HFT Challenge

ContestantTrader.py

class ContestantTrader(Trader):
  def __init__(self, name, prediction_offness, capital=10000):
    super().__init__(name, capital)
    self.trades = []
    self.total_asset_value = capital
                
    # guess on dividends
    self.prediction_offness = prediction_offness
    self.dividend_estimate = None

Order.py

class Order:
  def __init__(self, marketmaker_name, order_time, qty, order_type, direction, valid_until, order_price=0, **kwargs):
    # default values on the order
    self.marketmaker_name = marketmaker_name
    self.order_time = order_time
                
    self.qty = qty
    self.order_type = order_type # this can be a market or limit order, specified by 'M' or 'L'
    self.direction = direction # this is either 'B' for buy, or 'S' for sell
    self.valid_until = valid_until # this is the time step it is valid until
                
    # for a market order, a price is not required. For a limit order, we will require a price.
    # market orders are used just in case on a given day you think that you will take any
    # bid or ask just to get out or get into a position asap
    self.order_price = order_price

Some_file.py

def create_quotes(self, time, current_price=0, orderbook=None):
  # The `create_quotes` function is used to generate quotes for a trader. 
        
  # The parameters that you know as a trader are:
  # - time: the current time in the trading environment
  # - current_price: the current price of the stock
  # - orderbook: the current state of the order book, including all outstanding orders and their details
  # - self.dividend_estimate: your initial predicted dividend prediction on the day that the last dividend was paid out at. 
  # You will also know any variable defined in the __init__ function.
                
  # The function should return a list of quotes in the following format:
  # [{'order_time': int, 'qty': int, 'order_type': 'L' or 'M', 
  # 'direction': 'B' or 'S', 'valid_until': int, 'order_price': float}]
  # The market maker name will be added via the world environment 
  # If you decide not to make any bids, please return an empty list, i.e. []
        
  return []