onetwotrea / quantitative-contest

It's an experience in a quantitative contest. We are a team of three members and got first in the Round 3 period in both PnL and Sharpe Ratio. First, the virtual trading system uses Google's gRPC framework. So we wrote scripts to send commands such as orders to this system. Second, we conducted scripts to request virtual market data from this sys

wequant

It's an experience in a quantitative contest. We are a team of three members and got first in the Round 3 period in both PnL and Sharpe Ratio.

First, the virtual trading system uses Google's gRPC framework. So we wrote scripts to send commands such as orders to this system.

Second, we conducted scripts to request virtual market data from this system.

Third, we built a data processing class to deal with raw data and make it feasible and standard.

Fourth, we wrote separately three high frequency models: RBreaker, Timeselecting( cf my first internship), Dual Thrust strategy.

Fifth, we wrote a python file to help control the risk in our tradings.

It's the first time that I totally complete a trading from getting data, dealing with data, building models, controlling risk and placing orders in this system.

Really fantastic!