2007 Interactive Brokers Collegiate Trading Olympiad
- Thread starter Andy Nguyen
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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.Eddie said:
Note: your trading plan will be property of the company.
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
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
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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.daveL said:
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
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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
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
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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.
Re: Planning for Interactive Brokers Collegiate Trading Olympiad
What company(s) is the datafeed provider for the Wasserman trading floor? Just curious.
What company(s) is the datafeed provider for the Wasserman trading floor? Just curious.
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Re: Planning for Interactive Brokers Collegiate Trading Olympiad
Mostly by Reuters, but there are two Bloomberg terminals as well.
Mostly by Reuters, but there are two Bloomberg terminals as well.
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Re: Planning for Interactive Brokers Collegiate Trading Olympiad
Oops, just got this email from the Trading Olympiads. Looks like we will have some extra time to prepare.
Oops, just got this email from the Trading Olympiads. Looks like we will have some extra time to prepare.
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Re: Planning for Interactive Brokers Collegiate Trading Olympiad
That's amazing news
Extra time will always help 
That's amazing news
Extra time will always help
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Re: Planning for Interactive Brokers Collegiate Trading Olympiad
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
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
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Re: Planning for Interactive Brokers Collegiate Trading Olympiad
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 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, 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!
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 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, 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!
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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
alain
Older and Wiser
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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
But, like the Spartans mother used to say to their sons going to war, "Come back with the shield or over the shield".
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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.
I like to come back with the shield and some some though.
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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...
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...
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Gus, congratulations! You da man! :smt006 
