Team Members: Ephraim Sutherland, Vinicious Canto Costa
must have poetry installed.
to create a virtual environment run
python3.10 -m venv optiver_env
source optiver_env/bin/activate
and to install packages run
poetry lock
poetry install
Finally, if you have the kaggle CLI api installed, then, inside kaggle_optiver, you can run
kaggle competitions download -c optiver-trading-at-the-close
After unzipping this, the project should be working
to get your kernel registered within vscode, while inside the virtual environment you may also need to install the proper kernel.
To do this run
python3 -m ipykernel install --user --name=optiver_env
While we test our own features, many of our most successful features come from or are inspired by this paper on predicting short-term returns. While their paper studies this predictive ability in continuous markets, we find that many of these features also have strong predictive power for the closing cross.