Second Computational Finance Competition

The Second Computational Finance Competition ("Competition") is co-organized by Global eSolutions (HK) Limited ("GES") and IEEE (Hong Kong) Computational Intelligence Chapter ("IEEE (HK) CI Chapter") (hereinafter referred to collectively as the "Organizer").
Participation in the Competition is free of charge.
Application starts from 6 August 2018 to 5 October 2018 (5pm).
The participants of the Competition ("Participants") shall form a team of 1-2 students.
Skills required include Maths, Stats, Quantitative Finance, Modeling, Programming, Data Analytics, Reporting, Presentation Skills, etc.
An entry must be an original work and does not infringe any rights (including intellectual property rights, rights of confidentiality or privacy) of any third parties. A breach of this rule will result in disqualification from competition or award. Should an entry breach any laws, the Participants shall be held responsible for all legal liabilities. The Organizer shall not be held responsible for any liabilities.
The Organizer shall have the absolute discretion to use any entries, the particulars of winners, photograph, video or any other record of the Competition for any lawful purposes including advertising and promotion of the event.
The Participants agree to grant the Organizer a non-exclusive, perpetual, transferable, sublicensable, royalty-free, worldwide license to use the respective entries.
All Participants are required to provide their Hong Kong Identity Card or student identity cards for verification by the Organizer.
Employees of the Organizer will not be eligible to participate in this Competition.
The Organizer reserves the absolute right to amend or cancel the details and all related arrangement without prior notice.
In case of any disputes, the Organizer reserves the right of final decision.

6 August 2018 – 5 October 2018

Application Period

10 September 2018 – 5 October 2018

Algo Development and Back-testing by Historical Data (Stage 1)

8 October 2018 – 19 October 2018

Forward-testing of Algo Script by Live Data (Stage 2)

22 October 2018 – 16 November 2018

Virtual Trading by Live Data (Stage 3)

21 December 2018 (Tentative)

Award Presentation and Closing Ceremony

Stage 1 (Algo Script Writing and Back-testing)

The Participants can develop and fully test their algo strategies ("Competition Strategies") in Competition Platform during 10 September to 5 October 2018 ("Stage 1"). The Participants can script their trading strategies and do back-testing with historical data during Stage 1.
The Organizer will provide the Participants with all the historical datarequired for modeling and back-testing.
The Organizer will provide guidelines and technical support for the usage of the Competition Platform.

Stage 2 (Forward-testing by Live Data)

The Participants can forward-test theirCompetition Strategies by live data on the platform during 8 October 2018 to 19 October 2018 ("Stage 2").
The Organizer will provide the Participants withthe live data required for forward testing.
The Organizer will provide guidelines and technical support for the usage of the Competition Platform.

Stage 3 (Virtual Trading by Live Data)

The Participants have to run the Competition Strategies on the Competition Platform and trade in live data by virtual money during 22 October 2018 to 16 November 2018 ("Stage 3").

