Jane Street ETC Electronic Trading Challenge

In the fall of 2018 Jane Street hosted an Electronic Trading Challenge at Rice University, a day-long programming contest where students compete against each other designing bots to execute trading strategies in a simulated market. I entered with my classmate and friend Mark Herwig, and together we developed a Python script to execute a market making strategy. After a tough day of programming our team came in first place for the second portion of the event, with the highest revenue of any bot in the latter half of the challenge.

This was an extremely fun and educational experience for me. At the time I did not have the strongest economics background but was hoping to make up for it with my strong foundation in software engineering and mathematical modeling. Thankfully the gambit paid off; my teammate was able to cover my weakness and I was able to focus on playing to my strengths. In the end we did not use the most sophisticated model of the competition, instead opting for a simpler high-frequency trading oriented strategy and leveraging our programming ability to write an extremely efficient bot that could out speed our opponents. The plan worked and through our bot’s ability to collect market data, analyze our position, and make trading decisions faster than anyone else we were able to make thousands of tiny trades that net us an insurmountable lead.

I had a fantastic time working on this project and was super proud of our results. I hope to be able to do more work like this where I am able to combine modeling and high-performance computing in the future.