Optiver

Our best rank was 4!

Inspiration

At the beginning, we decided our goal in this competition is not the winning, but the fun and collaboration between the teams and members. We picked the Optiver's challenge it is a new area for us, and we want to learn something new throughout this HackaTUM. Also, it seems very entertaining when it comes to competing with other teams and improve our algorithms over time.

What it does

Our Algorithms will ALWAYS make REAL CASH profit

How we built it

We decided to come up with the simple solution first, which is always checking the profit before we buy it. We want to constantly buy or sell stock and basket immediately if its price increase after we buy it or decrease after we sell it. We tried to always get our volume as near as zero, so that it will not rely on the price of the stocks/baskets. Then we set up some conditions, if we are too close to the limit borders we stop our normal mode and trade to get our positions volume away from the borders. After that, we added trace mark for each trading, so it avoids buying stocks/baskets that we just sell which would lead to a self trade. Finally, we want to set up some boundaries so that it can increase the profit.

Challenges we ran into

On the first day, we overengineered the challenge and understood it completely wrong so we actually begin much later than other teams. Then we had a problem with overbuying and overselling because we bought too much but not selling or vice versa. Another problem occurred when we were trying to execute a self trade.

Accomplishments that we're proud of

We are very proud that we can come up with the solution and algorithms in shortage, since we have no knowledge at all in finance and we understood the challenge in completely the wrong way at the beginning. The algorithm always returns real cash profit and a high positive PnL. Maybe it does not have the highest PnL and our algorithms are not the most effective solution, but we have come a long way to achieve this.

What we learned

We have learned a lot for the last 48 hours, especially in finance area. We had a lot of fun, made some new connections, learned many things not only through the hacking but also through the booths and the workshop events.