Optiver team-030

Optiver Challenge team-030 file: emerging_markets/Scott4.py

Risk limits:

• We started by implementing functions to ensure we didn't breach any of the risk limits

Valuation:

• We implemented a simple valuation that uses arithemtic average of best two levels on each side of the book
  • This is designed to make our algorithm robust to values at the BBO that are not meaningful (also to mitigate the effects of basic spoofing)

Arbitrage:

• When both products are live, place buy orders on the undervalued product in a pair and sell orders on the overvalues ones

Quoting:

• When only one product is live, we place quotes in the book such that the best prices have small volume and worse prices with more value. The idea here is if the market dries up we capture bigger spread and we are first in the book (so we get filled first). We don't want to put a lot of volume at the BBO as that might result in us taking position with a spread too thin for us to be safe when the market moves against us.

Built With

• python