I was recently in a competition which simulated real time currency trading. Teams were supposed to build bots that could request current prices of currencies, buy, or sell currencies using HTTP request. The objective was at the end of the competition, teams that gained the most profit wins. Each team was given an initial 500 units from each currency (Total of 6). Also, transactions incur no cost. (Basically once the server receives your request to buy/sell, it performs it right away if valid).

Me and my team developed a bot that used triangular Arbitrage. We request the prices, then try all possible three ways, if any is non consistent, we arbitrage it.

Now, me and my team were relatively successful and we ranked fifth (Out of 35 teams). However, I couldn't help but see that the top three teams generated ridiculous profits (15 times of magnitude as us). So my natural question is, what strategy would've been the best in this sort of scenario?

  • $\begingroup$ Maybe you could make a deal to reveal your strategy to people in the four top teams if they reveal their strategy to you... $\endgroup$
    – noob2
    Sep 20 '17 at 17:09
  • 1
    $\begingroup$ Maximising profit may not be the best performance metric, since it usually goes hand in hand with an increased probability of ruin. One should incorporate some measure of the risk taken as well. That being said are you familiar with the Kelly criterion? You'll find plenty of related questions on this site. Also, do you have other stats regarding your rivals' performance? Without that or the market data I think there is no general answer. $\endgroup$
    – Quantuple
    Sep 21 '17 at 7:19

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