Skip to content

Instantly share code, notes, and snippets.

@tristanstraub
Last active January 3, 2016 03:01
Show Gist options
  • Save tristanstraub/e311572f730f6889e20b to your computer and use it in GitHub Desktop.
Save tristanstraub/e311572f730f6889e20b to your computer and use it in GitHub Desktop.
Stockfighter level 6
Number of trades per account around price changes.
(2 2 2 2 2 ...) is suspicious.
(["MAC11396996" (2)]
["WMG74660049" (2)]
["KIB82586665" (2)]
["JAL12920359" (2)]
["KLB21545517" (2)]
["HRH56719296" (2)]
["EFS39387087" (2)]
["BB43557789" (2)]
["FAH9638463" (2)]
["RAM70564801" (2)]
["AAK3754248" (2)]
["SLB50898886" (2)]
["BMB36069700" (2)]
["YSS48157799" (2)]
["HAJ31600290" (2)]
["PAL7032406" (2)]
["SIB7142327" (2)]
["LOS1987946" (2)]
["SSB44522957" (2)]
["MOB39111528" (2)]
["RFB64041960" (2)]
["MMB56879888" (2)]
["SP33355048" (2)]
["IWB44627288" (2)]
["HAA19026428" (2)]
["HB91424930" (3 3)]
["RAH18180565" (2 2)]
["KAB87709098" (2 2)]
["BSS68487262" (2 2)]
["MAH8740384" (2 2)]
["EAK98684762" (2 2)]
["PSB66828450" (2 3)]
["BK19988820" (2 2 2)]
["FHF26101978" (2 2 3)]
["PFB94148026" (2 2 2)]
["MHM31303741" (2 2 2 2)]
["SAS59105431" (2 2 2 2)]
["SIE81039881" (2 2 2 3)]
["ORB5249515" (2 2 2 2)]
["JSR22949483" (2 2 2 2)]
["WHB30588484" (2 2 2 2 2)]
["BB74623270" (2 2 2 2 2)]
["PAL25284053" (2 2 2 2 2)]
["FTB28481887" (2 2 2 2 2)]
["BAJ92626341" (2 2 2 2 3)]
["SAK26277795" (2 2 2 2 2)]
["HAT36202890" (2 2 2 2 2)]
["SOB36782192" (2 2 2 2 2 2)]
["FAP86324033" (2 2 2 2 2 2 2)]
["CAP53493616" (2 2 2 2 2 2 2 2)]
["ICY79235001" (3 3 3 3 3 3 2 4)]
["TTB53750083" (4 3 4 4 3 3 3 4 4)])
1. Find price changes
2. Identify traders around price changes
- Regular orders to map order id to timestamp
- find price inversions via ticker
- use cancel-order left and right of price inversion, over range mapped for lastest and earliest orders around price inversion timestamp.
- classify accounts to a strategy. Exactly two trades around inversion suggests prior knowledge (ignoring bad trades)
3. Find traders around changes that often have exactly two trades.
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment