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FEC Financial Engineering Club Trading Platform: • Back Tester w/ Algorithmic Trading API • Market Simulator and Click Trading UI and/or Algo API, link others to same simulation (like Rotman) Analytics: • Charting tools • Data Mining and Trend Analysis (e.g. find trend between macroeconomic events and volatility or returns) Trading Strategies: • Arbitrage Seeking (e.g. Bitcoin exchange arb) • Statistical Arbitrage • Portfolio Optimization • Trend Following • Market Making Other: • A game playing bot (Poker, Blackjack, etc.) Trading Platform Both • Order entry (algorithmic and/or click trading UI) • Order matching system Back Tester • Mechanism to import and reply market data (bars and ticks) • Record/calculate statistics (P&L, graph price history, Sharpe, etc.) • Examples: Zipline (open-source), NinjaTrader Trading Simulator • Client and host distributed system I have something in Qt (C++) you can work off of • Simulation generator, market driving bots • P&L recording for score keeping Analytics • Should use https://github.com/FEC-UIUC/Netfonds-Tick-Capture to get data • Apply statistical methods, mine for patterns, etc. on historical data to aid trading • Example – Measuring correlation between weather patterns and historical returns and volatility on commodities. Trading Strategies • https://github.com/FEC-UIUC/Netfonds-Tick-Capture will be helpful • Recommend NinjaTrader for testing on tick-data, but you could also build your own simple backtester • Goal: Come up with a profitable and low-risk algorithmic strategy. • Ideas: Arbitrage Seeking Bitcoin exchange arbitrage Currency exchange arbitrage Statistical Arbitrage Index arbitrage Pairs/Basket mean reversion Portfolio Optimization Trend Following Market Making Trading Platform: • Back Tester w/ Algorithmic Trading API • Market Simulator and Click Trading UI and/or Algo API, link others to same simulation (like Rotman) Analytics: • Charting tools • Data Mining and Trend Analysis (e.g. find trend between macroeconomic events and volatility or returns) Trading Strategies: • Arbitrage Seeking (e.g. Bitcoin exchange arb) • Statistical Arbitrage • Portfolio Optimization • Trend Following • Market Making Other: • A game playing bot (Poker, Blackjack, etc.) • https://github.com/FEC-UIUC/