FEC Financial Engineering Club. Trading Platform: Back Tester w/ Algorithmic Trading API Market Simulator and Click Trading UI and/or Algo API, link others.

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Presentation transcript:

FEC Financial Engineering Club

Trading Platform: Back Tester w/ Algorithmic Trading API Market Simulator and Click Trading UI and/or Algo API, link others to same simulation (like Rotman) Analytics: Charting tools Data Mining and Trend Analysis (e.g. find trend between macroeconomic events and volatility or returns) Trading Strategies: Arbitrage Seeking (e.g. Bitcoin exchange arb) Statistical Arbitrage Portfolio Optimization Trend Following Market Making Other: A game playing bot (Poker, Blackjack, etc.)

Trading Platform Both Order entry (algorithmic and/or click trading UI) Order matching system Back Tester Mechanism to import and reply market data (bars and ticks) Record/calculate statistics (P&L, graph price history, Sharpe, etc.) Examples: Zipline (open-source), NinjaTrader Trading Simulator Client and host distributed system  I have something in Qt (C++) you can work off of Simulation generator, market driving bots P&L recording for score keeping

Analytics Should use to get datahttps://github.com/FEC-UIUC/Netfonds-Tick-Capture Apply statistical methods, mine for patterns, etc. on historical data to aid trading Example – Measuring correlation between weather patterns and historical returns and volatility on commodities.

Trading Strategies will be helpful Recommend NinjaTrader for testing on tick-data, but you could also build your own simple backtester Goal: Come up with a profitable and low-risk algorithmic strategy. Ideas:  Arbitrage Seeking  Bitcoin exchange arbitrage  Currency exchange arbitrage  Statistical Arbitrage  Index arbitrage  Pairs/Basket mean reversion  Portfolio Optimization  Trend Following  Market Making

Trading Platform: Back Tester w/ Algorithmic Trading API Market Simulator and Click Trading UI and/or Algo API, link others to same simulation (like Rotman) Analytics: Charting tools Data Mining and Trend Analysis (e.g. find trend between macroeconomic events and volatility or returns) Trading Strategies: Arbitrage Seeking (e.g. Bitcoin exchange arb) Statistical Arbitrage Portfolio Optimization Trend Following Market Making Other: A game playing bot (Poker, Blackjack, etc.)