2007 Interactive Brokers Collegiate Trading Olympiad

[Andy]

We had a student in second place during last competition (with a cool $25K to boost). http://www.quantnet.org/forum/showthread.php?t=131
The link to the list of winners and the competition rules is http://www.interactivebrokers.com/en/general/education/IBTradingOlympiad.php

I'm interested in trying for this year competition and I hope to find many others who are interested in doing so. I have talked to Frank about this and I think he is very interested in learning more about this. Hopefully together we can gather info, brainstorm and come up with good ideas...

[alain]

I'M IN!!!!

Should we go as a team or individually?

[alain]

No teams allowed. Only individuals :cry:

Let me find out more details.

[Bridgett]

sounds pretty cool so far...I'd like to learn more about it. :)

[frankm1342]

I have NO INTEREST in creating an automated computer program that will allow me to sit back and watch as it makes me money :)

[Eddie]

Are u sure about that Frank??? :roll: I don't mind you designing one making money for me. lol

Count me IN, always interested in trading, and automated trading is something novel to me, like to take on the challenge. ;-)

And it would be great if we can snatch all the top prizes, guess what that would do to our schools reputation 8-)

[frankm1342]

im sure you all know this...but I was 100% kidding with my first post. i am fascinated by the concept of automated trading.

[Andy]

I'm glad to see lot of interest in this. I'm always interested in doing any kind of competition, especially those with money prize involved :D
Seriously, I'm not sure if we can repeat or one up Bharath Govindarajan's performance but I'm sure we will learn much in the process.
With team not allowed, we can always brainstorm together and implement the ideas individually. The more Baruch students enter in this, the more chance that we will have someone winning some kind of prize....
I agree with stockjini that if we snatch all the top prizes then it would be tremendous for the program's reputation. You can have a free dinner with Baruch president and some bragging rights. :lol:
If you look at the winners last years, the top MFE programs (CMU,NYU,Columbia,Standford, UCB) do not have any winners.

[Bridgett]

If you look at the winners last years, the top MFE programs (CMU,NYU,Columbia,Standford, UCB) do not have any winners.


...and this could mean...tons of possibilities:
1. top school people only have beautiful hats these days
2. they are too busy to notice other people or activities
3. they entered the competition and lost terribly
4. schools like Baruch should be included in the NEW top list
5. they have spent more time with their families and friends
6. (left to your imagination) :?:

[Andy]

Trades must be generated by computer algorithms. Students will compete using the same Interactive Brokers’ Trader Workstation Application Program Interface (API) that professional traders use to create automated trading solutions. A multitude of programming languages including Java, C++, C, and Visual Basic may be utilized with our API. Student algorithms may trade US stocks, options, futures, Forex, or bonds as often as their programs require over the contest period. There is no cost to enter and participate in the Olympiad.

Trading will commence on Monday January 23, 2006 at 12:01 AM (Eastern Time) and will run for 10 weeks concluding on Friday March 31, 2006 at 11:59 PM (Eastern Time).

So it looks like we will need to use their API to design our program. They strongly encourage automatic trading and you can see in the result list that the student # 21 even got a higher profit than most other students but still received less prize money because he got so many TWS (I think it's manual trading). So the trick is to have faith in your model and let it run and not jumping in when the profit is not so high :). I think this is also why Bharath Govindarajan won 2nd prize.
Looking at the timeline, we should have until Jan 2007 to prepare our model and then it will run till the end of 3/2007. The model with highest profit win $50K and they will donate $50K to the school.

[Bridgett]

DOES ANYONE KNOW ....
1. how many people entered and actually finished the competition?
2. how many schools and countries were represented?

[Andy]

DOES ANYONE KNOW ....
1. how many people entered and actually finished the competition?
2. how many schools and countries were represented?
1.If I remember correctly, there is a student in the Baruch program that actually works for Interactive Brokers. That's how our program comes to know about the trading competition (it could be why not many people from top MFE programs knew and took part last year). This is about to change this year. :lol:
Interactive Brokers hopes to get more publicity for their trading software (and more clients) so they are doing this :D. So we need to use their API, their demo trading system to test.
We at Baruch have a trading floor so we should take advantage of it. Somebody please ask Dan to hook us up with Prof. Richard Holowczak at the Wasserman Trading Floor/Subotnick Center.
2. This is open only to North America so only students from US,Canada and Mexico can participate.
More info here http://www.quantnet.org/forum/viewtopic.php?t=193

[Andy]

Interactive Brokers Olympiad Details And Trading Rules

The following summarizes the rules that will govern the Olympiad. The rules and terms governing the Olympiad are more fully set out in the Student Participation Agreement that each Student shall be required to enter into with Interactive Brokers.

