Building a Futures Market Making Bot - Winning the UChicago Trading Competition, Part 1

Back in April, I participated in the UChicago Midwest Trading Competition with a couple of friends, and we ended up winning 2 out of 3 cases and the overall competition. So I’ve procrastinated on writing this blog post for 3 months, but I needed to get this out before I start working at a trading firm in a few weeks. This is the first part in (hopefully) a series of my favorite trading cases.

First, let me take you through how we tackled one of my favorite cases, building a futures market making bot on the Chicago Electricity Futures Market.