RITC 2012 Case Package - Rotman International Trading ...

Case Package 2012 

Rotman 

International 

Trading 

Competition

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Table of Contents 

About RITC 

Important Information 

Case Summaries 

Social Outcry Case 

Sales & Trader Case 

Quantitative Outcry Case 

BP Canada Commodities Case 

Thomson Reuters QED Case 

Options Trading Case 

CIBC Algorithmic Trading Case 

Appendix 

Rotman International Trading Competition 2012 

© Financial Research and Trading Lab, Rotman School of Management, U of T 

2

About RITC 

The Rotman International Trading Competition is a one-of-a-kind event hosted annually at the University 

of Toronto. Now entering its 9th year, the three day competition brings together over 300 participants 

representing approximately 50 top universities and corporations across the world. 

Despite the technological improvements and continued shift towards remote electronic trading, the event 

continues to draw ever larger interest as our competitors and sponsors demonstrate that they value the 

face-to-face interaction encouraged by our conference format. 

The competition is predominantly structured around the Rotman Interactive Trader platform, an 

electronic exchange which matches buyers and sellers in an order-driven market, on which we run trading 

cases. The cases simulate potential scenarios for risks and opportunities with a focus on relevant 

investment, portfolio or risk management objectives. They are designed to test participants’ ability to 

handle a wide range of market scenarios. 

The following case package provides an overview of the content presented at the 2012 Rotman 

International Trading Competition. Each case has been specifically tailored to be linked to topics taught in 

university level classes and real-life trading situations. We hope you enjoy your experience at the 

competition. 

See You in Toronto 



3 

About RITC

Important Information 

Practice Servers 

Practice servers will be online as of Monday, January 23rd, 2012 and will operate 24 hours a day 7 days a 

week until the start of the competition. 

This year, we will be revealing the new Rotman Interactive Trader Version 2.0. This version is currently in 

its pre-release form and only available to competition participants. 

Information on how to download and install the RIT v2.0 Client is available on the RITC website: 

http://ritc.rotman.utoronto.ca/casefile.asp 

The follow table details the server IP & ports for the RITC practice environments. 

Case Name Server IP Port 

Sales & Trader Case flserver.rotman.utoronto.ca 16500 

BP Canada Commodities Case flserver.rotman.utoronto.ca 16510 

Thomson Reuters QED Case flserver.rotman.utoronto.ca 16520 

Options Trading Case flserver.rotman.utoronto.ca 16530 

CIBC Algorithmic Trading Case Server 1 flserver.rotman.utoronto.ca 16550 




Practice servers will be made available starting the week of Monday, January 23rd. The actual cases will 

likely be introduced in a staggered manner - not all cases will be available on Jan 23rd. 

To login to any server port, you can type in any username and password and it will automatically create an 

account if it does not exist. If you have forgotten your password or the username appears to be taken, 

simply choose a new username and password to create a new account. 

Multiple server ports have been provided for the CIBC Algorithmic Trading Case to allow teams to trade in 

either populated or unpopulated environments. For example, if you are testing your algorithm and there 

are 7 other algorithms running, you may want to move to a different port where less trading is occurring. 

The BP Canada Commodities Case, Thomson Reuters QED, and Options Trading cases will be updated 

with a different set of news on Monday, February 6th, 13th, and 20th at 10AM EST. Teams wishing to trade 

against other participants are encouraged to login at this time. At each update, a new case file with 

different news items and randomized paths will be uploaded and will continue to run until the next update. 

As such, teams that continue to practice from the start of the practice server up to the competition will 

have traded 4 different iterations of each of the aforementioned cases. The Sales & Trader and CIBC 

Algorithmic Trading cases have no news drivers but randomize a new set of security paths each time they 

are run. 



4 

Important Information

Additional Support Files 

Additional support files including the CIBC Algorithmic Trading Case Base Algorithm and other relevant 

support and documentation files will be provided on the RITC website. 

Scoring and Ranking Methodology 

The Scoring and Ranking Methodology document will be released prior to the start of the competition on 

the RITC website. An announcement will be sent out to competitors once the document becomes 

available. 

Competition Schedule 

This schedule is subject to change prior to the competition. Competitors can check on the RITC website for 

the most up-to-date schedule. Each competitor will also receive a personalized schedule when they arrive 

at the competition. 

Team Schedule 

Competitors must submit a team-schedule by February 10 th . This schedule will detail which of the team 

members will be taking part in the different events. It is the team’s responsibility to organize and schedule 

such that conflicts (for example, between trading cases simultaneously, or with sponsor interviews) are 

avoided. Schedules submitted by Feb 10 th are considered final and substitutions following that date will 

not be permitted except under extreme circumstances. 

Competition Waivers 

All participants are required to sign a competition waiver prior to their participation at RITC. These will be 

available online (to be sent in ahead of time) or at the registration desk when you arrive. 



5 

Important Information

Case Summaries 

Social Outcry 

The opening event of the competition gives you your first opportunity to make an impression on the 

sponsors, faculty members, and other teams in this fun introduction to the Rotman International Trading 

Competition. Trade against experienced professionals from the industry, try to make your case against 

the professors, and show everyone your outcry skills by making fast and loud trading decisions. 

Sales and Trader 

This is our premier electronic trading case on the Rotman Interactive Trader platform. With six different 

trading scenarios, this simulated market environment will put your critical thinking and analytical skills to 

the test. Whether you choose to market make, trade institutional orders or a combination of the two, 

participants will have to think fast and logically in order to manage liquidity risk and get the highest return. 

Quantitative Outcry 

Building on the experience of the Social Outcry, this case combines trading, analytical, and 

communication skills to make it even more demanding. With the support of models built in Excel, 

participants will use news releases that give quantitative economic forecasts, as well as qualitative micro 

and macro data, to predict the futures market on the RT100 index. Analyzing macroeconomic indicators, 

participants should be able to gain an understanding of the sensitivity of the index to each of the factors 

and be able to effectively model it. 

BP Canada Commodities 

The BP Canada Commodities case will place competitors in a trading simulation, covering two months, in 

which they can transact both physical and financial crude oil products in different locations and different 

delivery points. The crude oil market will be affected by fundamental changes in the supply and demand 

of crude oil, while physical arbitrage conditions will link the crude oil markets to other upstream and 

downstream markets. 

Thomson Reuters QED 

The Thomson Reuters Quantitative & Event Driven (QED) case introduces competitors to the cutting-edge 

environment of machine-readable news. Participants will be responsible for reviewing a Reuters QED 

dataset and determining the relationships between news and stock price movements. Based on this 

analysis, traders will be able to model the expected effects of news events that are released during the 

trading cases. 



