$ mangocore --help
Usage of mangocore:
-case string
case file to load
-identity string
identity file to load
-logf string
log file format
-mprofile
enable cpu profiling
-port string
port to use (default ":10914")
-profile
enable cpu profiling
-speedup float
how many times faster mangocore should run (default 1)
-start int
automatically start in given seconds
-test
testing mode (default true)
Start the trading server using something like ./mangocore-osx-amd64.x -case /path/to/casefile.
Start each bot as a standard python3 file.
The trade-able instruments are options and TMXFUT futures, where the futures are solely for hedging. Both are cash-settled.
There are 82 options in each round of the case: 41 puts and 41 calls, in range(80, 121).
Options expire at the end of each round and their tickers are subsequently re-used.
Five example tickers are listed below; other tickers follow the same naming conventions:
| Strike Price | Put Option Ticker | Call Option Ticker |
|---|---|---|
| $90 | T90P | T90C |
| $95 | T95P | T95C |
| $100 | T100P | T100C |
| $105 | T105P | T105C |
The ticker for futures on the index is “TMXFUT”
Chen_Fu_options.py
Calculates the implied volatility of T100C whenever market updates
Uses the historical implied volatility to predict using polynomial regression future volatility (3 seconds out)
Calculate future price of T100C using future implied volatility
If future price > current price, purchase call option
If future price < current price, sell call option