1. Entry in the Olympiad is only open to the following persons in the United States, Canada and Mexico: (1) any graduate student with an undergraduate degree in computer science or engineering; (2) undergraduate seniors majoring in computer science or engineering; and (3) graduate students majoring in computer science or engineering. Entries are limited to one per student.

2. Students are required to write a trading plan. All trades must be made through an automated system utilizing Interactive Brokers' Application Program Interface (API). Trades may be based on any combination of technical or fundamental data and the plan should discuss these algorithms. Each student’s plan should be about a page in length, and should discuss the market(s) traded, product(s) traded (i.e., stocks, options, Forex, etc.) and trading strategy employed. Plans should be submitted to Interactive Brokers no later than Saturday December 31, 2005 11:59 PM (Eastern Time). Any student, whose trades are not in conformity with their filed trading plan, as determined by Interactive Brokers in its sole discretion, will be disqualified. All algorithms must be planned, designed and written solely by the student participating in the Olympiad.

3. Each Student's plan must be his or her own work and not infringe upon or plagiarize the works or intellectual property rights of any third party. Interactive Brokers will be given the right to use the Student's submission, including all intellectual property contained therein, for any and all purposes. Ah...disclaimer here!!!

4. Student's account will be credited with $100,000 in phantom money at the beginning of the competition and Student may make as many trades as desired over the ten weeks that the competition will run. IB's standard commissions and market data fees will be debited from the account. Corporate actions and dividends will be applied. Students may trade any combination of US products (i.e. stocks, bonds, options, futures, commodities or Forex) that are available from Interactive Brokers. Trade executions will be simulated based on actual real-time quotes and size in the markets.

5. The change in account equity will be used to determine the ranking of each individual student, and the change in account equity averaged across all students under the supervision of an advisor will be used to determine each school's posted website ranking.

6. No live help desk support will be provided. Students can use Interactive Brokers' reference materials at http://www.interactivebrokers.com/ to answer all questions. Problems may be sent to ibtradingolympiad@interactivebrokers.com and will be answered as soon as possible.

7. Prize money will be awarded to the individual winners and may not be shared by them with others. There will only be one first place prize. In the event of a tie or other deadlock with respect to any prize, the total prize money available for such prize shall be distributed equally among the winners identified by Interactive Brokers at that prize level. Interactive Brokers shall make all decisions with respect to eligibility, participation and prize awards. Failure to comply with any part of the rules by a student will disqualify the student from the Olympiad. Under certain circumstances Interactive Brokers reserves the right to cancel, terminate, modify or suspend the competition.

[Eddie]

hey frank, sorry that i mis-read your line, but hey, you really got me thinking :lol:

[frankm1342]

Check out this weekend's issue of Barron's - there is an article "Program Trading Powers Student to Top of Class" - it is all about the 1st place winner of the 2006 contest.

[alain]

Thanks Andy.

[maxrum]

This Olympiad is a lottery. The perfect trading algorithm will make a guaranteed certain amount of profit with minimal risk. The rules require us to make the most amount of money for the short period of time. So we have to gamble, i.e. we have to pick up one of the riskiest stocks or futures and make a bet that it will go up or down. If our guess is correct than we will make a lot, if not – we will lose a lot  That’s why so many “losers” on the previous Olympiad I guess.

[alain]

This Olympiad is a lottery. The perfect trading algorithm will make a guaranteed certain amount of profit with minimal risk. The rules require us to make the most amount of money for the short period of time. So we have to gamble, i.e. we have to pick up one of the riskiest stocks or futures and make a bet that it will go up or down. If our guess is correct than we will make a lot, if not – we will lose a lot  That’s why so many “losers” on the previous Olympiad I guess.

That is true but this is an algorithm by a computer so there should be some rationale on the algorithm to make those bets. It is not a person who is making the bet but a computer program. So you are not "blindly" betting.

If you think about it. The winner have to come up with a strategy that will make him/her the most money on a 10 week period at the begining of the year. Taking those things into consideration, the strategy can change. You don't have to make money in the long run but only in that period. That's how I think we should look at the problem. Just my 2 cents.

[maxrum]

It could be nice to see Bharath Govindarajan's algorithm to have an idea how it works. By the way, he mentioned that he did not make any corrections to his initial strategy during 10 weeks period, so it was planned well from the beginning. :)

[Andy]

Someone asks me how I got the article titled "Program Trading Powers Student to Top of Class" that Frank mentioned through Google cache.
Here is how it works.
I know that the article is for Barron's subscribers only and I know it's on their website because I searched for it on Google and the article turned up but required an account.