6 

Case Summaries

Options Trading 

New to RITC 2012, the Options Trading case will challenge traders’ ability to use options valuation models 

to forecast the future volatility of an underlying stock and trade options to profit from their views. The 

options case is designed to reward sound decision making abilities with regards to how an option is priced 

(overpriced or underpriced) rather than rewarding directional views on a stock (with leverage). 

CIBC Algorithmic Trading 

The CIBC Algorithmic Trading case is designed to challenge competitors’ logic and programming skills as 

they attempt to design the most effective algorithm to generate trading profits. Competitors lacking 

knowledge in programming can follow step-by-step guides and use trading templates to design their 

algorithm, while more ambitious traders can design an algorithm from the ground up. 



7 

Case Summaries

Social Outcry 

Overview 

The objective of the Social Outcry case is to allow competition participants to interact (“to break the ice”) 

and to understand the progression of market technology. This segment of the competition is not included 

in the cumulative team score as scores are based on individual performance. This Social Outcry will be an 

exciting way for you to introduce yourself to the participants at RITC as well as great preparation for the 

Quantitative Outcry. You will be ranked based on your Net Liquidation Value at the end of the case. 

Description 

Each participant will start the session with a neutral futures position. Participants are allowed to go long 

(buy) or go short (sell). Contracts in hand at the end of trading will be marked-to-market at the closing 

price. 

Market Dynamics 

Participants will trade futures contracts on an index, the RT100. The futures price will be determined by 

the market’s transactions while the spot price will follow a stochastic path subject to influence from 

qualitative news announcements which will be displayed on the ticker. One news announcement will be 

displayed at a time, and each news release will have an uncertain length and effect. Favourable news will 

result in an increase in the spot price while unfavourable news will cause a decrease in the spot price. These 

reactions may occur instantly or with lags. Participants are expected to trade based on how they interpret 

the news and their anticipation of the market reaction. 

Trading Limits and Transaction Costs 

There are no trading limits or trading commissions for the Social Outcry case. 

Rules and Responsibilities 

The following rules apply throughout the Social Outcry case: 

� Market agents are RITC staff members at the front of the outcry pit collecting tickets. 

� Maximum of 5 contracts per trade/ticket. 

� All tickets must be filled out completely and legibly and verified by both parties with no portion of 

the ticket left blank. Illegible tickets may be ignored by the market agents! 

� Both transacting parties are responsible to make sure that the white portion of the ticket is 

received by the market agent. The transaction will not be processed if the white portion is not 

handed in. Both trading parties must walk the ticket up to the market agent. 

� Only the white portion of the ticket will be accepted by the market agent; trading receipts (pink 

and yellow) are for the team’s records only. 

� Once parties have verbally committed to a trade, they are required to transact. 

� RITC staff reserve the right to break any unreasonable trades. 

� Any breaches of the above stated rules and responsibilities are to be reported to the market agent 

or floor governors immediately. 



8 

Social Outcry Case

Position Close-Out and Case Scoring 

Each person’s trades will be settled at the close of trading based on the final spot price. The ranking is based 

on the total P/L (profit/loss) from the trading session. 

Example: 

Throughout the trading session, one trader has made the following trades: 

Buy 2 contracts @ 998 

Sell 5 contracts @ 1007 

Buy 1 contract @ 1004 

The market closed out @ 1000. The P/L for the trader is then calculated as follows: 

2 long contracts @ 998 

P/L: (1000-998)*2*10 = $40 

5 short contracts @ 1007 

P/L: (1000-1007)*(-5)*10 = $350 

1 long contract @ 1004 

P/L: (1000-1004)*1*10 = ($40) 

There are no commissions and fines in the Social Outcry. 

The trader has made a total P/L of $350. 



9 


Complete Transaction and Social Outcry Language Example 

To find the market, traders simply yell “What’s the market?” If someone wants to make the market on the bid 

side, he/she can answer “bid 50” meaning they want to buy at a price ending with 50 (1050, 1150), whichever is 

closest to the last trade. If someone wants to make the market on the ask side, he/she will yell “at 51” 

meaning he/she wants to sell at a price ending with 51 (1051, 1151) closest to the last price. Note that so far, 

no quantity has been declared. Only two digits are required when calling the bid or ask. To complete a trade, 

someone willing to take the market can simply say “bought two” to the person selling. The seller’s response 

must then be: “sold two” (or any other quantity below 2, but not 0, at the seller’s discretion). After the seller 

and the buyer fill out the trade ticket and submit the white part to the ticket taker, the trade is complete. 

Please note that the market maker (trader announcing the price) gets to decide the quantity traded up to a 

maximum of the quantity requested by the market taker. 

A complete transaction could run as follows: 

Trader1 “What’s the market?” 

Trader2 “bid 70, at 72” or “70 at 72”, (bid 1070, ask 1072, this trader wants to buy and sell) 

Trader3 “at 71” (the new market is 1070 to 1071) 

Trader 1 to Trader 3 “Bought 5” (he/she wants to buy 5 contracts at 1071) 

Trader 3 to Trader 1 “Sold 3” (Although Trader 1 wanted to buy 5 contracts, Trader 3 only wants to sell 3 

contracts so Trader 1 must accept the three contracts). 

Trader 1 or Trader 3 He/she fills out the trade ticket with initials from both Trader 1 and Trader 3. The 

white portion of the ticket is submitted to the market agent by both traders (both 

traders walk the ticket up to the front of the trading floor). Trader 1(Buyer) keeps the 

yellow portion of the ticket and Trader 3(Seller) keeps the pink (red) portion of the 

ticket. 

There will be a brief outcry practice and demonstration before the Social Outcry on the day of competition. 



10 


Sales & Trader Case 

Overview 

The Sales and Trader Case challenges participants to put their critical thinking and analytical abilities to the 

test in an environment that allows traders to have significant flexibility on the trading strategy they choose to 

implement. Traders will be faced with multiple tender offers requiring participants to make rapid judgments 

on the profitability and subsequent execution of these offers. Profits can be generated by taking advantage of 

pricing discrepancies, large tender offers, and market-making opportunities. 

Description 

There will be 2 heats with 2 team members competing for the entire heat. Each heat will consist of six 10 

minute sub-heats with each sub-heat to be independently traded and representing one month of calendar 

time. Each sub-heat will have a unique objective and could involve up to four securities with different volatility 

and liquidity characteristics. 

