were able to use statistical arbitrage to exploit discrepancies within these two markets and maintain a market-neutral position through hedging in the other market.

Moreover, by utilising limit orders, we were able to employ some market-making strategies to introduce liquidity to the market and gain value for this.

Challenges we ran into

The challenges were not just along the way; the way itself was a challenge. Trading strategies were difficult enough without technical terms, and with each error message we questioned whether we should have chosen something we were more familiar with. Fortunately for us, the Optiver team helped to explain and review our ideas, especially discussing the use cases of limit orders, which ultimately formed the base of our working model.

Accomplishments that we're proud of

Every successful run was a small victory. The satisfaction of seeing our algorithm work its way up the rankings gave us the energy to stay on coding through the night. No matter how complicated each workshop was, we pushed through and tried out each activity - even finding a letter during the Marshall Wace Treasure Hunt.

What we learned

Being thrown into the deep end was no easy task, but in the 24 hours, we learnt how to use statistical arbitrage and market-making strategies to exploit discrepancies in international financial markets. Team discussions were key to helping us all deepen our individual understandings. Overall, it was a tiring experience, but immensely fun, and definitely a worthwhile experience for a first hackathon.

Built With

• optibook
• python