So I turned to Google's cache which is the best and worst about anything online.

1)go to www.google.com
2)Focus my search only on Barron's site by using site: filter.
3)Type in the search box Program Trading Powers Student to Top of Class site:barrons.com
4)You should see only 2 results. The second one is the one we are looking for.
5)Do not click on the second link. If you do, it will lead you to Barrons site which requires a login.
6)Look at the bottom, you will see Cached, Similar pages, Filters. Now, click on Cached.
7) Voila. You should be able to read it now. If you can't follow my instructions, here is the direct link (http://72.14.209.104/search?q=cache:00FClUsaaH8J:online.barrons.com/article_print/SB115292019289507512.html+Program+Trading+Powers+Student+to+Top+of+Class+site:barrons.com&hl=en&gl=us&ct=clnk&cd=2)

Disclaimer:
Q:If you think this is illegal?
A:No. What are you reading is on google's site. You are not reading Barron's content with a hacked login or anything.
Q:Why I can do this? Is it Barron's content is for paying customers only?
A:Thanks to Google. Barron does not know how to protect its content, so be it.


Google-bot is extremely powerful. They are searching billions pages everyday. For example, google bot visit our website almost several dozens times a day.
Does it mean whatever you post here will show up on Google?
Yes and No. We have certain sections of this forum where it's public (anyone can read without loggin in) i.e General Info, Quantnet Social Hub....anything under the Main Section. We want people to find out about out program from Google or Yahoo so I have to open certain sections so that info can be indexed. It means you should post in the right forum all the time.

All other sections (Refresher, Required classes) will require a log in. When google-bot tries to search those forums, it will be directed to out log in page....

That said, be aware of Google. :D

I hope this info will be helpful for everyone because information is power.

[frankm1342]

That is amazing Andy. So why does Google-bot not get tripped up when it tries to access Barron's content? For example, when googlebot tries to examine that Trading article, why wouldnt Barron's system just direct it to a login page the same way someone like me would be directed there?

[Andy]

I would guess that the Barron's system is not designed for bots or crawlers. They are designed for humans who clicks on what they see on screen where google-bots follow some secret algorithms that can read way under the hood. Did you read about Google binary search feature where the Google-bot can read the binaries of all the exe files inside your website? It's just crazy what these features can do. There is a company using that feature to detect adware,virus,etc.

I have set up our forums so that spammers, bots can't log in certain forums. There are several layers of security involved and I'm not sure if I know enough to explain with authority.
Whatever features you see around this forum it's not for fun or eye candy, it's for spam control. As long as it works, i guess nobody will complain and just leave the dirty work for the Quantnet Team right?

[Bridgett]

Frank, I've done some search engine (SE) work previously (blackbox testing and analysis, etc.), and this is my guessed answer to your question.

All commercial websites (and even many personal ones) want visibility (i.e. high ranking) on a search-result page provided by engines such as google. SE's basically rank pages by factors such as contents, keywords, layout, fonts/styles, linking popularities, etc to rank a page/site for the searched keyword/topic. For Barron to stand visible in the cyber space among all other competent competitors, Barron (at least for now, I'm guessing) needs to show its contents or whatever available to google and prove to the SE that it is or can be the most relevant site/page regarding the topic. This way, when people do certain searches, they will see Barron (and this can bring lots $$ to Barron).

So, my guess is....Barron can't afford to hide content pages from google, even though it would like to.

Any second opinions?

[Andy]

Barron (at least for now, I'm guessing) needs to show its contents or whatever available to google and prove to the SE that it is or can be the most relevant site/page regarding the topic.
It's exactly what Barron did. It's a double-edged sword. By allowing search bots to crawl its contents; they may even intentionally do so (bots follows algorithms so it's easy to open back-doors for search engines only), Barron has its contents show up on the Google search results page. Those who click on the link will be ask to sign up for the service and if it's valuable enough, they will (at least that what Barron hopes for). Those who know how to work around Google cache will just read the content from the cached without paying for the content.

The cached content is updated every xx days. I can verify that because I have seen our old Quantnet.org cached website and the new cache now.

[Bridgett]

The cached content is updated every xx days. I can verify that because I have seen our old Quantnet.org cached website and the new cache now.

Agreed, and I think that "xx days" depends on how fast the bot works and how often it comes to visit your site/page. And this could lead to complicated discussion on how SE's decide its speed and timing of visiting pages.

[Andy]

If I remember correctly, somebody mentioned that a member of this forum and an alumni of the program, Mr. Robin Romeo works for Interactive Brokers and that's how we get to know about the olympiad. Hopefully, he can contribute to this topic.
Anyone takes a look at the IB's API?