Parameter Value 

Number of trading sub-heats 6 

Trading time per sub heat 600 seconds (10 minutes) 

Calendar time per sub heat 1 month (20 trading days) 

Tender offers will be generated by computerized traders and distributed at random intervals to random 

participants. Traders must subsequently evaluate the profitability of these tenders when accepting or bidding 

on them. Trading from excel using Rotman API will be disabled. Real time data (RTD) links will be enabled. 


There are six sub-heats per heat, each with unique market dynamics and parameters ranging from changes in 

the spread of tender orders to the liquidity and volatility of various stocks. Details regarding each sub heat will 

be distributed directly before the trading period allowing for participants to formulate trading strategies. 

An example of sub-heat details is shown below. 

RITC COMP 

Starting Price $12 $15 

Commission/share $0.01 $0.01 

Max order size 25,000 25,000 

Trading Limit (Gross/Net) 250,000/250,000 250,000/250,000 

Liquidity High High 

Volatility Medium Medium 

Tender frequency Medium Medium 

During each sub-heat, traders will occasionally receive one of three different types of tender offers: private 

tenders, competitive auctions and winner takes all. Tender offers are generated by the server and randomly 



11 

Sales Sales & & Trader Trader Case Case

distributed to traders at different times. Each participant will get the same number of tender offers with 

variations in price and quantity. 

Private tenders are routed to individual traders and are offers to purchase or sell a fixed volume of stock at a 

fixed price. The tender price is influenced by the same pre-generated path that the liquidity traders follow in 

an attempt to drive the market price towards that path. Private tenders will give a spread based on the midmarket 

price when the order was generated (if the mid-market price is $10, and the spread was 1-2%, the 

tender offer will offer to buy shares for an amount between $10.10 and $10.20). No trading commission will 

be paid on private tenders and traders will have 30 seconds to accept or decline any offer. 

Competitive auction offers will be sent to every participant at the same time. Traders will be required to 

determine a competitive, yet profitable price to submit for a given volume of stock from the auction. Any 

trader that submits an order that is better than the base-line reserve price (hidden from traders) will 

automatically have their order filled, regardless of other traders’ bids. If accepted, the fills will occur at the 

price that the trader submits. 

Winner takes all tenders request traders to submit bids to buy or sell a fixed volume of stock. After all prices 

have been received, the tender is awarded to the single highest bidder or lowest offer. The winning price 

however must meet a base-line reserve price. If no offer meets the reserve price, then the trade may not be 

awarded to anyone (i.e. if all traders bid $2.00 for a $10 stock, nobody will win). 


Each trader will be subject to gross and net trading limits to be specified in the case description distributed 

prior to the trading period. The gross trading limit reflects the sum of the absolute values of the long and 

short positions across all securities; while the net trading limit reflects the sum of long and short positions 

such that short positions negate any long positions. Trading limits will be strictly enforced and traders will not 

be able to exceed them. 

The maximum trade size will be 25,000 shares, restricting the volume of shares transacted per trade to 

25,000. Transaction fees will be specified in the case description distributed prior to the trading period. 

Position Close-Out 

Any non-zero position will be closed out at the end of trading based on the last traded price. This includes any 

long or short position open in any security. Computerized market makers will increase the liquidity in the 

market towards the end of trading to ensure the closing price cannot be manipulated. 



12 

Sales & Trader Case

Key Objectives 

Objective 1: 

Generate profits by market making in order to capture the bid-ask spread. Develop trading strategies based 

on the case descriptions to be distributed prior to the trading period in order to customize profitable trading 

strategies to each sub-heat. 

Objective 2: 

Evaluate the profitability of tender offers and accept those that will generate positive profits while rejecting 

those that will create losses. Submit competitive, yet profitable, bids and offers on above reserve and winner 

takes all tenders in order to maximize potential profits. 

Objective 3: 

Limit market risk by managing open positions and optimally utilizing the gross and net trading limits to 

maximize profits. Maintaining large short or long positions may result in the market trading away from your 

transaction price, resulting in losses. Use a combination of limit and market orders to mitigate any liquidity 

and price risks from holding open positions. 



13 

Sales & Trader Case

Quantitative Outcry Case 

Overview 

The Quantitative Outcry case challenges competitors to apply their understanding of macroeconomics to 

determine the effect news releases will have on the North American economy as captured by the Rotman 

Index (RT100). The RT100 index is a composite index reflective of North American political, economic, and 

market conditions. Traders will be required to interpret and react to news releases in trading RT100 index 

futures based on their analysis of the news’ impact on the index. Competitors are expected to construct an 

economic indicator sensitivity model that they can use to support their trading decisions during the case. 

Teams will also be able to make a limited number of spot transactions to generate arbitrage profits between 

the spot and futures markets. 

Description 

There will be 2 heats with 4 team members competing for the entire heat. The 4 team members will comprise 

of 2 analysts and 2 traders who will rotate positions for the second heat. Each heat will last 30 minutes 

representing six months of calendar time. Traders will be trading futures contracts on the RT100 index. 


Number of trading heats 2 

Trading time per heat 30 minutes 

Calendar time per heat 6 months 

The Rotman Atrium will serve as the trading pit for the traders, while the analysts will share a desktop in the 

Financial Research and Trading Lab. It will be the role of the analysts to quantify the impact of news releases 

on the RT100 index while traders will be required to react and trade according to the analysts’ instructions. 


News will be released periodically, comprised of either economic announcements or qualitative news. 

Analysts will receive all news releases while traders will receive only a subset of the releases. It will be the role 

of analysts to quickly scan and analyze the price impact of news releases on the index after which they must 

transfer their findings to the traders on the floor who will trade based on that information. This requires 

teams to develop quick and reliable gesture-based communication methods to signal market information and 

trading instructions from the analysts to the traders. No verbal or electronic communication methods are 

permitted. 