Each Participant is allowed to run no more than 5 algo(s) in the Competition Platform.
Each Participant is allowed to hold no more than 100 pending orders.
The total number of trades throughout the Stage 3 should not be less than 50 trades.
The trading volume of any particular week during Stage 3 shall not exceed 50% of the total trading volume of the whole Stage 3.
The tradable products of the competition include all HKD securities which are listed on the Main Board of Hong Kong Exchanges and Clearing Limited ("HKEx") only. Securities listed on the GEM, Bonds, Trusts, Futures, Warrants and Callable Bull / Bear Contracts are excluded.
The market data provided in this competition is real-time price streaming on every 300 milliseconds. The buy and sell order will be matched based on the real-time market price.
The market data provided in this competition is provided by GES. All market data is solely for the purpose of competition and the use for any other purpose is prohibited (including but not limited to business and personal use). In particular, the participants shall not distribute the market data in any circumstances. The participants shall keep confidential all information and shall not disseminate such information to any third party by whatever means. The Participants who violates the rules will be disqualified and the Organizer reserves the right to claim any losses arising from such violation. The Organizer believes such information to be reliable, but makes no representation, guarantee or undertaking on its accuracy and adequacy. The Organizer shall not be liable to any loss or damage incurred by any person caused by direct or indirect usage of the information stated herein.
The participants are required to provide their own environment to run the Competition Platform and the algo during the competition. The Organizer shall not be liable to any loss, damage, disconnection, price delay, execution delay, and any malfunction due to the Competition Platform. Please refer to the details of Competition Platform for the requirements on the environment.
The Organizer has the right to disclose the full name of the Winner to the media and the general public.
The Winners may be invited to attend a prize presentation ceremony, and the Organizer shall have the right to publish event photos of the Winners taken at the prize presentation ceremony on the competition website or through other media.
The Competition Platform does not support Auction Session.
Order types accepted only include Market Order, Limit Order and Enhanced Limit Order. Day Order, Good Till Cancel ("GTC") Order and Good Till Day ("GTD") Order are also supported. At-auction Limit Orders and At-auction Orders are not accepted.
The Competition Platform does not support margin trading and short selling.
The Competition Platform does not support IPO shares subscription.
The Competition Platform can only accept transactions in board lots but not odd lots.
The following virtual fees and charges will be charged for each HK stocks transaction in the Competition Platform:
- Virtual Commission: 0.25% of transaction amount, with minimum charge of HK$100
- Virtual Stamp Duty: 0.1% of transaction amount (rounded up to the nearest dollar)
- Virtual Transaction Levy: 0.0027% of transaction amount
- Virtual Trading Fee: 0.005% of transaction amount
- Virtual Trading Tariff: HK$0.50 per each transaction
The Competition Platform does not support certain types of corporate actions, including but not limited to right issue, placement, scrip dividend and etc. Also, dividend and bonus share are not calculated in the total asset value of the Competition Account.
If there is any acquisition or privatization of a listed company and the Participants have maintained the related stock in their Competition Account, the Competition Platform will calculate the funds according to the last closing price of the stock subsequent to the delisting of the aforesaid stock, and such funds will be credited to the Competition Account of the Participants on the second working day (excluding Saturdays, Sundays and holidays) after the delisting date (T+2).
Only algo order is accepted. If manual order is identified, the Organizer reserves the right to disqualify the participant on its sole discretion.

Auton trading terminal as developed by GES will be provided as the trading platform for the Competition. Each Participant will be assigned a Competition Account upon successful registration of the Competition.
The Organizer will provide Participants the competition materials including login information of Competition Accounts, testing environment, platform user guide, back-testing tools, historical data, live data and technical support.
Each participant will be allocated a virtual money of HK$10 million in the Competition Platform.
The recommended requirement of the environment to execute Auton is as follows:
- CPU: Pentium 1 GHz or above
- RAM: 512 MB
- OS: Windows Vista SP2 or above
- .Net: Microsoft .net framework 4.5 or above

The tradable products of the competition include:

All HKD securities which are listed on the Main Board of Hong Kong Exchanges and Clearing Limited ("HKEx")
Securities listed on the GEM, Bonds, Trusts, Futures, Warrants and Callable Bull / Bear Contracts are excluded

The following dimensions will be used by the Organizer as the performance evaluation criteria:
- Overall Return
  - The TOP THREE Participants with the largest positive profits by the end of the Competition will be the winner.
- Risk-Adjusted Return
  - This benchmark is aimed at selecting the Participant with the most risk-adjusted return, which is evaluated based on Sharpe Ratio
  - The TOP 5 Participants with the highest Sharpe Ratio will be selected. Among the 5 selected Participants, the TOP THREEParticipants with largest positive profits will be declared as the winner
  - The Sharpe Ratio is calculated as:
    
    Sharpe Ratio =
    
    Average(Profits and Losses of all Trades)
    Std(Profits and Losses of all Trades)
In the event that there is more than one Participant with the same result, the ranking will be determined according to the time of their registration recorded by the Organizer. The Participant who has registered earlier will be ranked higher.
In the event that all Participant with negative profits, the Participant who has less negative profits will be ranked higher.
The performance ranking will be published periodically on weekly basis in the Competition website.

Winner

Overall Prize

Best Overall Return

Champion

HK$1,500 shopping voucher

1st Runner-up

HK$1,000 shopping voucher

2nd Runner-up

HK$500 shopping voucher

Best Risk-Adjusted Return