[bharath.quant]

hi ,

Nice to see everyone getting geared up for Next year's IB olympiad. It might help to read the IB API document which gives you information on how to use their API.

http://www.interactivebrokers.com/php/webhelp/webhelp.htm#Interoperability/DDE_Configure_TWS.htm

and then click on the Link Application Program interface .

Also Algo trading comprises 3 steps:-

1) Gathering Market data

2) Analyzing it and generating signals

3) Order execution .

All the best!

[robin]

By the way, if anyone wants to get familiar with the Interactive Brokers Trader Workstation, you can use the demo. You can even use it with your own API if you want to get some form of headstart. You can find the demo here: http://www.interactivebrokers.com/en/software/demo.php?ib_entity=llc
Select the individual demo. For API's you can eitherdownload the desktop version or log in from the homepage under login and select TWS from the dropdown menu. The username is edemo, and the password is demouser.
I'll make another post when the next Olympiad is announced.

[Andy]

By the way, if anyone wants to get familiar with the Interactive Brokers Trader Workstation, you can use the demo. You can even use it with your own API if you want to get some form of headstart. You can find the demo here: http://www.interactivebrokers.com/en/software/demo.php?ib_entity=llc
Select the individual demo. For API's you can eitherdownload the desktop version or log in from the homepage under login and select TWS from the dropdown menu. The username is edemo, and the password is demouser.
I'll make another post when the next Olympiad is announced.
Robin,
I downloaded the software as well as tried to log in online with the id and pass you gave but it either timed out or reported wrong password.

Thanks

[robin]

The first log in will take a few minutes, at least. I just tried for the first time on this computer. It took me about five minutes altogether, and two tries. Give it another try. It should work.

[robin]

Try also going directly to the home page www.interactivebrokers.com, and at the top right select TWS next to the login button.

[robin]

By the way, the second college trading olympiad has been announced.

[robin]

http://www.interactivebrokers.com/en/general/education/IBTradingOlympiad.php

[Andy]

Try also going directly to the home page www.interactivebrokers.com, and at the top right select TWS next to the login button.
I got in within a minute this way. I spent a good part today trying the other method. Thanks so much Robin. The system looks very nice.
Couple of questions:
1) How long is the delay time of the data?
2) What is the limitation of the demo system? Is it still good for the purpose of preparation for the Olympiad?

Prof. Stefanica mentioned the Olympiad tonight during the class and I believe we have quite a few people interested :D

[robin]

The demo does not have real data. It is not even delayed data. However, for the olympiad, it will be real data available. The demo system is exactly the same as that used by IB's customers. The only difference is the limitation of tickers. Only the most actively traded of each product group is available. You can find info about hooking up your front end here: http://www.interactivebrokers.com/en/software/apiReleaseNotes/api_86.php

[Andy]

Thanks for the valuable info Robin. I'll take some time to read the API, write code to hook up with the IB data feed, design to investing strategy. :smt024
Hopefully it works out and give me some positive return ;)

[Andy]

Looks like we need to create some window applications to hook up with TWS using the socket protocols.
To link to TWS using the TwsSocketClient.dll

1. Create a Windows application using MS Visual Studio (version 5.0 or higher).
2. Add C :\jts\SocketClient\include to your project's include path. This should be done for any individual project that accesses the TwsSocketClient library's header files.
3. Add the C :\jts\SocketClient\lib\TwsSocketclient.lib file to your project's libraries path. This should be done for any individual project that accesses the TwsSocketClient library.
4. Include EWrapper.h and EClientSocket.h in any Visual C++ source code that accesses their functionality and data structures.
5. Subclass the EWrapper class.
6. Override the following functions:
* Override tickPrice() and tickSize() functions to handle the market data.
* Override the orderStatus() function to receive order status.
* Override the error() and winError() functions to receive error information.
* Override the connectionsClosed() function to be notified when TWS terminates the connection.
7. Instantiate the EClientSocket class.
8. Call the following functions:
* Call the connect() function to connect to TWS.
* Call the reqMktData() function to request market data.
* Call the placeOrder() function to place an order.
* Call the checkMessages() function frequently (every 1 second) to process data received from TWS.
* Call the reqOpenOrders() function to request open orders.
* Call the reqAccountUpdates() function to request account data.

To run the program, ensure that the TwsSocketClient.dll is in the same directory as your executable, or in your path. By default, the TwsSocketClient.dll file installs into your C:\Windows\system or C:\WINNT\system32 directory.

[Andy]

Okay, I'm officially registered for the trading contest. So is Max. :smt023
Now, on to developing a trading plan and some real coding. :smt024

[alain]

Okay, I'm officially registered for the trading contest. So is Max. :smt023
Now, on to developing a trading plan and some real coding. :smt024
Did you submit your strategy already?

