SP-1 / Lesson 4

ClassworkProblem SetExtra

Extra №4

Let's make things a bit more realistic and interesting. We will stick to the set up from the Problem Set, but you now need to come up with a trading model that makes money while adhering to the restrictions below:

  • At each point in time you have either $-0.01$ ETH, 0 ETH or $0.01$ ETH;
  • During each tick of the book you can immediately sell or buy 0.01 ETH (or do nothing). No restrictions here (no delays or anything);
  • The fee for each trade, that goes to the exchange, is 0.5bps. In reality the fee is larger, but let's do this one anyway;

The objective is... to make some money! Unlike in the Problem Set, you will have a week's worth of data, all of the seven files there are the top of the order books on the corresponding dates, all in .csv formats:

THE DATA

As before, if you want to have some sort of feedback on your work, please do everything in Jupyter Notebook. You can write text there as well as the code (in Python, which is what you should be using). E.g you can use Google Colab: easily shareable and beginner-friendly Jupyter Notebooks. Also, and I cannot stress this enough, whatever you decide to share should look nice, have clear plots and have readable code. Everything should be labeled and nicely written: feel free to use ChatGPT to help you with that.