Algorithmic Trading Exercise

Barclays Investment bank is sponsoring an Algorithmic Trading Competition exclusively for students of Warwick University. We are offering the following prizes

• £2,000 Scholarship for the best overall entry
• Sponsorship of travel & attendance to the Grace Hopper conference in Minneapolis for the best Female competitor (up to the value of £2,000)
• £500 each for the 2 runner-up entries

The competition is open to all undergraduate and Masters students of Warwick University and welcomes applications from any subject discipline.

Summary of the Specification

Modern trading takes place on computerised exchanges which handle the processing of buy and sell orders from different costumers. AS these orders arrive it is the job of the exchange to try to match the intentions of the new order with existing unmatched orders, or wait until a future order comes in that will match. A match is defined as one customer wanting to buy at a price equal to or greater than what another customer wants to sell at. When a match occurs, the resulting data is known as a trade.

To succeed in this exercise, you must write the software which can act as the matching engine and produce the stream of trades based on a given stream of orders as the input.

Important Dates

• Competition Close Date: 14th December 2012

How to Compete

Files linked below only show up when signed in to Warwick:

Name	Description	Last Updated

How to Participate

If you are interested in taking part in the competition please register your interest. Entries should be submitted via the BOSS system via the page at:

https://secure.dcs.warwick.ac.uk/BOSSonline//PageDispatcherServlet/student/assignment?assignment=196

Tech people at Barclays are happy to answer any questions and clarify any doubts, please email them directly at xraBarclaysFxAlgoCom at barclays dot com