Advent of Alpha Day 22: BSP Auction Games

What do you know about BSP auctions?

I think there are two things you should know.

The first is that your bet directly affects BSP. This seems obvious but if you’re betting small you might not think much about it.

There’s a lot of alphas in looking at how your bets do or could influence those markets with low amounts going into auction (I’m thinking NZ horse racing, but to be honest UK premiership football is not great). £10 liabilities can move prices in a way that leads to a book being overbroke (so if you think a bot is around doing that you can exploit that).

The other aspect to think about is whether a limit on close bet placed very close to the near price close to the auction starting might yield value.

If you think a horse will go off 2.0 and you think you can limit on close or 2.02 or 1.99 and your price gets swept into auction because there is enough opposing Betfair keep you in the auction, you de facto have value if you’ve calibrated the 2.0 is fair and reasonable pricing.