University of Chicago
FINM 32400: Computing for Finance 3
The University of Chicago’s Department of Financial Math focuses on discovering and exploring the connections between theoretical and applied mathematics and finance.
FINM 32400 teaches the language and structure of C++ and the basics of object-oriented programming (OOP) to students who have no programming experience. The course, which mixes hands-on experience with lectures, is a requirement for students who did not pass the university’s computer programming placement exam.
Course instructor Chanaka Liyanaarachchi wanted his students to get practical exposure to the Financial Information eXchange (FIX) protocol, a communication protocol that defines the format by which parties can communicate and exchange information. He wanted his students to be able to write their own electronic trading applications using FIX because it is the standard by which the global banking and securities industry shares and solicits information.
Engagement with TT
The University of Chicago became a TT CampusConnect® partner school in 2005 and gained access to the X_TRADER® platform. In 2012, Professor Liyanaarachchi expanded the university’s use of the software to include the company’s application programming interfaces (APIs).
Students were given access to TT’s FIX Adapter, which allows developers to use FIX to integrate customer and third-party order routing, market data and trade capture systems with TT software. Students were also granted access to use TT’s Developer Center, which allows developers to test their applications against live data in a simulated environment.
After in-class training led by TT, students were instructed to complete specific exercises using FIX. These assignments included:
- Gathering market data and creating a dynamic order book with market depth.
- Entering, changing and canceling orders
- Accessing account information such as position and available capital
Having access to the Developer Center proved to be an essential element to the class’ success. “From a technical point of view, the TT Developer Center allowed the students to access different markets and to switch between them with ease due to the uniform, normalized access. This is the main technical reason why we chose to go with Trading Technologies’ environment, as opposed to directly connecting to an exchange,” explained Liyanaarachchi.
The students had access to TT’s Developer Center throughout the duration of the course. In this way each student could complete their exercises against live market prices and better understand how to manage the exercises in real time. The class has been held every spring since 2013. On average the class size is approximately 90 students.
Professor Liyanaarachchi enthusiastically reported that the class met all of his expectations.
He concluded, “Based on the feedback I’ve received, it would seem that the class objectives were successfully met! The students were able to apply advanced programing concepts and techniques we discussed in class to design, analyze and implement trading strategies, pricing algorithms and to write fully functional algorithmic trading applications. They were able to use concepts they learned in other financial mathematics courses to design and analyze their applications.”
He was also very appreciative of the guidance provided by TT’s staff. “Due to a large class size, we had to request a significant amount of resources from TT. We greatly appreciate TT’s efforts to accommodate our requests in a timely manner.”