Look at your positions here: http://188.166.115.7/
During this challenge, you will be listening to an exchange, analyse its data and then, if you'd like, develop an automated trading system. Of course you are also welcome to do whatever else comes to your mind! Use your imagination!
The exchange is broadcasting prices and trades on two famous indices (a type of stock): S&P500 (SP) and Eurostoxx (ESX). That means you see how the price changes over time for those indices, and what trades from the outside world are made (this is simulated). Your goal is to look at the data and come up with clever strategies to (hopefully) make money!
The system is composed by:
-
The exchange, broadcasting through UDP the public information messages. To listen to this information, connect to:
ip: 188.166.115.7, port: 7001This is used for the following message types:
PRICEandTRADE(see the protocol section for more info). -
The exchange execution gateway, with which you communicate in order to send orders — and hopefully trade! To send orders to the exchange, and listen for a reply, connect to (also UDP):
ip: 188.166.115.7, port: 8001This is used for the following message types:
ORDERandORDER_ACK(see the protocol section for more info).
If for some reason you are having difficulties connecting to our exchange, you can also download CSV files of
captured data. There are two files, market_data.csv and trades.csv.
The first file contains a few hours worth of price updates to the ESX-FUTURE and SP-FUTURE.
The second file contains trades that occurred on the exchange.
You can find the files here in this repo:
market_data.csv: market_data.csvtrades.csv: trades.csv
Trading is one thing, but of course you also want to know how much money you have made or lost, right? For that, it might be smart to track your own profit and loss (PnL), alongside your positions (which is your risk).
You can also look at your official PnL here: http://188.166.115.7/
All of you are trading on the same exchange, which means that you will compete for the same opportunities...
Last thing: every trade will impact your position — keep an eye on it to manage your risk exposure!
The communication from and towards the exchange is done via a text-based, ASCII, protocol.
Every message is specific to an instrument, identified by a feedcode (i.e. SP-FUTURE or ESX-FUTURE).
Every message is composed by several fields separated by |.
Important: Send TYPE=SUBSCRIPTION_REQUEST to ip: 188.166.115.7, port: 7001 as the very first message in order to subscribe to the data feed.
The exchange broadcasts two messages (via UDP):
- Price message: this tells you the current price and volume for an instrument
- Trade message: this tells you trades on the exchange, at which price and for how much volume
| Field | Description | Value |
|---|---|---|
| TYPE | The type of message | Fixed value: PRICE |
| FEEDCODE | The instrument's feedcode | String |
| BID_PRICE | The price at which you can sell | Float |
| BID_VOLUME | The volume available on the bid | Int |
| ASK_PRICE | The price at which you can buy | Float |
| ASK_VOLUME | The volume available on the offer | Int |
Example: TYPE=PRICE|FEEDCODE=FOOBAR|BID_PRICE=10.0|BID_VOLUME=100|ASK_PRICE=11.0|ASK_VOLUME=20
| Field | Description | Value |
|---|---|---|
| TYPE | The type of message | Fixed value: TRADE |
| FEEDCODE | The instrument's feedcode | String |
| SIDE | The side of the trade | String, BID or ASK |
| PRICE | The traded price | Float |
| VOLUME | The traded volume | Int |
Example: TYPE=TRADE|FEEDCODE=FOOBAR|SIDE=BID|PRICE=22.0|VOLUME=100
In order to trade, you need to send an order to the exchange (via UDP). Every order is acknowledged by the exchange.
| Field | Description | Value |
|---|---|---|
| TYPE | The type of message | Fixed value: ORDER |
| USERNAME | The username associated with the order (your team name, do not change it). | String |
| FEEDCODE | The instrument's feedcode | String |
| ACTION | The order action | String, BUY or SELL |
| PRICE | The order price | Float |
| VOLUME | The order volume | Int |
Example: TYPE=ORDER|USERNAME=Optiver|FEEDCODE=FOOBAR|ACTION=BUY|PRICE=22.0|VOLUME=100
| Field | Description | Value |
|---|---|---|
| TYPE | The type of message | Fixed value: ORDER_ACK |
| FEEDCODE | The instrument's feedcode | String |
| PRICE | The traded price | Float, optional, only set if the order traded |
| TRADED_VOLUME | The traded volume, positive if you bought, negative if you sold | Int, optional, only set if the order has been successfully processed |
| ERROR | The errord description | If something went wrong, this field is set, otherwise it is empty |
Examples:
TYPE=ORDER_ACK|FEEDCODE=FOOBAR|PRICE=22.0|TRADED_VOLUME=100TYPE=ORDER_ACK|FEEDCODE=FOOBAR|TRADED_VOLUME=0TYPE=ORDER_ACK|ERROR=error message