Economic announcements will include economist estimates (“street’s estimates”), realized values, and 

economic indicator sensitivities. The three economic indicators that affect the value of the RT100 index are: 

Gross Domestic Product (GDP), Home Builders’ Index (HBI) and Manufacturing Inventories/Purchases (INV) 

Index. Participants will trade futures contracts based on their expectations on the future spot prices of the 

RT100 index. The change in the RT100 index (based on index points) will be represented by the following 

model: 



14 

Quantitative Quantitative Outcry Outcry Case 

Case

∆RT100 = (GDPA,n – GDPE,n)GDPS,n + (HBIA,n – HBIE,n)HBIS,n +(INVA,n – INVE,n)INVS,n + Qualitative effects 

GDPA,n represents the actual GDP value released for period n, 

GDPE,n represents the estimated GDP value for period n, and 

GDPS,n represents the sensitivity of the GDP indicator for period n 

HBIA,n represents the actual HBI value released for period n, 

HBIE,n represents the estimated HBI value for period n, and 

HBIS,n represents the sensitivity of the HBI indicator for period n 

INVA,n represents the actual INV value released for period n, 

INVE,n represents the estimated INV value for period n, and 

INVS,n represents the sensitivity of the INV indicator for period n 

Qualitative effects represent the impact qualitative news has on the 

index as further described below 

The change in the RT100 index can be broken down into the difference between actual and estimated values 

for the three economic indicators multiplied by the sensitivity of these indicators to these differences plus any 

qualitative effects. For example, assume an initial estimate given for HBI of 52, a sensitivity of 10, and the 

RT100 index currently trading at 1000. If data released at the end of the month shows that HBI increased to 

54, then there is a differential between the estimate and actual figure of 2. This would cause the RT100 index 

to increase to 1020 ((54-52) x 10= 20 points), assuming no other news has been released thereafter. During 

the competition, news will be released regularly and there will be many more shocks to the RT100 index 

before the final settlement. 

Based on the data constructed for this case, the starting sensitivities and factor levels are given below: 

Factor 

Estimate for 

Economic Indicators 

Sensitivity Initial Level Month1 End 

Gross Domestic Product (GDP) 5000 2.0% 2.20% 

Home Builders' Index (HBI) 10 52.00 54.00 

Manufacturing Inventories Index (INV) -5 49.00 50.00 

Each time the actual value of an economic factor is released there will be a resulting effect on the spot price 

based on the impact formula above. The final value of the spot market will be the sum of all of these effects. 

Qualitative news announcements offer news headlines with multiple possible outcomes. Each announcement 

will guide traders on potential impacts that the news may have on the RT100 index given the realization of 

different scenarios. It is up to the analysts to determine appropriate trading strategies given the information 

available at the time of release. 

An example of a qualitative release would be that Apple Inc. (AAPL) and Research in Motion Limited (RIMM) 

are considering a potential merger. Market observers believe there’s a 75% chance that this merger will occur, 

subsequently causing an increase in the index of 10-15 points. Analysts in the trading lab and traders in the 

atrium should use this information to forecast expected future changes in the index. Subsequent news 

releases will be released to resolve the uncertainty surrounding announced events. 



15 

Quantitative Outcry Case

Below is an information release schedule outlining when various news items will be released. 

Information Release Schedule 

Time (seconds) Indicator Released to 

0 Month 1 Expectations (Provided Above) Everyone 

50 Month 1 HBI Releases Everyone 

100 Month 1 Qualitative News Everyone 

150 Month 1 INV Releases Everyone 


250 Month 1 GDP Releases Everyone 

300 Month 2 Expectations Analysts Only 

… … … 

1550 Month 6 HBI Releases Everyone 


1650 Month 6 INV Releases Everyone 


1750 Month 6 GDP Releases Everyone 

1800 End of Heat Analysts Only 

Random Times Indicator Sensitivity Change Analysts Only 

Aside from the transactions done by traders in the Rotman Atrium, analysts in the trading lab are allowed to 

make up to three spot trades during each heat, with up to 100 contacts in each trade. The spot trades will be 

executed at the current spot price of the RT100 index posted on the screen. These trades will generally allow 

each team to have an opportunity to close out their positions in a very quick manner. Moreover, since the 

futures market will be driven by trader activity while the spot market is based on the actual economic 

indicators realized, there may be slight inefficiencies in the spot market and the futures market enabling 

arbitrage profits. These trades are added to the aggregate futures position of the team and are charged 

regular trading commissions. The soft and hard trading restriction limits discussed below will apply to trades 

made by analysts in the trading lab. 



16 



Each team has a starting position of 0 contracts, a soft trading limit of 200 contracts and a fixed hard trading 

limit of 500 contracts on their net positions. Teams will be notified as they approach their soft and hard limits 

on a best efforts basis. If a team exceeds its soft limit, it will be charged a fee proportional to how much they 

exceed the soft limit. The amount by which a team exceeds the initial soft limit of 200 will become their new 

soft limit. The fee per contract above the soft limit is $250. 

For instance, if Team A’s net position is at 220, they will be charged a fee of $250 * 20 = $5000 (they have 

exceeded their soft limit of 200 by 20 contracts). For Team A, 220 is now the new soft limit. As long as Team 

A’s position remains below 220, there will be no additional fees. If Team A bought more and had a new net 

position of 280, then they would be charged an additional fee of $250 * 60 = $15000 (The difference between 

the new net position and new soft limit). If a team does not exceed its soft limit, it will not be charged any 

fees. 

Any team that exceeds the hard limit of 500 will be automatically disqualified from the outcry. They will be 

given a rank equal to that of last place for that outcry. In addition, there is a zero tolerance policy in regards to 

electronic communication. Any trader or analyst seen (by an RITC staff member) using or holding a cell phone 

during the trading heats will be immediately disqualified. RITC staff will be positioned throughout the pit and 

the trading lab to police this. 

Each contract will be charged a brokerage commission of $1 per contract. 


Each team’s position will be settled at the end of the trading session by closing out their remaining positions 

at the final spot price. Analysts are not graded based on their estimates, though accurate estimates generate 

higher trading profits. 


Objective 1: 

Generate profits by interpreting news headlines and going long on positive news and short on negative news. 

Objective 2: 

Design a model to quantify the impact of news on the value of the index to add precision to your 

interpretation of news releases. Develop effective communication methods between traders and analysts to 

quickly communicate trading strategies based on an analysis of the news releases. 

Objective 3: 

Capitalize on arbitrage opportunities when there is a divergence between the spot and futures market. Utilize 

the three spot trades awarded to analysts at optimal times to maximize profits. 



17 


BP Canada Commodities Case 

Overview 

The BP Canada Commodities case challenges traders’ ability to respond to the highly dynamic world of 

commodity trading. Primarily, traders will buy and sell crude oil and related products in response to their 

analysis of various news releases affecting the price of oil. In addition, traders will be challenged to take 

advantage of arbitrage opportunities occurring in the spot and futures markets as well as across different 

locations and crude oil products. Lastly, traders will learn about the physical requirements to trade physical 

product, such as storage, pipeline (transportation) and refinery costs. 

Description 

The BP Canada Commodities case will consist of 2 heats with 2 team members competing for the entire heat. 

Each heat will consist of three 20-minute sub-heats to be independently traded and representing two 

months, or 40 trading days, of calendar time. Each sub-heat will involve 7 tradable securities and 6 assets. 