[Andy]

Did you submit your strategy already?
No. We have till the end of Dec to submit it. We can modify, change it before the trading opens. As soon as you submit your plan, you can receive real data from them so I may just submit something to get my models going and then modify the strategy accordingly.

[Eddie]

I thought the required trading strategy is only for registration only, you don't really need to strickly adhere to the strategy you submitted , correct?

[Andy]

I thought the required trading strategy is only for registration only, you don't really need to strickly adhere to the strategy you submitted , correct?
Yes, you do. That's why you can't just say buy 250 shares of GOOL at $400 each and end up doing something different. If your final strategy won 100K and it's not consistent with your trading plan, your award will be discarded. That's why they stress that it's important to update your trading plan as soon and often as possible.

Note: your trading plan will be property of the company.

[daveL]

hey all,

I am wondering...what inspired your trading ideas? Are there some "common" ones that are standard, and then you customize? Or you try to come up with something starting from scratch? I need some inspiration (i'd like to also enter the contest)

thanks,
-dave

[Andy]

I am wondering...what inspired your trading ideas? Are there some "common" ones that are standard, and then you customize? Or you try to come up with something starting from scratch? I need some inspiration (i'd like to also enter the contest)
Dave, I wish i know the answer to your question. I can say that for most of us entering this contest, it would be the first time so we are just doing this on a try-and-error basis. I don't know enough about the market to pick out the right combo of products that will maximize the returns. I can only say that I will approach this with a short term goal and devise my algorithm accordingly.
The impression that people who like to do this contest is that it's easy to do so. There is no nice interface for you to click and choose. You will need to write your own code to hook up to the IB's API to get real data, analyze them and execute your orders based on your algorithm. I would say it can take up to 1 month worth of programming.

It's not only the bad news, this year the olympiad starts Jan 8, much earlier than last year. That means we don't have a month after winter break to work on our code. It also means we have to get our code working while doing midterm, finals :smt102

[GusTsahas]

In my opinion, the API communication code implementation is a secondary priority. The focus should be on devising trading strategies that can produce the substantial returns necessary to place in the money during the short eight week period. Last years returns of 50% to 100% for the top three are going to be hard to beat even considering that one does not need to worry about risk adjusted returns.

The major time commitment should be to learn possible trading strategies and start back testing ideas on market data. There are many trading ideas around in books and the internet but very few that really provide an edge. There is a trading site http://www.elitetrader.com/ that has some useful threads but the majority of the treads are a waste of time.

The http://www.wealth-lab.com/ site is associated with the wealth-lab product and many decent trading strategies were devised and back tested here by the members in past years. The rights to wealthlab in the US were bought by Fidelity a couple of years ago and some of the more sophisticated people have stopped contributing. If I remember, one could backtest for free on end of day data at wealthlab.

Also, don’t forget to buy a set of dice and worry beads…..
:smt005

[Andy]

I got my application in just before deadline and got confirmation that my paper account is now open. I'll add whoever participates in the olympiad to a private thread.

[michaelk]

Somebody please ask Dan to hook us up with Prof. Richard Holowczak at the Wasserman Trading Floor/Subotnick Center.


What company(s) is the datafeed provider for the Wasserman trading floor? Just curious.

[maxrum]

What company(s) is the datafeed provider for the Wasserman trading floor? Just curious.

Mostly by Reuters, but there are two Bloomberg terminals as well.

[Andy]

Oops, just got this email from the Trading Olympiads. Looks like we will have some extra time to prepare.
Dear Olympiad Participant:
The Olympiad was launched with an incorrect system configuration on Monday providing participants with a cash balance of $1 million instead of $100,000 as stated in the rules. In order to be fair to everyone, we will re-launch the Olympiad on January 15, 2007 at 12:01 AM (Eastern Time), at which time all participants will have a new cash balance of $100,000 and no positions. We will notify you by the end of Friday January 12, 2007 if you will be able to use your existing username, or we will send you a new one. All trades done in your existing account will not be counted towards the Olympiad. The Olympiad will still run for 8 weeks and will now end on Friday March 9, 2007 at 11:59 PM (Eastern Time). Please note that many US markets will be closed on Monday January 15, 2007 for a holiday (see our website for details (http://www.interactivebrokers.com/en/trading/holidayAndExpirationCalendar.php?ib_entity=llc)), so active US trading will begin on Tuesday.

[maxrum]

Oops, just got this email from the Trading Olympiads. Looks like we will have some extra time to prepare.

