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zhehaowang / sneaky

Feed and strategy for cross-venue Sneakers trading (Du, StockX).
GNU Lesser General Public License v3.0
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feedv2: investigate data drop #50

Closed zhehaowang closed 4 years ago

zhehaowang commented 4 years ago

A strategy run suggests the following:

total (style_id, size) pairs 28464 total (style_id, size) pairs 3579 with data total (style_id, size) pairs 3579 with fresh data total (style_id, size) pairs 1379 with fresh transactions total (style_id, size) pairs 524 satisfying profit cutoff ratio (bid to last) of 0.01

We need to investigate why the number dropped by so much in the has-data filter, right after fresh update runs.

zhehaowang commented 4 years ago

A good guess on the issue: many pairs have no listing or bid info from du api, hence the filter gets rid of them. Keeping open for further observation.

zhehaowang commented 4 years ago

This appears to be indeed the problem. Out of all the pairs we matched up, only a fraction actually trades on du.