Transcript projects - Financial Engineering Club at Illinois

FEC
Financial Engineering Club
Trading Platform:
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Back Tester w/ Algorithmic Trading API
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Market Simulator and Click Trading UI and/or Algo API, link others to same simulation (like Rotman)
Analytics:
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Charting tools
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Data Mining and Trend Analysis (e.g. find trend between macroeconomic events and volatility or returns)
Trading Strategies:
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Arbitrage Seeking (e.g. Bitcoin exchange arb)
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Statistical Arbitrage
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Portfolio Optimization
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Trend Following
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Market Making
Other:
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A game playing bot (Poker, Blackjack, etc.)
Trading Platform
Both
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Order entry (algorithmic and/or click trading UI)
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Order matching system
Back Tester
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Mechanism to import and reply market data (bars and ticks)
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Record/calculate statistics (P&L, graph price history, Sharpe, etc.)
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Examples: Zipline (open-source), NinjaTrader
Trading Simulator
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Client and host distributed system
 I have something in Qt (C++) you can work off of
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Simulation generator, market driving bots
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P&L recording for score keeping
Analytics
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Should use https://github.com/FEC-UIUC/Netfonds-Tick-Capture to get data
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Apply statistical methods, mine for patterns, etc. on historical data to aid
trading
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Example – Measuring correlation between weather patterns and historical
returns and volatility on commodities.
Trading Strategies
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https://github.com/FEC-UIUC/Netfonds-Tick-Capture will be helpful
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Recommend NinjaTrader for testing on tick-data, but you could also build your
own simple backtester
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Goal: Come up with a profitable and low-risk algorithmic strategy.
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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.)
• https://github.com/FEC-UIUC/