{"repo":"tetratensor/street-algo-trader","free":true,"listed":false,"github":"https://github.com/tetratensor/street-algo-trader","clone":"git clone https://github.com/tetratensor/street-algo-trader.git","description":"Algorithmic trading client and strategies for a Jane Street–style electronic exchange: pennying market-making, micro-MACD, bond maker, ETF/ADR arbitrage.","language":"Jupyter Notebook","stars":11,"topics":["adr","algorithmic-trading","arbitrage","etf","high-frequency-trading","jane-street","macd","market-making","numpy","python"],"license":"MIT","category":"trading","readme_excerpt":"Jane Street Electronic Trading Competition (Algorithmic Strategies) This repository contains a collection of algorithmic trading strategies and a client to interact with a Jane Street–style electronic exchange. Strategies include pennying/market-making, a micro MACD signal, ETF basket arbitrage, ADR conversion arbitrage, and a simple bond market maker. Key Features - Pennying market-making around the NBBO - Micro-MACD momentum signal per symbol (12/20 EMA spread) - ETF basket arbitrage scaffolding for XLF vs components (GS, MS, WFC, BOND) - ADR conversion logic (VALBZ/VALE) with convert orders - Bond market-making around a fair value - Simple client harness and test harnesses Repository Structure Requirements - Python 2.7+ or 3.x (code uses print function ; sockets/JSON only) - numpy Install dependencies: Configuration Edit the CONFIGURATION section inside the desired client script. - team name : your exchange team identifier - test mode : set True for test exchange, False for prod - test exchange index : choose 0/1/2 for different test environments Example snippets: Running Make the client executable and run in a loop (recommended by the competition scaffold): Or simply run with Python: For the test clients: Strategy Modules - pennying.py : Places quotes slightly inside the inside market, with risk checks based on current outstanding orders and holdings. - micromacd.py (and inline function in clients): Maintains rolling 12-EMA and 20-EMA on mid-prices; issues small buy/sell ","default_branch":null,"files":null,"tree":[],"storefront":"/r/tetratensor","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/tetratensor/street-algo-trader/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}