JaneSteetETC

Trading algorithms and summary of Jane Street Electronic Trading Challenge

Our Team

Yuanzhe Liu: CS undergrad, rich experience in software development, VPN business owner

Hao Yuan: Industrial Engineering and CS undergrad, trading algorithms developer on Quantopian, 2 year stock and option trading experience

What Our Team Did

• Coded everything in python

• Concurrent development: Yuanzhe focuses on TCP connection, Hao focuses on strategies

Our Strategies

Common stock & ADR pairing: Since common stock is more liquid than its pairing ADR, we use common stock to estimate its ADR's fair value. When ADR is undervalued, we buy ADR, pay a fee to convert to common stock, and sell in strength

ETF Arbitrage: We use the holdings of the ETF to estimates its fair value. When ETF is undervalued, we buy ETF, pay a fee to convert to common stocks of the holdings, and sell in strength. When ETF is over valued, we buy common stocks of the holdings, pay a fee to convert to ETF, and sell in strength.

What Did Our Team Do Well?

• chose a progamming language that was easy to use

• Divided the roles, stayed focused, and helped each other

• Started from simple strategies to complex ones

• Top 4 of the competition

What Should We Have Done Better?

• Set up TCP earlier, our first test began 3 hours after the pool opened

• Track pending orders and cancel the ones we don't need

• Less aggressive algorithms (We were top 2 for 2 rounds and bottom 5 for a few)

• Implement hedging strategies for risk protection