Inspiration
We wanted to first take advantage of arbitrage between a liquid and illiquid market for stocks of the same company, then implement market making in the illiquid market and finally take advantage of time lag between markets opening and reaching its intrinsic value.
What it does
Using arbitrage11am.py, we constantly compare the value between two markets to check for inconsistent market values which would be an arbitrage trade opportunity. We also implemented a market maker strategy whic provides liquidity to the illiquid market that reduces our individual positions when they get very positive or negative.
Challenges we ran into
To take advantage of market opening, we wanted to make pre emptive trades on the open market and then complete the other side of the trade the moment the closed market opens. However, our pricing model was unable to accurately predict the opening price and demand, and more time is needed.
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