Trading from Excel using the Rotman API will be disabled. Real time data (RTD) links will be enabled. 



Trading time per sub-heat 1200 seconds (20 minutes) 

Calendar time per sub-heat 2 months 

Number of periods per sub-heat 2 

Trading time per period 600 seconds (10 minutes) 

Calendar time per period 1 month 

Max order size 30 contracts 

Mark-to-market frequency Daily (every 30 seconds) 


Traders will be able to trade the following seven securities and utilize the following 6 assets as listed below. 

Securities 

Securities Description Contract Size Shortable 

CL Crude oil spot (in Cushing) 1,000 Barrels No 

CL-AK Crude oil in Alaska 1,000 Barrels No 

CL-NYC Crude oil in New York City 1,000 Barrels No 

CL-1F Month 1 futures contract for CL 1,000 Barrels Yes 

CL-2F Month 2 futures contract for CL 1,000 Barrels Yes 

HO Heating Oil 42,000 Gallons No 

RB RBOB Gasoline 42,000 Gallons No 

Traders will be able to utilize the following assets which are required for storing, moving, or refining physical 

crude product. 



18 

BP BP Canada Canada Commodities Commodities Case Case

Assets Description 

Assets 

Capacity Transport or 

Conversion Period 

Cost 

CL-STORAGE Storage for Crude Oil Spot 

in Cushing 

10K Barrels N/A $500/day 

AK-STORAGE Storage for Crude Oil in 

Alaska 


NYC-STORAGE Storage for Crude Oil in 

New York City 


AK-CS-PIPE Pipeline from Alaska to 

Cushing 

10K Barrels 1 Day (30 seconds) $40,000/use 

CS-NYC-PIPE Pipeline from Cushing to 10K Barrels 1 Day (30 seconds) $20,000/use 

CL-REFINERY 

New York City 

Crude Oil Refinery (3:2:1) 30K Barrels 1.5 Days (45 

seconds) 



$300,000 per 

2 days 

*Note: There are no storage requirements for the physical products: RBOB Gasoline and Heating Oil. Automatic storage at no cost 

can be assumed for these products. 

Traders will need to focus on four main models that interact with the physical (spot) market for crude oil: the 

fundamental model, the storage model, the transport model and the refinery model. In the fundamental 

model, traders will receive news releases affecting the supply of crude oil, which can be used to forecast 

commodity prices. These releases will be amongst updates on geopolitical news and general economic 

indicators further affecting the energy market in North America. Traders will respond to the various news 

releases by buying and selling futures contracts. In the storage, transport, and refinery models, traders will 

balance the costs of operation with expected returns to earn arbitrage profits. For example, based on the 

refinery’s fixed cost to operate, traders can calculate when it’s profitable to purchase crude oil, convert it into 

products, and sell the products. Similarly, traders can calculate when it’s profitable to purchase crude in 

Alaska, transport it to Cushing, and sell crude oil spot. 

Fundamental Model 

The fundamental model will test the ability of traders to correctly interpret news releases and predict the 

price impact on crude oil. The fundamental value of crude oil is based on two distinct factor shocks: news 

effects and the weekly EIA reports. In this case, all news releases are independent of one another. 

There are 8 weekly EIA reports that will be released. Each report will contain an expected storage build/draw, 

and the actual storage build/draw. The fundamental value of CL will adjust at a ratio of $1 for every 10 million 

barrel differential. For example, if analysts expected a 6 million barrel build, and the actual EIA value was a 16 

million barrel draw, the price of CL would increase by $2.20. (expected +6, actual -16, difference +22). 

19 

BP Canada Commodities Case

In addition, there will be news reports that mention geopolitical events (pipeline outages, geopolitical 

tension, etc.) that will affect the supply or demand for crude oil. You should, if at all possible, quantify the 

effect of these events - as they will also have an effect on the price of crude oil (CL). These events will have an 

effect on the price, but weekly storage values are not directly linked to them. 


Time elapsed Release 

90 seconds 1st Week EIA Report 

240 seconds 2 nd Week EIA Report 

390 seconds 3 rd Week EIA Report 

540 seconds 4 th Week EIA Report 

600 seconds End of period 

Random times News Reports 

Note: This fundamental model is a simplified version of the previous BP Canada Commodities Case. 

Storage Model 

Traders must lease storage before buying spot crude oil. A storage tank holds up to 10,000 barrels of crude oil 

and costs $500 per day (charged every 30 seconds). Each storage tank must be leased in its entirety (i.e. 

traders cannot lease half a tank). Note that futures contracts settle at the end of their respective months and 

settle into physical product. If traders are long one futures contract of Month 1 crude oil at the end of the first 

month, they will receive 1,000 barrels of crude oil spot. If they are short one contract of Month 1 crude oil at 

the end of the first month, they will be required to deliver 1,000 barrels of crude oil spot. If traders do not have 

sufficient storage upon settlement of their futures contracts, a storage unit will automatically be leased at a 

penalty of $2500 per unit in addition to regular lease prices. 

There are three storage tanks available for lease, one for crude oil in each region: CL-STORAGE, AK- 

STORAGE, NYC-STORAGE. Traders are limited to having up to 10 of each storage unit simultaneously. 

Transportation Model 

Traders are able to transport crude oil from one location to another. Doing so effectively converts crude oil in 

location A to crude oil in location B. For example, transporting 1000 barrels of crude oil from Cushing to NYC 

converts 1000 barrels of CL into CL-NYC. 

In order to transport crude oil, traders must “lease and use” pipelines. Unlike storage, pipelines must be used 

immediately after lease. The transport process will take 30 seconds to complete. The pipeline will 

automatically be released at the end of the lease period. 

There are two pipelines available: AK-CS-PIPE and CS-NYC-PIPE. (Oil only flows one way in these pipes, from 

the location of supply to the location of demand). Traders are limited to leasing up to 10 of each pipeline 

simultaneously. 



20 


A pipeline can transport up to 10,000 barrels of crude oil at a time and costs $1100 per use. This cost is subject 

to change at random times during the case. Traders will be notified of changes to pipeline costs through news 

releases. 

Refinery Model 

Traders are able to refine crude oil to produce RBOB gasoline and heating oil. The Crude Oil Refinery (3:2:1) 

converts 3 contracts (3000 barrels) of crude oil in Cushing into 2 contracts (84,000 gallons ) of RBOB gasoline 

and 1 contract (42,000 gallons) of heating oil, hence the (3:2:1) specification. Each trader will be limited to 

using one refinery at a time. 

