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Quantitative trading strategies – Trading Assignment 4 – distributed 11/2/21,

due 11/23/21

You will design an execution algorithm that uses order book data to beat a TWAP

algorithm, i.e. an algorithm that sells 100 shares every 50 quotes.

Collect the data - 2pts

? Install ib insync package via pip or pip3 (e.g. ”pip install ib insync”)

? Download and install latest TWS application (not stable) from the interactive brokers

website

? Open TWS, log in with your IB account, open File - Global Configuration - API

- Settings, make sure the ”Enable ActiveX and Socket Clients” option is activated

and the Socket port is 7496 by default. This step can be found here, ”Enable API

connections” part.

? Open the ib insynch-template.ibynb notebook. When TWS is open, run the first cell

in notebook to set up connection, then run other cells.

? Run the notebook for at least 2 hours to create a file with quotes for SDS and SH

? You should upload a data file named netID.csv

Write the algorithm - 6pts

? Calculate the average price obtained from a TWAP algorithm that sell 100 share of

SDS at the bid at the end of every 50 quotes.

? Write a ”smart algo” that has the option to sell earlier in each 50 quotes interval,

based on the value of the imbalance and spread. Express the over/under performance

of your algorithm

? Do the same for a TWAP algorithm that buys 100 shares of SDS at the ask, vs your

”smart algo” that can buy earlier in each 50 quotes interval.

? Write a function called smartalgo, that takes in a file name and outputs the average

buy minus the average sell price

Performance - 2pts

We will run your algorithm on all submitted data files and determine which algorithm

minimizes the output.