Inspiration
We chose this challenge to learn more about algorithmic trading and Python.
What it does
The program applies arbitrage trading strategy. It observes both exchanges tables, seeking for profit opportunity, specifically when the best ask price of one table is lower than the best bid price of the other table.
How we built it
We built our trading algorithm on Amazon Cloud9 platform, together with Optibook API.
Challenges we ran into
- Our theoretical no risk algorithm is making loss instead of profit.
- Our algorithm sometimes sell unavailable stocks, leaving a negative position.
- The algorithm is quite slow.
Accomplishments that we're proud of
Our algorithm managed to trade while maintain reasonable positions. This is our first hackathon and our first experience with algorithmic trading so we are proud of it.
What we learned
- Markets are weird.
- Optimisation of algorithms is crucial in the fast-paced ever-changing world.
What's next for Team 6 Optiver Challenge
- Develop the implementation of the program e.g. enable multiprocessing, increase overall speed, analyse data trend
- We are looking forward to more hackathons in the future
Built With
- cloud9
- optibook
- python
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