To refine crude oil, traders must lease refineries. The lease price covers the cost of production, additives, and 

the facility. Each lease period is 2 days (60 seconds), and the refining process will take 45 seconds to 

complete. Once the refinery process is complete, traders must “release” the refinery otherwise they will be 

charged for another lease period of 2 days. 

There is one refinery available in Cushing: CL-REFINERY. 


Each trader will be subject to gross and net trading limits of 500 contracts and 100 contracts respectively. The 

gross trading limit reflects the sum of the absolute values of the long and short positions across all securities 

and cannot exceed 500 contracts. The net trading limit reflects the sum of long and short positions such that 

short positions negate any long positions and has an upper bound of 100 contracts of crude equivalent 

products. Trading limits will be strictly enforced and traders will not be able to exceed them. 

For example, a long position of 1 crude oil contract (1000 barrels) and a short position of 1 futures contract 

(1000 barrels) results in a net limit usage of 0/100 and a gross limit usage of 2/500. Similarly, for heating oil or 

RBOB gasoline, a long position of 1 contract (42,000 gallons) and short position of 1 contact result in a net 

limit usage of 0/100 and a gross limit usage of 2/500. 

The maximum trade size will be 30 contracts, restricting the volume of contracts transacted per trade to 30. 

Transaction fees will be set at $1 per contract traded. 


All positions will be marked-to-market every 30 seconds with any profits and losses reflected in the traders’ 

cash balance by the mark-to-market operation. Futures contracts will settle at the end of each period and be 

converted into CL. The final value of CL will be based on the formula described earlier. 

Crude in Alaska and NYC, and the RBOB and HO products will be valued at their last traded price. 

Computerized market makers will increase the liquidity in the market towards the end of trading to ensure 

the closing price cannot be manipulated. 



21 

BP Canada Commodities Case


Objective 1: 

Generate profits by reacting to news headlines and going long crude oil and its related products during supply 

shortfalls and shorting them during times of supply excess. This will create profits from changes in the price of 

the crude oil, futures and products. 

Objective 2: 

Design a model to calculate the effect of news releases on the price of crude oil products in order to maximize 

trading profits. Traders will be provided with a basic RIT-linked Excel model which will allow them to input 

their expectations to generate buy/sell signals. It is highly recommended that traders enhance this basic 

model or design one from scratch in order to more effectively trade and understand the case. 

Objective 3: 

Find and capitalize on arbitrage opportunities between different crude oil locations, futures and products. 

Traders may go one step further and incorporate arbitrage indicators into their model to notify them of 

arbitrage opportunities in order to maximize potential profits. There will also be bid-ask spreads observable in 

the market between 2-5 cents from which traders may profit. 



22 


Thomson Reuters QED Case 

Overview 

The Thomson Reuters Quantitative and Event Driven (QED) case mimics QED trading and challenges 

participants to interpret news headline effects on security quotes using real QED relevance and sentiment 

scores. The Thomson Reuters Quantitative and Event Driven Trading solution set provides unique content, 

technology, and data management capabilities for exploiting market opportunities. 

Description 

There will be 2 heats with 2 team members competing for the entire heat. Each heat will consist of six 10minute 

sub-heats with each sub-heat to be independently traded and representing one month of calendar 

time. Each sub-heat will also involve the same four securities with individual volatility and liquidity 

characteristics loosely based on their real-life counterparts. 




Calendar time per sub-heat 1 month (30 days) 

News headlines will be randomly released for each security and may include information about the specific 

company, its competitors, or the industry as a whole. Each headline will include corresponding relevance, 

positive, negative and neutral QED scores from which the resulting effect of the news on the stock price will 

be determined. Trading from excel using Rotman API will be disabled. Real time data (RTD) links will be 

enabled. 


In each sub-heat, traders will be able to trade the following 4 securities with the following starting prices: 

DELL LVMH RIMM VOWG 

Starting Price $20.00 $80.00 $15.00 $85.00 

Profits can be generated by correctly interpreting the headlines and forecasting the changes in the fair value 

of each security. Each news item will affect only one security with its impact determined by a specific formula 

derived from the QED scores. Please be aware that while the news and QED scores released are real data 

provided by Thomson Reuters, the market impact will be determined solely by the formula below and are 

independent of the real life impacts of the news items. 



23 

Thomson Reuters QED Case

The effect on price of any individual news item will be determined as follows: 

The effect of news release n for security s, is equal to the αs,n coefficient multiplied by the news releases’ 

positive QED score, minus the βs,n coefficient multiplied by the news releases’ negative QED score, all divided 

by the γs coefficient added to the news releases’ neutral QED score. This is all multiplied by the relevance 

score for the news release as well as the security’s opening price to determine the impact of the news. The 

alpha and beta coefficient for each stock begins at 0.25, but for each subsequent release, will change 

depending on the previous release’s sentiment (positive minus negative). 

Each news item will come with corresponding relevance and sentiment QED scores. 

Independent for each news item 

Poss,n Positive QED Score for security s and news n 

Negs,n Negative QED Score for security s and news n 

Neus,n Neutral QED Score for security s and news n 

Relevance QED Score for security s and news n 

Rels,n 

Each security will have starting αs,n, βs,n, and γs coefficients that determine the price impact of news. The table 

below outlines starting values for all coefficients. 

Starting Values Coefficient 

αs,n 

0.25 

βs,n 

0.25 

γDELL 

1.6 

γLVMH 

2.3 

γRIMM 

1.3 

2.0 

γVOWG 

The coefficient γs is unique and constant for each security. The αs,n and βs,n coefficients will all be assigned a 

starting value of 0.25 across all four securities but are dynamic and unique for each individual news item. 

These coefficients will change with respect to the sentiment of last period’s news such that there is a 

diminishing marginal effect of positive or negative news on the security’s price. For example, if the last news 

release had been very positive and the most recent news released is positive as well, the security’s price will 

increase at a lower amount than had the previous release been neutral. 

Teams are encouraged to understand and model the relationship between the QED scores and the price 

impact in order to evaluate the effect news releases will have on each stock. This price effect however will be 

subject to two important market conditions creating opportunities to profit. First of all, market reaction to 

the news will be slightly delayed, giving traders time to interpret, react and capitalize on the releases. 



24 


Secondly, the market may over or under react to news headlines, eventually correcting itself to reflect the 

correct price impact. During this time, traders have the opportunity to capitalize on security mispricing and 

drive the market to the correct price. The final price of a security will be equal to the summation of the 

security’s initial price and the effect of the news headlines as per the price impact formula. 

For example, the final price of each stock will be determined as follows: 

PRIMM, close = PRIMM, open + NewsRIMM,1 + NewsRIMM,2+ NewsRIMM,3 +… 

In other words, the final price of RIMM stock will be equal to the starting price plus the aggregate of each 

RIMM news effect. 