That's amazing news ;) Extra time will always help :)

[GusTsahas]

If any of the Baruch students win, I am due a dinner as I was the first one to get to IB on Monday morning regarding the account balance issue and requested a review in case any of the other "players" used up the $1 million margin. I guess someone had used excesive margin and they postponed the contest.... Get to work as 3-4 days is not lot of time to get a winning system in gear. Good luck and have fun!!!

:smt023

[bkampsch]

Hey all Baruch IB Olympiants,

My name is Brandon Kampschuur, I am applying to Baruch for admission in fall 2007. I came in 4th place last year in the Olympiad and just wanted to share some of my experiences, which may prove useful to you all.

First off, Bharath is right: the tough part is designing the system, i.e. the entry and exit signals that will make up your trades. I created my strategy in EasyLangauge, which is a PASCAL based programming that is a part of TradeStation and is used to program automated trading strategies, indicators, etc. In regards to the Olympiad, the benefit of a program like TradeStation (http://www.tradestation.com/) is that it incorporates live market data and can therefore you can trade your automated strategy in real time. This means you only have to use the IB API to execute market orders because all of the signals (buys and sells with limit orders, stop orders, etc.) are interpreted by TradeStation and thus you just act with market orders when TradeStation says your order should be filled. There are other programs besides TradeStation you could use, such as Trade Navigator (http://www.genesisft.com/), which is a company I had been working for for the past several months. I know there are many other programs out there too.

The programming aspect is actually pretty straightforward. I recommend Java because TWS is written in Java and seems to interface more easily than the other languages. You need to get the signals from the strategy program (i.e. TradeStation) into your Java program that connects to TWS. With TradeStation, this could be done by having TradeStation send e-mail signals whenever an order is filled and with your Java program recieving them and acting accordingly.

The nice thing about the approach I took is that I was able to focus on strategy creation, which involves extensive analysis, back-testing and optimization. By using a tool like TradeStation to take care of your strategy creation you save yourself from having to code such an engine yourself. Plus, these tools are probably more robust than anything you would want to create for the purposes of the IB contest. EasyLanguage is great because it is the retail, de-facto standard in trading strategy programming and there is a lot of example programs that you could find on the web for ideas.

Lastly, I want to offer some useful info from the way last year’s contest played out for me. The winner last year, Patrick Christmas, only made a handful of trades. He more than doubled his money early (2nd or 3rd week) and then basically stopped trading (or traded so few shares as to not make much of a difference in his account) probably waiting to see if anybody would catch up, which nobody ever did. This year they require at least 25 trades, which is a good rule. Also, the contest is 8 weeks instead of 10 - which in my opinion is a bad rule because I think that the longer duration of the contest, the less luck will be involved in deciding the winner.

The last week of trading was particularly interesting for me. I had about $145,000 at the beginning of the last week (Bharath, myself and some other guy were all within only $2,000 of each other at this point). A few small losses at the beginning of the last led me to believe I was in 4th place with about $142,000. I knew I needed a relatively big profitable trade on the last day to propel me back into the top 3 (and an extra $20,000) so I stepped up the number of contracts for my trade on the last day. I knew that I was a good $15,000 ahead of the 5th place contestant, so although I was taking a lot of risk in terms of my IB net worth, in practice I could have made a lot of real money without any risk because my trade was such that I knew I wouldn't finish past 13th place (because 4-13th place pay the same) even in a worth case scenario. Anyways, my strategy lost almost $20,000 on the last day after the Fed raised interest rates, but I still finished in 4th (final tally, $126,000). I was disappointed, but still very glad at my achievement. For my last week, I was actually on Spring Break surfing in Costa Rica and having my father control the inputs to my strategy that ran on his computer after finding out what happened in the markets in via telephone) If I would have just stopped taking any risk when I was solidly in 2nd place two weeks before the end of the contest, I would have won $20,000 more.

My experience in the last week led me to consider the game theory element to this contest, which emerges because they publish rankings once a week and because of the way the prizes are layered. Ultimately Bharath did the right thing in not tweaking his system during the contest because more often than not you will lose money when you make changes in the heat of battle (as I did the last day). Experienced traders will always tell you that tweaking is a bad thing.

Anyways, I hope everyone found my technique informative and story interesting. I wish everyone good luck in this year's Olympiad!

[John]

hi Brandon,

very interesting account of your experience, thanks for sharing it! BTW I wonder if one is allowed to participate again even though one came out as one of the prize winners?

