Evidence at a glance
Loading source evidence…
What was done
A repository containing a reverse-engineered protocol client, market simulator, and trading strategies for Optiver's Delta Dash event. Includes analysis of a live event and tools to reproduce strategy performance results offline.
The optiver-delta-dash repository provides technical documentation and tooling for the Optiver Delta Dash trade-a-thon. The author reports that the exchange protocol was reverse-engineered from the site's Angular bundle and verified against a live capture. The project includes a protocol client, a local market simulator, and several trading strategies, including a maker-only market maker, a follower bot, and a long-hold strategy. The author documents that the live bot was run manually during a single event, where it performed poorly due to a trending market and manual intervention. Performance results for various strategies were derived from both a replay of the real recorded market book and a zero-sum agent simulator. The author notes that maker-only market making is the only strategy found to be positive in both up and down market rounds. Limits include that rate limits at a real event are not fully known, and the simulator is calibrated to a single eight-minute tape. Claude Opus 4.8 is credited as a co-author for the documentation and research efforts.
Reproduce it
Requires Python 3.10+ and the `websockets` library. The simulator bakeoff can be reproduced by running `python3 agent_sim.py`.