Case Studies

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University of Chicago: Midwest Trading Competition

The Need

The University of Chicago (UChicago) launched the annual Midwest Trading Competition in 2013. Schools from California to Texas to New York and beyond travel to Chicago to compete in this day-long matchup, which is billed as “the nation’s premier algorithmic trading competition.” The event, which sprouts from UChicago’s Career Advancement Department, was created to foster an authentic environment to equip students with beneficial skills, experience and networking opportunities in the world of trading. As the competition has grown over the years, UChicago decided that for the 2017 competition, they wanted to provide a more realistic and robust trading platform to enhance the competitor experiences. The new platform needed to be able to handle a high volume of messages in a short period of time and exhibit real-market data showing high volatility, high liquidity and real commodity prices. That’s where TT came in.

The Engagement with TT

The relationship between UChicago and TT kicked off in 2005 when the university enrolled as a TT CampusConnect partner. Through the program, the university incorporated TT software and APIs in the Department of Financial Math’s FINM 32400 course.

The collaboration between TT and UChicago for the Midwest Trading Competition began in June 2016. The TT platform immediately met a variety of UChicago’s expectations, but it required the addition of two components to make it competition-ready: a market playback function to account for the off-market hours, and the creation of Python scripts in order to support coding activities for the participants.

The playback feature was something that TT had planned to incorporate into the system, and the Midwest Trading Competition provided the perfect spur for TT to do so. Not only would this be beneficial to TT customers, but it would also raise the bar for the rigor and authenticity of any trading competition utilizing TT software.

TT’s product, development, testing, operations and support teams quickly worked together to successfully implement this feature. It makes it possible to easily create a simulated environment that replicates a live and realistic trading experience—something the competition did not have before.

With the playback feature in place, UChicago opened up the competition registration in the fall. The participating teams were selected in February, and in March, the two competition cases were sent to students to study. The first case study focused on designing a pairs trading algorithm that operates based on the interaction of Treasury futures prices and the price of e-Mini S&P futures. The second case study required students to act as options market makers in the options on e-Mini S&P futures. In conjunction with the case studies, students also gained access to the TT platform to practice, explore and begin creating their (hopefully) winning algos. All teams were required to complete their algos prior to the competition. At that point, further access to the TT platform was prohibited until April 8, the day of the competition.

On that Saturday, 100 students eager to test their algos and compete for prize money in excess of $15,000 flooded the Polsky Exchange on UChicago’s campus along with representatives from Trading Technologies and 16 trading firms.

The day’s events ran from 8:00 am until 4:00 pm, beginning with a check-in breakfast and ending with the awards ceremony. In between, the teams executed and tweaked their algos as they saw fit throughout seven rounds of trading.

Prior to the competition, TT provided hours worth of pre-recorded market data to the UChicago case writers. On the day of the final event, the case writers were the only ones in the room that knew what time frames would be played back. This uncertainty added to the authenticity of the environment at the Polsky Center, allowing students to experience the genuine emotions that come with trading in the real world.

With the TT platform, message volume exploded from only 600 messages per 15-minute round to more than 900,000 messages in the same time period. Furthermore, in order to display a wide range of true market volatility, the pre-recorded live market prices were played back at four times the normal speed, which meant the TT platform ultimately handled more than 3.6 million messages in each 15-minute round. This allowed the competition to foster a realistic market environment that far exceeded UChicago’s expectations.

After trading concluded, the case writers reviewed the results, scored each team’s performance and identified the winners.

Feedback indicated that the day was a “win” for everyone involved.

  • “It was really cool to trade on real market data as opposed to simulated data – it made the competition and our algorithms seem more realistic and applicable.” – Students from the University of Texas
  • “Preparing for the cases was an excellent learning experience and a chance to be exposed to real world trading concepts.” – Students from UC Davis
  • “We thought the TT platform was awesome! Having it run so smoothly in a web browser is quite an achievement. We are looking forward to getting educational access at school.” – Students from NYU

The Result

Collaborating with TT for the 2017 Midwest Trading Competition allowed UChicago to host one of the most sophisticated and realistic trading competitions around. With the TT platform able to handle almost 150,000% more messaging volume than the previously used platform, and the introduction of the playback feature to display authentic market data, the rigor and benefit of this competition were overwhelmingly heightened.

The event also proved to be a great networking opportunity for the sponsors and students. It allowed the participants to connect with and showcase their skills to potential employers, and it provided the sponsoring companies with the opportunity to meet students who were already familiar with real-world trading tools and techniques. By already knowing how to use TT software and understanding trading mechanics and strategies, the students could immediately fall into a job without major training—saving their employers a great deal of time, money and effort.

At the end of the day, the competition delivered the most realistic trading experience possible, helping prepare the students for future careers. Explained Julia Bishop Crean, Associate Director, Trott Business Program | Financial Markets Program at UChicago, “For the first time in the event’s history, participants were able to test their case solutions against real market data, giving them a realistic taste of what it would be like to trade in the current markets. We’re excited to see this competition continue to grow and look forward to the continued support from our platform provider, Trading Technologies, and our firm sponsors.”