Each trader will be subject to gross and net trading limits of 250,000 and 100,000 respectively. The gross 

trading limit reflects the sum of the absolute values of the long and short positions across all securities and 

cannot exceed 250,000 shares. The net trading limit reflects the sum of long and short positions such that 

short positions negate any long positions and has an upper bound of 100,000 shares. Trading limits will be 

strictly enforced and traders will not be able to exceed them. 

The maximum trade size will be 25,000 shares, restricting the volume of shares transacted per trade to 

25,000. Transaction fees will be set at $0.01 per share for DELL and RIMM and will be at $0.02 per share for 

LVMH and VOWG. 


Any non-zero position in either stock will be closed out at the end of trading based on the final price formula 

described above. All long and short positions will then be closed out based on that price. 



25 



Objective 1: 

Generate profits by reacting to news headlines and going long on positive news and short on negative news. 

Depending on the magnitude of the QED ratios, the stock value may be forecasted to increase, decrease or 

remain relatively unaffected by the specific news headline. Teams may consider splitting the workload by 

having each member specialize in certain securities. 

Objective 2: 

Calculate the fair price of the security to add precision to your trading strategy in order to maximize trading 

profits. Capitalize on market mispricing and over or under reactions. Traders can also build and use a RITlinked 

Excel model to retrieve the news headlines and QED scores directly into Excel to expedite the 

calculation of the price impact of news. The best teams will be able to capitalize on market opportunities by 

calculating the cumulative price impact of the news items using the QED scores to determine the expected 

closing value. 

A sample Excel sheet will be attached with the sample data set documenting a few functions which may be 

useful for teams to use in order to parse the QED scores from the headlines. 

Objective 3: 

Structure your portfolio optimally with respect to the gross and net trading limits. Use a combination of short 

and long positions to maximize use of your limits. 

Thomson Reuters is the world's leading source of intelligent information for businesses and professionals. We 

combine industry expertise with innovative technology to deliver critical information to leading decision makers in 

the financial, legal, tax and accounting, healthcare and science and media markets, powered by the world's most 

trusted news organization. With headquarters in New York and major operations in London and Eagan, 

Minnesota, Thomson Reuters employs more than 55,000 people and operates in over 100 countries. 



26 


Options Trading Case 

Overview 

The Options Trading case gives traders the opportunity to generate profits by applying options trading 

strategies. The underlying asset of the options is an Exchange Traded Fund (ETF) called RTM that mimics a 

major stock index. Traders will be able to trade shares of the ETF and 1-month call/put options with 10 

different strike prices. Information including the stock price, option prices, and news releases will be provided. 

Participants are encouraged to use the information provided to forecast the future volatility of the underlying 

RTM and construct options strategies that will profit from the volatility of the underlying. 

Description 

There will be 2 heats with 2 team members competing for the entire heat. Each heat will consist of six 10minute 

sub-heats with each sub-heat to be independently traded and representing one month of calendar 

time. 



Trading time per sub-heat 600 seconds 

Calendar time per sub-heat 1 month (20 days) 

During the case, news will be released and traders will be able to transact shares of RTM or options. Trading 

from excel using Rotman API will be disabled. Real time data (RTD) links will be enabled. 


Traders will be able to the RTM stock index, or twenty separate options contracts on the RTM. 

Price Call Ticker Strike Price Put Ticker Price 

$5.05 RTM45C 45 RTM45P $0.05 

$4.11 RTM46C 46 RTM46P $0.11 

$3.22 RTM47C 47 RTM47P $0.22 

$2.42 RTM48C 48 RTM48P $0.42 

$1.72 RTM49C 49 RTM49P $0.72 

$1.16 RTM50C 50 RTM50P $1.16 

$0.74 RTM51C 51 RTM51P $1.74 

$0.45 RTM52C 52 RTM52P $2.45 

$0.26 RTM53C 53 RTM53P $3.26 

$0.14 RTM54C 54 RTM54P $4.14 

All securities are priced by a very large market-maker that will always quote a bid-ask spread of 2 cents (i.e. 

$50.00x50.02 for the RTM, or $4.14x$4.16 for the RTM46C). The bids and asks are for an infinite quantity 

(there are no liquidity constraints in this case). 



27 

Options Trading Case

The price of the underlying stock index, RTM, is a random-walk and the path is generated using the following 

process: 

The price of the stock is based on the previous price multiplied by a return which is drawn from a normal 

distribution with a mean of zero and standard deviation (volatility) of sigma. Sigma’s starting value is 20% 

(on an annualized basis). 

The trading period is divided into 4 weeks, with t=1...150 being week one, t = 151…300 week two, and so on. 

At the beginning of each week, the volatility value (sigma) will shift, and the new value will be provided to 

traders. In addition, at the middle of each week (i.e. t=75) an estimate of next week’s volatility value will be 

announced. 

The observed and tradable prices of the options will be based on a computerized market-maker posting bids 

and offers for all options. The market maker will price the options using the Black-Scholes pricing model. 

The volatility forecasts made by the market maker are uninformed, and therefore will not accurately reflect 

the future volatility of the underlying RTM. Mispricing will occur, creating trading opportunities for market 

participants. These opportunities could be between specific options with respect to other options, specific 

options with respect to the underlying, or all options with respect to the underlying. 


Time Week Release 

1 Week 1 The volatility of RTM for this week is 20% 

75 Week 1 The forecast for RTM’s volatility next week is 24-27% 


…. 




28 



Each trader will be subject to gross and net trading limits specific to the security type and specified below. 

The gross trading limit reflects the sum of the absolute values of the long and short positions across all 

securities while the net trading limit reflects the sum of long and short positions such that short positions 

negate any long positions. Trading limits will be strictly enforced and traders will not be able to exceed them. 

Security Type Gross Limit Net Limit 

RTM Equity 50,000 Shares 50,000 Shares 

RTM Options 2,500 Contracts 1,000 Contracts 

The maximum trade size will be 10,000 shares for RTM equity and 100 contracts for RTM options, restricting 

the volume of shares and contracts transacted per trade to 10,000 and 100 respectively. Transaction fees will 

be set at $0.02 per share traded for RTM equity and $2.00 per contract traded for RTM options. As with 

standard options markets, each contract represents 100 shares (purchasing 1 contract for $0.35 will actually 

cost $35 plus a $2 commission, and settle based on the exercise value of 100 shares). 


Any outstanding position in the RTM index will be closed at the end of trading based on the last-traded price. 