[Andy]

If any of the Baruch students win, I am due a dinner

Do we have any dinner if you win ? :D

Looks like Gus is firmly on the second place with another Baruch student at 5th place. Brandon is at 10th.
http://www.interactivebrokers.com/en/general/education/IBTradingOlympiad.php

If the rest of us recover and make it to the top 10, it would be fun

[GusTsahas]

He who lives with Leverage dies with Leverage, but hopefully the dinner will not be at McDonald’s!! Let’s keep trying but wait for another month before picking the restaurant. Good luck everybody…:smt006

[alain]

:cry: He who lives with Leverage dies with Leverage, but hopefully the dinner will not be at McDonald’s!! Let’s keep trying but wait for another month before picking the restaurant. Good luck everybody…:smt006
That's great Gus!!!

Well... I'm dying by leverage :smt073

Hopefully, I will be able to recover in the coming weeks. Last week really killed me :cry:
But, like the Spartans mother used to say to their sons going to war, "Come back with the shield or over the shield".

[Andy]

As the Sage mentioned, the key is not the technical part but the strategy. And as Brandon said, know when to hold your cards. We still have 1 month to battle it out. Anything can happen. Just like Alain was on the top 10 last week.

I like to come back with the shield and some some though. ;)

[Andy]

And the results are in. http://www.interactivebrokers.com/en/general/education/IBTradingOlympiad.php

Gus got out alive :D and $50k richer. $160,524 profit in 2 months. That's awesome, Gus. More than the winner last year.

Congratulations again from all of us. You made us proud.

Now, about the dinner...

[RussianMike]

Gus, congratulations! You da man! :smt006 :thumbsup: :thumbsup: :thumbsup:

[Bridgett]

Congratulations Gus, and Andy, well done!!

[Silverpike]

Lastly, I want to offer some useful info from the way last year’s contest played out for me. The winner last year, Patrick Christmas, only made a handful of trades. He more than doubled his money early (2nd or 3rd week) and then basically stopped trading (or traded so few shares as to not make much of a difference in his account) probably waiting to see if anybody would catch up, which nobody ever did. This year they require at least 25 trades, which is a good rule. Also, the contest is 8 weeks instead of 10 - which in my opinion is a bad rule because I think that the longer duration of the contest, the less luck will be involved in deciding the winner.

This behavior is completely common. I have seen this in every trading contest ever offered. The problem with virtual trading contests is that it rewards users who take large risks at the very beginning. If you reason about the logic of this, it makes sense. The best way to propel oneself to the top (and stay there) is to make very large trades with lots of risk at the start.

This works very well if the contest allows multiple accounts, because you can trade in one direction in one account, and the opposite direction in another account. All you need is to choose a highly volatile instrument, like Forex or a fast moving stock (GOOG). One position is sure to win, no matter what happens. From there, you can apply the same technique again (across a total of 4 accounts), or switch to a different more conservative strategy. Many contests do allow multiple accounts, so you can see how easy it is to astroturf these things.

In the end, these contests are nothing but a red herring to me. Usually nothing can be learned by watching (or participating in) them. Because the competition uses the techniques shown above, so it really boils down to observing yourself make trades. This can be done through any regular broker, as nearly all of them will allow anyone to open a virtual trading account to practice with.

[Andy]

Congratulations Gus, and Andy, well done!!

Thanks, Bridgett.

The biggest kudos go to Gus, of course. He is the man. He did this all by himself.

Before anyone congratulates me again, I need to thank Alain and point out that he is the biggest reason most of us in the competition at all.

While I'm glad I got something out of this for even trying, I have to give credits where it's due.

All credits go to Alain. He deserves all the credits for making this possible =D>:thumbsup:


Thanks again, Alain. We will have a better finish next year.

[GusTsahas]

Thank you all for your kind words and long live the Baruch Legacy!! Congratulations to Andy and Alain and all the contestants, by participating we are all winners.

I strongly disagree with “Silverpike’s” conclusion that the Olympiad contest was not worth the effort, or that it is a lottery and only a long-shot strategy will win. I entered the contest with the intent of doing as well as possible and consistently traded every day, probably placing 200 or so trades in commodities, indexes, currencies, softs, and at times, leveraged 20:1. The contest was very realistic for me as the strategy I used was based on similar ideas I have traded before and while my leverage was higher then I use, keep in mind that the top trading firms are now using 15:1 leverage.

The contest has value as the contestants gained experience with real-world trading platform, market executions and an API used by many sophisticated traders, all for free!! While we don’t now if the winner was “good” or just “lucky”, it really doesn’t matter, each one of us got something out of this effort and we are better for it.

On to the party!!! :smt006

[Bridgett]

Gus,

Thank you very much for sharing your insights... I'm now thinking about entering next year's because of your example, inputs, and encouragement.

Lots appreciation!!

Bridgett

[woody]

While we don’t now if the winner was “good” or just “lucky”, it really doesn’t matter


And as we've heard before, it is better to be lucky...

