IMC-trading

This repository is the code used by our team, Quant Crusaders, in IMC's prosperity trading competition.'

What files to look at for reference

Data analysis: rounds/round_3/analysis.ipyb

Strategy implementation: rounds/round_3/round_3.py

Some writeup: rounds/round_2/writeup.md

Notes during the challange

Coding info: https://imc-prosperity.notion.site/Writing-an-Algorithm-in-Python-658e233a26e24510bfccf0b1df647858

Useful stuff:

Previous events search:

https://duckduckgo.com/?t=ffab&q=site%3Agit.luolix.top+imc+prospoerity+page&ia=web

Potential market-making strategies:

https://github.com/Andrew-Lloy/Optimal-HFT-Guilbaud-Pham/blob/main/1106.5040.pdf

Example of previous year's results:

• https://github.com/nicolassinott/IMC_Prosperity/tree/main
• #2 trading bot in 2023: https://github.com/ShubhamAnandJain/IMC-Prosperity-2023-Stanford-Cardinal

Trade visualizer (requires custom logging)

https://jmerle.github.io/imc-prosperity-2-visualizer/

Training a linear regression model

https://www.alpharithms.com/predicting-stock-prices-with-linear-regression-214618/

Hidden markov chains in python

https://medium.com/@natsunoyuki/hidden-markov-models-with-python-c026f778dfa7

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Last year's format:

1. Round 1: Bananas and Pearls

   • Bananas have a volatile price(but relatively linear)
   • Pearls had a very stable price

2. Round 2: Coconuts and Pina Coladas

   • Coconuts are an ingredient in Pina Coladas
   • Thus price of Pina Coladas are derived from the price of Coconuts

3. Round 3: Berries and Diving Gear

   • Berries are a seasonal good
   • Diving Gear is influenced by Dolphin Sightings

4. Round 4: Picnic Baskets, Ukulele, Dip and Baguette

   • A picnic basket has one ukulele, one dip and one Baguette
   • price of picnic basket is not equivalent to the sum of the 3 goods

5. Round 5: Can use any IMC bots or previous bots

General Strat: 1. For stable goods, derive a strike price for both buying and selling 2. For volatile goods, develop a base momentum trading model 3. For related goods, develop a base pair trading model

Specific Strat:

• Bananas: Use a RSI with a wider range specific to bananas (like 80 20)

Source: https://github.com/liamjdavis/IMC-Prosperity-2024/blob/main/plan.txt