1. 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 ]

2. 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

3. 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.

4. 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.

5. 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.

6. UCL Algo. Trading Competition 2010  Schedule  The registration stage starts on the 1 st Aug 2010  The development stage starts on the 15 th Oct 2010  The trading stage starts on the 15 th Nov 2010  More information on: http://vtp.cs.ucl.ac.uk/competition2010/

7. State of the Art Cisco’s Trading Floor Architecture

8. 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

9. Architecture & Information Flows

10. Accounts and Tradable Assets  Account types:  Production  Simulation  Tradable Assets:  Trading Technologies Futures Options  Hotspot FX (Knight) Forex  Fortis Equities

11. Developing & Trading with the ATP  API & remote access to services  Strategy performance; measures, risk and visualization  Charting interface  Security and safety of strategies

12. Good luck!!

13. Questions ?