During this game, you will be developing an automated trading system!
The exchange is broadcasting prices and trades on two famous indices: S&P500 (SP) and Eurostoxx (ESX), and your goal is to seek for arbitrage opportunities between the two.
The system is composed by:
- The exchange, broadcasting through UDP Multicast the public information messages
- The exchange execution gateway, with which you will communicate in order to send orders — and hopefully trade!
- Your automated trading client, that contains a prediction model between the two instruments
To help you a bit, we provide you the skeleton of an autotrader, with a prediction model between the S&P and ESX instruments, and a partial implementation of the information protocol.
All of you are trading on the same exchange, which means that you will compete for the same opportunities... In order to deal with competitive orders, the exchange is using a first come first serve policy!
Last thing: every trade will impact your position — keep an eye on it to manage your risk exposure!
Good luck!
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. Example: SP-FUTURE.
Every message is composed by several fields separated by |.
The exchange broadcasts two messages (multicast UDP):
- Price message: this tells you what is the current price and volume for an instrument
- Trade message: this tells you what 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 | 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 |
| LATENCY | The latency of the order, in nanoseconds | Int |
| 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 |