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Round 2 - Growing Your Outpost

Overview

This folder contains the implementation of refined algorithmic trading strategies developed for Round 2 of the IMC Prosperity Trading Challenge.

This round represents the final opportunity to reach the qualifying threshold of a net PnL of 200,000 XIRECs or more before the leaderboard reset for Phase 2.

Market activity has increased significantly compared to Round 1, introducing additional complexity in both execution and strategy optimization.

Market Environment

The same two assets from Round 1 are traded:

  • ASH_COATED_OSMIUM
    A volatile asset with exploitable short-term inefficiencies and structural patterns.

  • INTARIAN_PEPPER_ROOT
    A low-volatility, mean-reverting asset with stable price dynamics.

Position limits remain unchanged:

  • ASH_COATED_OSMIUM: 80
  • INTARIAN_PEPPER_ROOT: 80

New Mechanism: Market Access Fee (MAF)

Round 2 introduces a Market Access Fee (MAF) mechanism that determines access to additional order book liquidity.

Participants may submit a bid for increased market access:

  • Top 50% of bids are accepted
  • Accepted bids grant +25% additional market access
  • The bid amount is subtracted from final Round 2 PnL for accepted participants only

The bidding mechanism is implemented through a bid() function in the trading class.

Strategy Enhancements

Compared to Round 1, this iteration introduces:

  • Improved signal refinement based on Round 1 performance analysis
  • Adjusted execution logic to account for increased market depth
  • Inventory-aware position management under tighter competition
  • Integration of bid strategy for optimal trade-off between cost and market access

Market Access Considerations

The bidding mechanism introduces a game-theoretic trade-off:

  • Higher bids increase probability of obtaining additional liquidity
  • Lower bids reduce cost but risk exclusion from expanded market access
  • Optimal bidding depends on expected marginal value of additional flow

Repository Structure

  • round_2/strategies/ → improved trading logic and new bidding strategy
  • round_2/utils/ → updated helper functions and execution utilities
  • round_2/notebooks/ → performance analysis of Round 1 and strategy improvements
  • round_2/backtesting/ → simulation and validation framework

Key Assumptions

  • Market inefficiencies persist but are less stable than Round 1
  • Additional market access provides measurable but non-linear value
  • Strategy performance is sensitive to execution constraints and liquidity depth

Notes

This round emphasizes:

  • adaptation to evolving market conditions
  • optimization under strategic constraints (MAF mechanism)
  • balancing execution quality and cost efficiency