Projects

What we are working on

Seven projects, each with its own independent data platform and its own simulator. This is our rule: no decision reaches capital before it has been tested in a simulator.

Project list

In testing

CME Market Maker

A deep-learning market-making algorithm for the Chicago futures market, on the way to an automated market-making desk

Several years of the Chicago exchange, gathered order by order. From that data we have arrived at a market-making algorithm that is tested inside a close reconstruction of the exchange itself.

Simulator report to download Read the project
  • Multi-yearorder-by-order history
  • Deep learningmethod
  • Python · C# · Rusttechnology
In testing

Fast Scalp

An ML-based short-term trading algorithm for the Chicago futures market, on the way to an automated trading desk

Several years of the Chicago exchange, gathered order by order. From that data we have arrived at a short-term trading algorithm that is tested inside a close reconstruction of the exchange itself.

Simulator report to download Read the project
  • Multi-yearorder-by-order history
  • Machine learningmethod
  • Python · C# · Rusttechnology
Data service running

BlockTrade

Behavioural analysis of block trades in the Chicago futures market, on the way to trading and investment algorithms built on the trail of big money

Our server receives and processes the block trades of every Chicago exchange product without pause and delivers them to the trader's chart. Their history builds up day by day.

No simulator report published Read the project
  • 36 secondsmedian arrival of each block after the exchange's notice
  • 24 shapesblock classification
  • Python · C#technology
In development

TSETMC

Order-flow analysis of the Tehran Stock Exchange, on the way to an algorithmic money-management fund

Eleven years of Iran's capital market, gathered and rebuilt trade by trade and order by order. We build and test our models on that history.

No simulator report published Read the project
  • 11 yearsof market history
  • 1,148symbols
  • Python · C#technology
In testing

Gold ETF Arbitrage

An algorithm that moves capital between the gold funds of the Tehran Stock Exchange, on the way to an automated gold portfolio that aims to earn more than holding gold

The gold funds of the Tehran Stock Exchange, recorded order by order and measured on one yardstick. We test moving between them inside a close reconstruction of the exchange, against simply holding gold.

Simulator report to download Read the project
  • 21 gold fundsmeasured on one yardstick
  • 395 trading daysreplayed in the simulator
  • Pythontechnology
Under study

DeFi LP

A money-management algorithm for the liquidity pools of decentralised exchanges, on the way to an automated fund

The full history of 136 pools on four blockchain networks, gathered from each pool's first day and event by event. We simulate capital sitting in a pool, and moving between pools, inside a close reconstruction of the market itself.

No simulator report published Read the project
  • 136 poolsfull history, event by event
  • 4 networksblockchain
  • Python · C#technology
In development

Crypto Market Maker

Data infrastructure and a market-making algorithm for the crypto market, on the way to an automated market-making desk

The market of 22 heavily traded cryptocurrencies on 16 global exchanges, gathered trade by trade and order by order. Before writing the algorithm, we have recorded this whole market, and keep recording it.

No simulator report published Read the project
  • 22 cryptocurrencieson 16 global exchanges
  • 60 terabytesscope of raw data
  • Rust · C#technology

Write-ups for our other projects will be added to this page over time.