The first round results were decent. In Round 2, two new products were introduced – let’s call them C and PC. Looking at their price movements, they showed high correlation, which was confirmed by calculating their price change correlation. This strongly suggested pair trading potential. I analyzed historical trading data to estimate theoretical market making […]
Round 1 has begun. The algo trading portion is nearly identical to the tutorial round, just using different day’s data. One inconvenient change is that Round 1 only provides log information without PnL reporting, so I have to calculate my profits manually from the logs – quite troublesome. As a result, I didn’t make any […]
Today I focused on comparing my performance against other market participants in bananas trading to identify improvement opportunities. Here’s my analysis approach: 1. Profit Tracking Methodology: ⦁ For all market trades reported by exchange: PnL = abs((trade_price – fair_price) * quantity) ⦁ For my own trades: PnL = (fair_price – trade_price) * quantity ⦁ Plotted […]
After reaching 6,000+ in the tutorial round, I hit a wall – none of my attempted improvements made progress. While stuck, I stumbled upon a deeply puzzling phenomenon while reviewing log files. When trading bananas, I noticed something bizarre: despite having standing orders in the market, other bots kept executing trades at worse prices while […]
After developing Strategy v3, I began exploring ways to further improve it. While reviewing log files, I noticed that my position often hit the limit, so I considered becoming more aggressive in inventory management. For example, when my position reached the upper limit of 20, I would be willing to sell at or even below […]
Following my previous work, I turned my attention to bananas. Their price movements were unstable, making it impossible to trade around a fixed price like I did with pearls. So I decided to first examine the order book dynamics for bananas. After analyzing the bid-ask spread each round, I made an interesting discovery: the spread […]
Currently, it’s still the tutorial round, and there are two products available for trading: one is pearls with stable prices, and the other is bananas with highly volatile prices. I started by studying pearls because they seemed simpler (>_<). After some research, I found that the price of pearls fluctuates very stably around 10,000. So, […]
