Centre for Doctoral Training in Financial Computing & Analytics

New Beta Version

Algorithmic Trading Competition

Algorithmic Trading Competition 2011 - Terms & Conditions

UCL’s Financial Computing Centre in association with Microsoft, Barclays Capital, Citi and Knight Capital, ABN AMro Clearing bank and Eurex has launched the Global Algorithmic Trading Competition 2011 with prizes totalling £25,000.

The rules of the competition listed below may change, subject to the panel’s discretion.

To register please send us the following information naming all individual participants or teams interested in taking part in the competition:

  • REGISTRATION DATE:
  • TEAM NAME:
  • PARTICIPANT'S ROLE IN THE TEAM
  • NAME
  • SURNAME
  • ADDRESS
  • E-MAIL
  • TELEPHONE
  • LEVEL OF EXPERIENCE WITH FINANCIAL COMPUTING
  • LEVEL OF EXPERIENCE WITH ALGORITHMIC TRADING

1. General Rules

1.1. Who organises the competition?

The competition is organised by the UK PhD Centre for Financial Computing, Department of Computer Science, UCL.

1.2.  Who sponsors the competition?
The competition is sponsored by Microsoft Corporation, the leading provider of software solutions to small and corporate business, Barclays Capital, Citigroup and Knight Capital.

1.3.  Who can participate in the competition?
The number of places is limited to 150 and anyone approved by the organisers can join the competition. This includes students and industry professionals.

1.4.  Schedule
The 2011 competition is divided into three stages:

  • Registration takes place 1st – 30th September 2011.
  • Development stage runs 1st  – 31st October 2011.
  • Trading stage runs 1st – 30th November 2011.

1.5.  Prizes and distribution
There will be five sponsored prizes of £5000 each.

  • Microsoft’s Best Algorithm Prize
  • Best Use of Microsoft software prize
  • Barclays Capital Prize for Best Competition Entry by a Female Contestant
  • CitiFX Prize for Best Trading Model
  • Knight Capital’s prize for Best Use of Data

1.6.  Software and hardware infrastructure
The organiser provides server equipment with the Algorithmic Trading Platform (ATRADE) installed and working. The ATRADE will be available at specified times and will allow trading via an API.

Each participant will be granted a copy of ATRADE' s developer API to allow development of strategy in the competition. The API allows participants to receive market updates, and issue and manage orders. Participants' strategies will work with the API and trade throughout the platform but will be hosted locally on the participants' hardware. Each participant is responsible for making sure that the API works correctly on his/her hardware, and that a connection between the platform and the API is possible and works without any problems.

During all three stages of the competition, an internet forum will be available for participants to get support.

1.7.  Accounts, assets, trading and money
All participant operations will be performed with virtual money.
As many as 10 approved assets can be used in the competition, the list of approved assets will be provided during development period.

Trading will be allowed during week days (Monday to Friday), between 9am and 5pm. It is the responsibility of participants to ensure that their strategies are turned on and off during these periods of time.

2.  Participants

No former or actual staff members of companies that organise or sponsor the competition, or their family members or relatives, are eligible to participate. Anyone wanting to participate in the competition must be registered. The participant agrees and undertakes to provide true information about himself or herself at registration. Incorrect registration details will result in disqualification.

The participant can be registered only once within the competition. The registration of friends or relatives instead of the participant will result in disqualification. The attempts of multiple registrations or use of anonymous proxies will result in unambiguous disqualification of the participant.

If any registered persons display their ignorance of trading, they will be disqualified. The participant agrees not to raise any financial or other claims against the organiser or the sponsors. Organisers reserve the right to refuse registration to a participant without disclosing the reason and to disqualify him/her disclosing the reason. Having registered for participation in the competition, each participant expresses hereby his/her full agreement with these rules without any exceptions or limitations.

3.  Eligible programs

Since participants will execute their strategies locally there is no need to submit binaries of the strategies. There is relative freedom in choice of software and the participant’s choice of infrastructure. Prior to being accepted for participation in stage three of the competition, each strategy will be tested by organisers for its compliance with the formal rules. The strategies must never contain any critical bugs or explicitly harmful actions in the code. If the strategies’ behaviour during preliminary testing essentially differs from that during the competition, it will result in disqualification.

4.  Trading terms

  • The initial ‘virtual deposit’ is defined as £10 000, leverage 1:20. The deposit can not be topped up.
  • The minimum trade size is 1 lot, the maximum one is 10 lots.
  • The maximum amount of simultaneously opened positions and pending orders is 3.
  • Stop Out level is 100%. 
  • Trading conditions will be very close to the real ones. This means that there exists a possibility of requotes. Spreads and maximum permissible deviations from the market prices can be changed while the news is being published. On gaps, there can be slippages in execution. Trades performed at non-market prices will not be cancelled.

5.  Publishing of results

Performance of each user will be published daily via one of the platform facilities called Stats Client. This will provide ranking of the participants with regards to the income generated by their strategies. The winner of the prize for the best application of Microsoft product will be published after the end of stage three of the competition.

6.  Strategies safety and non-disclosure

The organiser guarantees that all strategy files received from participants will be immediately deleted as soon as the competition finishes, provided that the participant has not authorised their publishing. The organiser guarantees that only authorized UCL organisers will have access to the participants' programs.

In case of the jury's well-grounded claims against the participant's program and of the participant's audit engagement, the trilateral (the panel, the organiser, and the participant) audit will be performed. If the participant refuses to be engaged into audit, he or she can be disqualified.

7.  How the winners are determined

Once the competition is finished, all positions will be forcedly closed. The participant with the largest balance and the best risk performance throughout the period will be declared as the winner during this part of evaluation process. If two or more potential winners have equal balances, the panel will make the final decision. If none of the participants has a positive balance, it will be considered that there is no winner at all.

The panel will grant the prize for the best Microsoft product application after analysing write-ups of how Microsoft products have been applied in strategies. To increase their chance of winning, participants may also include an additional document with description of the source code and accompanied files that, if applicable, will also be taken into account during evaluation. The panel’s decision is final in all cases.

The winners must agree to the publication of their names and surnames. The winners must agree to participate in publicity and marketing events conducted by the organiser and sponsors, including interviewing, photo-reports, and public announcements through mass media about the events to be conducted.

8.  How the award is paid

The winner must provide his or her bank details within 7 working days from when he/she is declared a winner. If the organizer cannot contact the winner (by phone or e-mail) within 7 days, the participant can be disqualified by the panel's decision, and the winners list will be revised. The awarded sum of money will be paid in to the winners' accounts by a bank transfer within 7 working days from when the bank details are received.

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