Computerized market makers will increase the liquidity in the market towards the end of trading to ensure 

the closing price cannot be manipulated. All options will be cash-settled based on their exercise value. 


Objective 1: 

Build a model to forecast the future volatility of the underlying stock based on known information and given 

forecasts. Traders should use this model with an options pricing model to determine whether the market 

prices for options are currently overvalued or undervalued. They should then make trades in the specific 

options accordingly. 

Objective 2: 

Consider using options Greeks to calculate their portfolio exposure and hedge their position to reduce the risk 

of their portfolio while capturing volatility differentials across options. Traders should also look for arbitrage 

opportunities across different options strikes/series. 



29 


CIBC Algorithmic Trading Case 

Overview 

Algorithmic trading is a method used to manage both the market impact of trades as well as automate 

market making operations. This is achieved by dividing larger volume orders into smaller trades and 

submitting them electronically. This case involves 3 stocks and 1 ETF with varying levels of volatility and 

liquidity, and it exposes traders to the basics of market microstructure in the context of algorithmic trading. 

ETF pricing will reflect the sum of the 3 stocks traded, subject to periodic shocks to its price. Traders will be 

required to program algorithms using Excel VBA to automate the market-making process and react to 

changing market conditions. Throughout the case, the algorithms developed will submit orders to create and 

unwind positions in response to market conditions, in addition to maximizing profits from the bid-ask spread 

and benefiting from any arbitrage opportunities that arise. Due to the high-frequency nature of the case, 

traders may face challenges in developing algorithms to adapt to changes in market dynamics. 

Description 

There will be 4 rounds with 1 team member competing in each round. Any team member may represent the 

team in any one or all of the rounds. Each round will consist of three 5-minute sub-heats representing one 

hour of trading. Each team will be trading with up to 13 additional teams at a time. 


Number of trading rounds 4 preliminary rounds + 1 final round 



Calendar time per sub-heat 1 trading day 

All trades must be automatically executed by a trading algorithm. Traders will not be allowed to trade 

through the RIT Client once the case begins. However, traders are allowed to and encouraged to use and 

modify their Excel spreadsheets in response to prevailing market conditions and competition from the 

algorithms of other teams. In addition, they will have 3 minutes in between each sub-heat to alter their 

algorithm. A base template algorithm will be provided for traders and can be directly modified for use in the 

competition. Alternatively, traders can create their own algorithm using Excel VBA. 



30 

CIBC Algorithmic Trading Case


Each trader will be able to trade four securities of which the details are shown below. 

ALGO FRTL RITC RETF 

Starting Price $20 $20 $20 $60 

Fee / share (Market orders) $0.01 $0.01 $0.01 $0.03 

Rebate 

orders) 

/ share (Limit/Passive $0.005 $0.005 $0.005 $0.015 

Max order size 10,000 10,000 10,000 5,000 

Annualized volatility 25% 18% 32% 14% 

Liquidity Medium High Low Medium 

Type Stock Stock Stock ETF 

Traders will be given endowments during each sub-heat following the schedule below. Note that these 

endowments are priced at the starting price (i.e. $20 for ALGO, FRTL, RITC, and $60 for RETF). 

Tick of Endowment ALGO FRTL RITC RETF 

50 4,000 2,500 -1,800 0 

100 0 1,700 2,700 4,000 

150 0 -4,000 5,000 0 

There will be no information provided that will allow teams to predict the future price or direction of any 

security. In addition, all teams will start with the same initial positions at the beginning of each sub-heat. 

While unwinding their positions, teams may choose to simultaneously have their algorithm automatically 

generate and execute orders in other markets. A fee-rebate structure will be instituted to compensate traders 

for the addition of liquidity through limit orders. As such, traders will have the opportunity to generate returns 

by market making. 

Traders will be penalized for having an open position at the end of any individual sub-heat. This penalty will be 

levied against the final Net Liquidation Value for that sub-heat. The calculation for the penalty is as follows: 

Please be aware that this penalty applies to each of the four securities separately which emphasizes the 

importance of closing out your position across all securities. Furthermore, although RIT automatically closes 

out your position at the conclusion of the case, this is not considered a valid closeout by the trader. Any 

positions closed out by RIT are considered to be an open position at the close. 



31 



Time of Subheat 

(tick) 

0 ~ 240 240 ~ 299 300 

Gross/Net 200,000/40,000 100,000/20,000 100,000/0 

Each trader will be subject to gross and net trading limits which will change over each sub-heat. The gross 

trading limit reflects the sum of the absolute values of the long and short positions across all securities and 

the net trading limit reflects the sum of long and short positions such that short positions negate any long 

positions. Trading limits will be strictly enforced and traders will not be able to exceed them. Each position in 

stock will be counted towards trading limits with a multiplier of 1, while each position in the ETF will be 

counted with a multiplier of 3 ((i.e. If you long 100 shares of any stocks, your gross and the net trading limits 

will increase by 100. If you long 100 positions of RETF, your gross and net trading limits will increase by 300 

(100 positions * multiplier of 3). 

The maximum trade size will be 10,000 shares for stocks and 5,000 shares for the ETF, restricting the volume 

of shares transacted per trade to 10,000 shares for stocks and 5,000 shares for the ETF. Transaction fees will be 

set at $0.01 per share for stocks and $0.03 per share for the ETF on all market orders filled. Subsequently, a 

rebate of $0.005 per share for stocks and $0.015 per share for the ETF will be given for all submitted limit 

orders that are filled. Due to this rebate structure, it is possible for a trader to be profitable after buying and 

selling a security at the same price, provided that the trader uses limit orders. 


Any non-zero position in either stock will be closed out at the end of trading based on the last traded price. It is 

strongly suggested that traders close out their positions prior to the end of trading period as open positions 

will be subject to the penalty described above. 


Objective 1: 

Edit the template provided and optimize the trading parameters such that the algorithm efficiently balances a) 

trading frequently and large positions while b) minimizing price risk. Successful algorithms manage to transact 

large amounts of shares while keeping their position (and risk) very small. 

Objective 2: 

Consider rewriting and redesigning the algorithm using your own logic. Since the same template is being 

provided to all participants, there is a limitation on your ability to differentiate yourself by simply modifying 

the base template. 



32 


Appendix 

Some supplementary files will be released prior to the competition as they are available. Announcements will 

be made on the RITC website when these files are released. 

Please send any case-related questions to ritc@rotman.utoronto.ca. To ensure the fair dissemination of 

information, responses to your questions will be posted online for all participants to see. 



33 

Appendix

RITC 2012 Case Package - Rotman International Trading ...

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