Basket Arbitrage - ETF mispricing practice

Twenty basket-pricing puzzles on one 8-minute clock. Find the mispriced basket, replicate it from the component cards and execute with every commodity netted to zero.

Each round shows a set of cards. Every card is a tradeable basket of commodities (gold, silver, platinum, copper, oil) with its composition listed, a bid (what you receive to sell one) and an ask (what you pay to buy one). You set a quantity from -3 to +3 on each card - positive means buy at the ask, negative means sell at the bid. The screen shows your live net inventory per commodity and your live cash PnL as you build the position.

A round only counts when you press execute with every commodity's net inventory at exactly zero AND the position cash-positive. Unhedged inventory is rejected as directional risk, and a balanced position that crossed the spread at a loss is rejected too. The structure is always the same trade: some basket card is quoted rich relative to the cost of replicating its composition from the component cards, so you buy the pieces at their asks and sell the basket at its bid (or the reverse when the basket is cheap).

A session is 20 rounds: 4 hand-curated levels, then 16 procedurally generated ones climbing from 2 commodities in play up to 8. The generator builds each basket as an integer combination of the component cards, so a zero-inventory, positive-PnL hedge always exists within the position cap. There is one shared clock for the whole set - 8 minutes across 20 rounds, running even while you read a round's result screen. When it expires, the session ends and unexecuted work counts for nothing.

Why quant interviews test this

This is a direct training ground for trading-firm assessment batteries (the Optiver-style '80 in 8' format the session clock deliberately mirrors) and for interview questions on the law of one price: ETF create/redeem arbitrage, index versus basket pricing, and triangular consistency between related instruments all reduce to 'replicate the package, compare at tradeable prices, keep zero net exposure'.

Interviewers also probe the execution details this game enforces: which side of the spread each leg crosses, what residual inventory does to a 'riskless' trade, and how position limits cap the size of an edge. Being fast and exact on small integer replication arithmetic under a clock is the skill being screened.

The Basket Arbitrage guide covers how scoring works, the strategy that wins, a worked example and the mistakes most players make.

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