strategyv2: investigate irrational historical transaction prices

zhehaowang / sneaky

Feed and strategy for cross-venue Sneakers trading (Du, StockX).

GNU Lesser General Public License v3.0

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strategyv2: investigate irrational historical transaction prices #49

Closed zhehaowang closed 4 years ago

zhehaowang commented 4 years ago

Feed has confirmed transaction history like this one: Du 304775-101 saw a 42.5 size buy at 3000CNY on Dec 23, and the immediate one before was 5079CNY on Dec 12. Such big discrepancy will hurt how well to-last conditions can make decision.

Similar investigation should be

conducted on the field "du_listing_bid", and to
discount findings where stockx spread is absurdly wide.

These are probably the biggest blockers before autobid.

zhehaowang commented 4 years ago

This is superseded by #55 . The volatility seems very much expected. Does Du even run a price-time priority matching engine?