Metro Tech
Spring 2023
(Due on 04/21/2023 at 11:59 pm)
Teams of 2 students
(Feel free to build your team)
Use OANDA simulator
https://www.oanda.com/us-en/trading/ “Try demo”
Meta Trader 4 (MT4) Don’t use version 5!
(1) Long EURUSD $1M ; (2) Short GBPCHF $1M
TWAP execution over 10 hours ($100K/hour) see next slide
First execution set à from 3 pm to 5 pm (2 hours): 20% of the order.
Second execution set à from 7 pm to 10 pm (3 hours): 30% of the order.
Third execution set à from 11 pm to 1 am (2 hours): 20% of the order.
Fourth execution set à from 3 am to 6 am (3 hours): 30% of the order.
Send a $1M Long TWAP order of EURUSD with MT4
Use the OANDA simulator
Save the complete execution on a *.csv file
Send a $1M Short TWAP order of GBPCHF with MT4
Use the OANDA simulator
Save the complete execution on a *.csv file
Bonus for A: connect MT4 with Python and execute the orders above
https://metaapi.cloud/docs/client
https://metaapi.cloud/sdks
NYU Brightspace
Submit all codes, the *.csv files, and a 1-page report
/docProps/thumbnail.jpeg