Submission file
markt-making.py
What it does
We have 2 different strategies:
The very low risk trading between the two stocks and the ETF.
= The system trades stocks and ETFs always in ration 2:1. The result is no problems with hedging.
= It is possible that Stocks are not available for the expected price anymore. In these cases we use part of our potential profit to close the existing gap with worse trades.
= In some cases there is still a hedging risk. To avoid these we balance our positions with the best deals possible.
= Regularly the balance between ETF and stocks is fixed, to prevent hedging.
= Because of the low risk we try to maximize the trading opportunities with trading on both "markets".
We liquidize the market by continuously quoting two sides in the order book. This strategy excels when the market is stable.
Here we have two unique and innovative approaches, which both prevent hedging completely:
= Once a bid (ask) is fulfilled no further bid will be ordered until the ask (bid) also succeeds
-> low risk, low reward because of waiting
= When many bids (asks) are fulfilled, the bid (ask) price is lowered (made higher) until the asks (bids) are fulfilled, then when a bid (ask) is accepted, it is accepted to a very lucrative price
-> medium risk, high reward
Problems:
= in general it was hard to test because the environment was often completely manipulated by 1 or 2 teams
-> to less popular times, where no trolls were around, the testing worked amazingly
= during the first 24 hours we had massive problems with implementing a basic strategy with profit
-> through hard teamwork we collectively started understanding the fundamentals of algorithmic trading
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