CSC 559 Software Engineering for Financial Markets
Summary
This course focuses on software engineering issues in creating a financial engine that drives automation and execution in a financial market. The course will cover different types of financial engines from back-office to front-office, exchange matching engines, data gathering engines, trading engines and straight through processing. The emphasis will be on the engines themselves rather than the financial models beneath them. Students will be required to work individually and/or in teams and create a financial engine. This is a project course and it will put students in the role of a domain architect who will need the skills required to communicate with financial traders and software engineers at the same time.
Every student will have to give a presentation about 2 of the book chapters. OL students will be allowed to record the presentation.
All students have to participate into the scuiz.org system.
All students have to contribute to the class project using GIT and Bitbucket. They can contribute with coding, testing, and or documentation of the projects.
Details will be discussed during the first week of class.
Texts
https://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207
https://www.amazon.com/Python-Finance-Analyze-Financial-Data/dp/1491945281
These books cover only part of the class content.
Grading
30% quizzes, 30% mandatory presentation, 40% contribution to class collaborative project.
A 95-100
A- 92-94
B+ 88-91
B 85-87
B- 82-84
C+ 78-81
C 75-77
C- 72-74
D+ 68-71
D 65-67
D- 62-64
F 0-55
Prerequisites
CSC 404 and (CSC 431 or CSC 521 or CSC 425)
Knowledge of Python.
Introduction. Review of Python Programming. A minimalist trading engine.
Orders. Matching and Queues.
Concurrency. Models.
Algorithmic Trading. Simple Strategies.
Algorithmic Trading. Complex Strategies.
The FIX Protocol.
Third party trading APIs.
Authorization and Authentication Issues.
TRading costs, P&L, Margins
Optional Topics / Class Presentations.
This syllabus is subject to change as necessary during the quarter. If a change occurs, it will be thoroughly addressed during class, posted under Announcements in D2L and sent via email.
Evaluations are a way for students to provide valuable feedback regarding their instructor and the course. Detailed feedback will enable the instructor to continuously tailor teaching methods and course
content to meet the learning goals of the course and the academic needs of the students. They are a requirement of the course and are key to continue to provide you with the highest quality of teaching. The
evaluations are anonymous; the instructor and administration do not track who entered what responses. A program is used to check if the student completed the evaluations, but the evaluation is completely
separate from the student’s identity. Since 100% participation is our goal, students are sent periodic reminders over three weeks. Students do not receive reminders once they complete the evaluation.
Students complete the evaluation online in CampusConnect.
This course will be subject to the university's academic integrity policy. More information can be found at http://academicintegrity.depaul.edu/ If you
have any questions be sure to consult with your professor.
All students are expected to abide by the University's Academic Integrity Policy which prohibits cheating and other misconduct in student coursework. Publicly sharing or posting online any prior or current materials from this course (including exam questions or answers), is considered to be providing unauthorized assistance prohibited by the policy. Both students who share/post and students who access or use such materials are considered to be cheating under the Policy and will be subject to sanctions for violations of Academic Integrity.
All students are required to manage their class schedules each term in accordance with the deadlines for enrolling and withdrawing as indicated in the University Academic Calendar. Information on enrollment, withdrawal, grading and incompletes can be found at http://www.cdm.depaul.edu/Current%20Students/Pages/PoliciesandProcedures.aspx.
Students who feel they may need an accommodation based on the impact of a disability should contact the instructor privately to discuss their specific needs. All discussions will remain confidential.
To ensure that you receive the most appropriate accommodation based on your needs, contact the instructor as early as possible in the quarter (preferably within the first week of class), and make sure that
you have contacted the Center for Students with Disabilities (CSD) at:
Lewis Center 1420, 25 East Jackson Blvd.
Phone number: (312)362-8002
Fax: (312)362-6544
TTY: (773)325.7296