The 1st winner has the unique chance to join Lykke on the offering of Dirctional Change Limit Orders to customers

$400
1stPrize
$300
2ndPrize
$300
2ndPrize
$300
2ndPrize
$300
2ndPrize
VOTING
  • 20.12.2017

The contest is finished You can help us determine the winners. Voting ends on December 20.

  • Submissions

    Nov 4 - Dec 17

  • Voting

    Dec 17 - Dec 20

Money management is one of the most important and least understood aspects of trading, even though it, in the end, makes the difference between a profit or a loss. Traders often enter trades without any kind of exit strategy and are thus more likely to take premature profits or, even experience losses. At Lykke, we are working on offering the best services to traders. With the help of redefining the way we look at time - intrinsic time, we have created a position entrance guidance system. To continue working on our innovative position entrance system - Directional Change Limit Orders- and to make trading more fun, profitable and safe, Lykke wants your help to shape the future of investing.

We are looking for talented persons (developers and quants) to help Lykke team to work on our innovative Directional Change Limit Orders. Upon successful completion of the project, you have the unique chance to join us.

 

Intrinsic time

At Lykke we're in the process of redefining the way how time is looked upon in financial markets. Leading to a long needed paradigm change, namely from observed physical time to an activity based timescale, called intrinsic time. In contrast to the continuity of physical time, now only interactions, or events, let a system’s clock tick. This event-driven paradigm defines focal points by blurring out irrelevant details of the price evolution with the help of defining fixed event thresholds of different sizes.

With these events, every price curve can be dissected into components that represent a change in the price trend (Directional Change) and a trend component (Overshoot). For a Directional Change to be detected, first an initial direction mode needs to be chosen. As an example, in an up mode an increasing price move will result in the extremal price being updated and continuously increased. If the price goes down, the difference between the extremal price and the current price is evaluated. If this distance (in percent) exceeds the predefined Directional Change threshold, a Directional Change is registered. Now the mode is switched to down and the algorithm continues correspondingly.

 

Definition of Directional Change Limit Order

With the help of these events, limit orders can be placed into the market. Namely, by evaluating the point, where the next directional change point would be located, given the current price. At this point, which would represent a Directional Change event, given the current price, a limit order can be placed. This limit order is then called a Directional Change Limit Order.

 

Directional Change Limit Order App

The Directional Change Limit Order App offers an easy way for customers to place orders at Directional Change events and Overshoots. 

We invite all researchers to familiarise themselves with the following two papers about intrinsic time and to write a document or code an app how intrinsic time could be used to offer a simple trading product to customers. A product, offering an easy, automatic way of opening and closing a position, driven by the Directional Change framework.

 

Published papers about intrinsic time - Directional Change

One paper covers FX scaling laws “Patterns in high-frequency FX data: discovery of 12 empirical scaling laws”, James B. Glattfelder, A. Dupuis, R.B. Olsen and another paper covers an intrinsic time-based trading algorithm “The Alpha Engine: Designing an Automated Trading Algorithm” by Anton Golub, James B. Glattfelder, and Richard B. Olsen.

Patterns in high-frequency FX data: discovery of 12 empirical scaling laws: https://arxiv.org/pdf/0809.1040.pdf

The Alpha Engine: Designing an Automated Trading Algorithm: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2951348

 

Requirements for the work

  • Please present your idea in a short document, code, video etc. on how intrinsic time (Directional Change Limit Orders) could be used to offer a simple trading product to customers.

  • Any formulas or plots should be also included in the document.

  • Please attach your CV

 

Prize

The first prize is the opportunity to join Lykke team in working on the offering Directional Change Limit Orders to customers!
Additionally, the first 4 contestants will receive a prize money of 400, 300, 300, 300 $.

 

Support

Please refer to the Terms of Use for the organization and remuneration issues. If you have any questions, please feel free to ask them in the comments to the contest. 

 

A few disclaimers:

There is no guarantee of winning a prize. The prizes are only awarded to entries that the Lykke judges find worthwhile. Prizes are awarded in Lykke coins, which may be redeemed for currency and sent to your bank. You must be at least 18 years of age. You must not submit twice — your first submission is the one that counts. You will be responsible for declaring your own income to your local tax authorities. All submissions will be disclosed to the public. The prizes are given at Lykke’s sole discretion. The decisions of the judges will be final — there is no appeals process if your project does not win a prize. No other compensation will be given at this stage.

Experts

AUTHOR Lykke co-founder and Chief Research Officer
Lykke co-founder and Chief Technical Officer
Lykke co-founder and and Chief Operations Officer
Lykke Chief Business Development Officer
Seamus Donoghue
Lykke Singapore Director
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