Equity Tech

Winning submission for the Equity Tech Challenge in Code to Connect 2022, Bank of America.

Demo

demo.mov

Getting Started

Pre-requisites

1. Java 11 (and above)
2. Maven

Running the program

1. Create a new folder
2. cd into this new folder
3. Clone this repository with the following terminal command:

git clone https://github.com/jamesyeap/equity_tech.git

3. cd into the repository folder
4. Build the program with the following command:

mvn package

• this will create a new folder named "target" containing the compiled JAR program.
• the compiled JAR program is named "equity-tech-1.0"

5. Run the program with the following command:

java -jar target/equity-tech-1.0

6. Enter a POV BUY order in FIX format:

• For example, to submit an order with the following parameters:
  • order side: BUY
    • FIX tag: 54=1
  • order type: MARKET order
    • FIX tag: 40=1
  • order quantity: 50,000 shares
    • FIX tag: 38=50000
  • target percentage: 10%
    • FIX tag: 6404=10
• Enter the following FIX input:
  • 54=1; 40=1; 38=50000; 6404=10

7. Enter the relative file-path of a market-data input file

• some sample CSV files is available in the repository folder:
  • <REPOSITORY_FOLDER>/input
• to use the default input file, enter the file-path when prompted:
  • ./input/market_data.csv
• note: if you are using a custom market-data input file, it must be
  • a CSV file and,
  • conforms to the market-data input format
    • use the provided market-data input file as reference
  • for ease of access, place it in the repository folder:
    • <REPOSITORY_FOLDER>/input
    • then, enter the file-path when prompted:
      • ./input/<NAME_OF_YOUR_CUSTOM_DATA_FILE>.csv

8. If you wish to split buy-orders in batches, enter y when prompted and enter the batch size

• For example, if you wish to ensure that all buy-orders greater than 500 shares are split into multiple orders
  • enter 500
• If you do not wish to split buy-orders, enter n when prompted

9. The simulation will now begin.

Output

The program will send logs to 2 locations:

• to the console
• save logs in files in the current working directory

Console Logs

When the simulation is running, the console will display detailed information about the Market, Trading Engine and the Simulated Exchange:

===========================================================================================
=============================================== RECEIVED MARKET UPDATE AT 5595244 ms ======
==================================================== BEST-BID: 52.35 ======================
==================================================== BEST-ASK: 52.45 ======================
==================================================== MARKET-TRADED VOLUME: 351500 =======
===========================================================================================
:::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::
::: TRADING ENGINE ASSESSMENT: (PASSIVE POSTING) ::::::::::::::::::::::::::::::::::::::::
:::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::
[N:52.35:50] Queued [email protected]

[C:52.25:40] Cancelled [email protected]

[C:52.25:18940] Cancelled [email protected]

[N:52.25:18930] Queued [email protected]

See sections below for the breakdown.

Market Information

The first part of the log displays information about the market.

===========================================================================================
=============================================== RECEIVED MARKET UPDATE AT 5595244 ms ======
==================================================== BEST-BID: 52.35 ======================
==================================================== BEST-ASK: 52.45 ======================
==================================================== MARKET-TRADED VOLUME: 351500 =======
===========================================================================================

Trading Engine Response

The second part of the log displays the trading engine's response to the latest market condition, which can be one of the following:

• PASSIVE POSTING
• BEHIND MIN-RATIO
• BREACHED MAX-RATIO

:::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::
::: TRADING ENGINE ASSESSMENT: (PASSIVE POSTING) ::::::::::::::::::::::::::::::::::::::::
:::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::

Sent Orders

The last part of the log displays information about the order sent by the trading engine, and the simulated engine's execution.

[N:52.35:50] Queued [email protected]

[C:52.25:40] Cancelled [email protected]

[C:52.25:18940] Cancelled [email protected]

[N:52.25:18930] Queued [email protected]

• [N:52.35:50] indicates that the trading engine sent an order of [email protected] to the simulated exchange
• Queued [email protected] indicates that the simulated exchange has placed this order in the queue.

Simulation Summary

At the end of the simulation, a summary of the order execution will be printed to the console:

*********************************************************************************************
************************************ [SIMULATION REPORT] ************************************
*********************************************************************************************
Volume-Weighted Average Price: 52.67968

Client Order Size: 50000
Client Order Size Filled: 50000
********************************************************************************************

File Logs

At the end of the simulation, logs will be saved in two files in the current working-directory:

• TradingEngineLogs.txt
• SimulatedExchangeLogs.txt