The ETF Challenge is the purest arbitrage game on the platform. An ETF is a basket: it holds a handful of stocks, and it is worth exactly what those stocks are worth. Every quote on the screen is generated independently, though, so the basket and its contents keep drifting apart. Your entire job is to notice the gap and trade both sides before it closes.
Trading firms care about this one because it is a real desk activity, not a metaphor. ETF arbitrage desks at firms like Flow Traders and IMC do a more sophisticated version of exactly this all day, and the interview version tests whether you can add three numbers, compare them to a fourth, and act, over and over, without the additions slowing you down.
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