UCL Algorithmic Trading Platform & UCL Algo. Trading Competition 2010

UCL, Department of Computer Science,

UK PhD Centre in Financial Computing

Michal Galas [ m.galas@cs.ucl.ac.uk ]Dr Daniel Brown [ d.brown@cs.ucl.ac.uk ]

Contents List Goals & Drives Beneficiaries Trading Competition 2010

State of the Art Technology Architecture & Information Flows Accounts and Tradable Assets Developing & Trading with the ATP

Goals & Drives An algorithmic trading framework with

stability and simplicity of development, and state of the art technology.

To allow students and others to develop their own trading strategies and gain real algo. trading experience.

To assess, measure and evaluate Risk.

Goals & Drives

To allow researchers involved in the project to research, develop, test and improve their own ideas.

To allow interested parties in evaluation of performance and risk of student’s trading models, based on available statistics.

Beneficiaries Students – can study and practice the Algo. Trading techniques. Researchers – can test their ideas in the sub-fields of Algo.

Trading such as Smart Order Routing, Pricing, Risk Management, Portfolio Optimization etc…

Lecturers – can access a tool allowing teaching of elements of Algo. Trading and evaluate students’ work.

Banks and (hedge) funds – can access statistical data of students and evaluate their skills, which assists recruitment and talent-filtration process.

The industry can be supplied with better models to evaluate risk.

UCL Algo. Trading Competition 2010

Schedule The registration stage starts on the 1st Aug 2010 The development stage starts on the 15th Oct 2010 The trading stage starts on the 15th Nov 2010

More information on: http://vtp.cs.ucl.ac.uk/competition2010/

State of the Art

Cisco’s Trading Floor Architecture

Technology

Platform Technologies J2SE, J2EE C# & F# QuickFIX Apache Software

Foundation Esper (C.E.P.) Hibernate Linux

Supporting Technologies MATLAB NAG R TA-Lib Weka

Architecture & Information Flows

Accounts and Tradable Assets

Account types: ProductionSimulation

Tradable Assets:Trading Technologies

•Futures•Options

Hotspot FX (Knight)•Forex

Fortis•Equities

Developing & Trading with the ATP

API & remote access to services Strategy performance; measures, risk

and visualization Charting interface Security and safety of strategies

Good luck!!

Questions ?