Good job Gus and Andy. :thumbsup:

[rholowczak]

So we need to use their API, their demo trading system to test.
We at Baruch have a trading floor so we should take advantage of it. Somebody please ask Dan to hook us up with Prof. Richard Holowczak at the Wasserman Trading Floor/Subotnick Center.


Folks:
I admit I am late to this party - I read the postings only sporadically but will try to pay more attention in the future.

Let me make a blanket statement: Our resources at the Wasserman Trading Floor/Subotnick Center are here for all of you to use and to take advantage of. Please feel free to contact me if you think I can be of assistance in the contest or in terms of furthering your understanding of markets in general.

Regarding the technology in the Center, we have 40 workstations running Reuters 3000XTra and TradeStation, two Bloomberg Terminals and a software development classroom with MS Visual Studio (.NET 2005 edition), Sun Java and Oracle software development tools. We also have access to the Reuters Adfin API, Bloomberg API, and the Interactive Brokers API. In terms of historical data, in addition to what Bloomberg and Reuters provide, we have access to Compustat, CRSP, NYSE TAQ (both locally and via WRDS) and approx. 2 years worth of equity options data (the full OPRA data feed which is ~30 terabytes).

For a basic understanding of Equities, Futures, Options, FX and Fixed Income markets, I suggest that you attend one of our free workshops (Visit our home page http://zicklin.baruch.cuny.edu/centers/subotnick/ and click on the Sign Up For Trading Floor Workshops link.) All of the tutorials are available via our Blackboard community.

I would also be happy to hear from you if a small (or large) group of you would like to arrange a session on a specific topic or to run through a trading simulation.

Cheers,

Rich H.

[Andy]

This is awesome news, Prof. Holowczak

I knew Bharath worked with you during his IB trading in 2006. We didn't quite utilize the vast amount resources at Baruch as much as we should have. Some of us attended most of the Reuters, Option, Equity workshops but didn't go further than that.

Since the 2007 IB Trading Olympiad is over, we learned a thing or two. One is that we need to understand the market very well do win.

Would you be able to provide us with some private workshop where we can create paper account and trade through the IB's API ? I'm intersted in the Forex and future market but are willing to learn about other markets as well.

Instead of using IB's paper account to backtest, can you set up so we can have our own paper account and test with the historical data you have in the Subotnick trading floor ?

Many thanks

[Andy]

IB just updated the list with University name. It's nice to see Baruch College 2 years in a row.
http://www.interactivebrokers.com/en/general/education/IBTradingOlympiad.php

[Chris]

Hey guys,

I'm not sure if this was posted before but here is an article from the Financial Times on this. It talks a little about the trading strategies used from the winner and Gus. :)

http://www.ft.com/cms/s/13ce9470-dbe2-11db-9233-000b5df10621.html

Thanks,

Chris

[HEMT]

congratulations

[Maserati]

Ok so it says "Trades may be based on any combination of technical or fundamental data" but can someone please tell me exactly what data is given? I'm trying to prepare for the next one...

Thanks

[alain]

You can retrieve any data available through TWS.

[Stefan Zota]

It would be very interesting to get a feel of different algorithms.
More specifically, as it was already mentioned, since risk is not part of the equation, a lot of instruments will be neglected. So, a lot of theoretical side would not be used to create the model.

It would be also interesting to know the complexity of the code. Andy was mentioning 1 month of programming. If this means, at least 3-4 hours a day, then the final size is reasonable (7-10k lines of code) ...

[alain]

It might be even simpler... but, word of caution, there might be risk levels in next year's competition. I spoke with Mr. Wilkinson and they are looking to put some VaR limits into the game.

[GusTsahas]

I’ve said this before, and at the risk of being repetitive I’ll say it again, everyone’s time and programming skills will be most productively used in testing various trading strategies first and coding to the IB TWS interface only during the last couple of weeks.

Leave the interface code for last… I understand people are more comfortable programming to a problem with known parameters like communicating with the IB API, but you cannot make money “communicating”, only by trading!! Concentrate your effort into investigating trading strategies that work in different market environments and backtest, backtest, and backtest some more….. Your strategies need to make money in paper simulations, as the actual trading contest is harder with issues having to do with unforeseen mistakes, problems with fills, bad days… but at least you started off with a “positive expectation” strategy.

Have a good semester everyone, GUS

[DominiConnor]

Just to underline Andy's point...
Although $25K has some utility, it is not the prize.

The prize is being able to say to a top tier employer "I beat a lot of other people in a trading competition".
That's worth far more than $25K. If I were forced to price that, would be more than everyone you are related to by blood earned this century.