Microsoft PowerPoint - UNIGA_Presentation.ppt

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1 Uniform General Algorithmic (UNIGA) Financial Trading Language Leon Wu, Jian Pan, Jiahua Ni, Yu Song, Yang Sha Columbia University May 7, 2007

2 Outline of Presentation Overview of language Language tutorial and examples Architectural design and implementation Summary and lessons learned

3 Overview of Language UNIGA: high level scripting language for financial trading. Language Features: Easy-to-use: simple syntax Portable: platform-independent Versatile: built-in functions Powerful: complete trading workflow Extendable: custom functions

4 Outline of Presentation Overview of language Language tutorial and examples Architectural design and implementation Summary and lessons learned

5 Language Tutorial and Examples Hello World Variables Loops if statement User defined functions Send an order Check the price Check the portfolio

6 Hello world main(){ print "the market price for Microsoft is $"; double r=market "MSFT"; println r; } $ java Main market.uniga the market price for Microsoft is $30.56

7 Variables Data type: double Strings are primitive Dates are translated via date[] main(){ double d1=date[ ]; double d2=date[ ]; print "The number of days between is:"; println d1-d2; } The number of days between is:5.0

8 Loops while and for main(){ double r=0; while(r<2){ println r; r=r+1; } for(r=0;r<2;r=r+1){ println r; } }

9 if statement main(){ } double a=1, b=2; if a<b then{ return 1; } else { return 0; }

10 User defined functions User can define their own functions Pass by value double increase(double r){ } return r+1; void display(double r){ } println r; return; main(){ } display(increase(3));

11 Send an order buy / sell main(){ buy "MSFT" ; sell "INTC" ; } Symbol ID number of shares stop price limit price

12 Send an order (cont d) An order may be filled, or discarded

13 Send an order (cont d) Portfolio is also changed

14 Check the price main(){ } high, low, open, close, volume, market double op=open "MSFT" {1}; double cl=close "MSFT" {2}; double cu = market "MSFT"; if op>cl then println cu;

15 Check the portfolio sum the sum of portfolio pl the profit loss holdings list the current positions main(){ double pfloss=pl(); double assetsum = sum(); holdings; }

16 Outline of Presentation Overview of language Language tutorial and examples Architectural design and implementation Summary and lessons learned

17 Architectural Design and Implementation

18 Data Structure Diagram

19 Trading Process and Data Flow buy "MSFT" ; Orders(int type, String stockid, double amount, double stopprice, double limitprice) Update order (ORDERS.xml): add the order entry stopprice >? limitprice >? if stopprice==0 && limitprice==0 it is Market Order if stopprice>0 && limitprice==0 it is Stop Order if stopprice==0 && limitprice>0 it is Limit Order if stopprice>0 && limitprice>0 it is Stop Limit Order End No low<stopprice<high No low<limitprice<high No low<limitprice<high low<stopprice<high filledstatus = 1 filledprice = marketprice filledquantity = amount Yes filledstatus = 1 filledprice = stopprice filledquantity = amount Yes filledstatus = 1 filledprice = marketprice filledquantity = amount Yes filledstatus = 1 filledprice = limitprice or stopprice filledquantity = amount Update portfolio (PORTFOLIO.xml): 1> increase/decrease cash; 2> add/update stock holding End

20 File System Structure / ParserLexer.g Walker.g Makefile Main.java Utilities Functions ActivationRecord.java CommonASTWithLines.java Date.java ErrorException.java FuncScope.java Scope.java / Built-in Functions Stock.java GetRealData.java Orders.java Portfolio.java Automated Testing uniga.pl unit_test.pm bad_test_result.log sound_test_result.log /data ORDERS.xml PORTFOLIO.xml /data/market ACN.xml ADBE.xml CSCO.xml DELL.xml EDS.xml HPQ.xml IBM.xml INTC.xml /test add.uniga assign.uniga average.uniga builtinfunc.uniga buy.uniga data.uniga division.uniga... stategy_1.uniga while.uniga whileandopen.uniga whileandsell.uniga (total 37 *.uniga files)

21 Lexer Defining the set of most basic tokens to be recognized by UNIGA language. Ex. +, -, *, /, (), [ ],{ }, ==, <, >, &,,

22 Parser analyzes a sequence of tokens to determine its grammatical structure with respect to UNIGA grammar Left associative Data Type: double Statements: for, while, if-else, buy, sell Expression: open, close, high, low, volume, date Declaration: variable, function

23 Walker Walker parses the AST and associates actions with each syntax Scope definition Operation definition

24 Testing Unit Testing, Regression Testing and Automated Testing Unit testing for every language construct to eliminate error at early stage Prepare a set of test cases, and pass all of them before uploading codes to SVN Deploy regression testing when a milestone is met

25 Outline of Presentation Overview of language Language tutorial and examples Architectural design and implementation Summary and lessons learned

26 Summary and lessons learned Team work and effective project management Set up development milestones Ensure on-time deliverables by regular meetings at the start of every week, constant contacts during the week Ensure team members understanding of weekly goal before workload breakdown. Start with a small core objective and apply incremental approach in development. SVN (Subversion) on CUNIX Source control a must for large scale team development effort

27 Incremental Development Approach Select a good application scope for the language Build a small core in the start, anticipate more time spent than expected at this stage Modularized development, separate the project into front-end and back-end Regression testing implemented to guarantee new features won t break old features

28 Be Ready for Disasters Recovery You never know a single operation can cause catastrophe. We lost some files due to a careless operation Periodically back up

29 Thank You! UNIGA Team Columbia University May 7, 2007

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