Optiver - Ready Trader Go

Overview

Ready Trader Go 2023 was a thrilling experience that tested my programming skills and analytical prowess. This global competition, hosted by Optiver, challenged participants to create and refine high-performing trading algorithms over a period of three weeks. As a participant, I developed a competitive algorithm that demonstrated innovation, efficiency, and versatility in the realm of automated trading.

The Challenge

The aim of the competition was to develop a high-performing auto-trader with the highest profit and loss (PnL). The participants were required to employ advanced coding skills and financial acumen to compete against global teams. The competition consisted of two rounds of optimization followed by an intense grand finale.

Development and Implementation

To tackle this challenge, I started with a simple "stay-on-top-of-the-book" algorithm and then continuously made refinements based on insights derived from analysing match logs. This involved the development of several models running in parallel, requiring both technical skill and strategic thinking to manage effectively. I implemented various strategies, often rewriting the entire program if a new promising idea emerged.

One key aspect was speed optimization. I noticed that the 20 microseconds between receiving each order book could be utilized more effectively. I ensured rapid trade execution, maximizing the time and fully utilizing the position and message limit. In total, I wrote approximately 10-20 different models, which I used as benchmarks against new strategies.

One breakthrough moment was the discovery of other teams executing trades between the ticks and using hedging of size 1 to probe future prices. This realization led me to shift entirely from inserting limit orders to orders with a "fill and kill" lifespan, making a considerable impact on the efficiency of my algorithm.

Key Learning and Insights

This competition offered a challenging and exciting platform that tested my capabilities in programming, data analysis, and problem-solving. The practical experience of creating a high-performing algorithm from scratch under time pressure was invaluable. It honed my skills and fostered my adaptability and strategic thinking.

One major insight I gained was the importance of speed in trading algorithms. I learned how to optimize every microsecond and fully utilize the position and message limit. I also discovered how to effectively manage and test various models simultaneously, a process that, while challenging, significantly contributed to my algorithm's performance.

Conclusion

Participating in Optiver's Ready Trader Go 2023 was a rewarding experience. Although I did not win the competition, the knowledge and experience gained were priceless. It not only allowed me to test my abilities against global competitors but also instilled a greater understanding of how technology and finance intersect. The competition spurred me to continually seek ways to innovate and improve, setting the stage for my future endeavors in the field of finance technology.