Simulated Stock Exchange

Client: Piers Thompson <piers.thompson@baml.com>

Almost all stock trading is now done by algorithms. Early profits have reduced, and algo-trading strategies must adapt quickly to the changing economic environment, market movements and technological advancement. The most common way to evaluate a new strategy is to “back-test” it against historical market moves, which has the benefit of being based on real data but doesn’t predict how the market will react to the introduction of a new strategy. The aim of the project is to build an online platform to allow competitive testing of algos on a shared simulated exchange with both historical and live market data. The platform will provide an API to access market data and issue orders to the exchange. The user-developed algos will compete against each other interactively and a reporting service will display the analysis of the relative profitability of each strategy and track the best algorithms on a leaderboard. Students will be provided with an algo pseudo code and examples of sources of market data