Optiver HackDelft Challenge

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 Exchange

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: 7001

  This is used for the following message types: PRICE and TRADE (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: 8001

  This is used for the following message types: ORDER and ORDER_ACK (see the protocol section for more info).

Using Captured Data

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.csv
• trades.csv: trades.csv

Measure Your Performance

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!

Protocol specification

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.

Info protocol specifications

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

Price message fields

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

Trade message fields

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

Execution protocol specification

In order to trade, you need to send an order to the exchange (via UDP). Every order is acknowledged by the exchange.

Order message fields

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

Order ack message fields

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=100
• TYPE=ORDER_ACK|FEEDCODE=FOOBAR|TRADED_VOLUME=0
• TYPE=ORDER_ACK|ERROR=error message