Electronic Trading and Algorithmic Execution
This course provides a detailed investigation of the latest developments in electronic trading and algorithmic execution. We look at Foreign Exchange, Equities and Fixed Income electronic trading and the impact this is having on market developments today.
The first day of the programme begins by understanding the nature of different electronic market places and examines different types of orders. In the afternoon we look into methods for algorithmic execution. Day two focuses on electronic market-making and the market microstructure, examining both the market risks and regulatory challenges.
Day three comprises of a more advanced, in-depth coverage of execution algorithms alongside trading strategies and signals. It examines in detail the evolving structure of the markets as driven by regulation and analyzes ways to achieve and demonstrate best execution.
Practical workshops allow delegates to explore the implementation of execution algorithms as well as methods to benchmark performance and calculate transaction cost metrics.
Recommend to a ColleagueThis course is also available in London Time Zone and New York Time Zone
This course is FTS-Eligible* and also eligible for 24 CPD hours. GARP & CFA Institute members are eligible for 24 CE/CPD credits. See details
- Traders, portfolio managers and execution desks
- Sales people and client advisors
- Business analysts and COOs
- Risk managers
- Compliance officers and internal audit
- Quantitative analysts and technologists
- Gain familiarity with the landscape of electronic markets
- Distinguish between different types of exchanges and order types
- Learn how to calculate the costs associated with different types of orders in terms of spread and execution certainty
- Analyse the various methods of algorithmic execution
- Learn how to design a market-making engine
- Acquire knowledge of the market microstructure and of how to benefit from this
- Gain understanding of current regulations with regards to electronic trading
- Compare execution methods for trading against benchmarks
- Understand what impact regulations are having on market structure
A basic understanding of capital markets and securities trading.
*FTS Eligible
This programme is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is
eligible for FTS claims subject to all eligibility criteria being met. Please note that in no way does
this represent an endorsement of the quality of the training provider and programme. Participants are
advised to assess the suitability of the programme and its relevance to participants' business activities
or job roles. The FTS is available to eligible entities, at a 50% funding level of programme fees subject
to all eligibility criteria being met. FTS claims may only be made for programmes listed on the FTS Programme
Directory with the specified validity period. Please refer to www.ibf.org.sg for more information.
Katia Babbar holds a BSc in Mathematics from University College London and a PhD in Stochastic Analysis from Imperial College. With over 20 years of experience in the financial industry in the City of London, she has held leadership positions at UBS, Citi, and Lloyds Banking Group, overseeing FX Derivatives Quant Research teams and e-FX Algo Trading as a Managing Director. As a Visiting Lecturer at the University of Oxford, Katia teaches courses on Statistics Financial Data Analysis and Decentralized Finance for the MSc in Mathematical and Computational Finance program. She is also a co-founder of Immersive Finance, a prominent FinTech company specializing in institutional-grade risk management and alpha generation for Digital Assets.
Request a Brochure with full details for Electronic Trading and Algorithmic Execution
Electronic Markets
- Overview of e-trading in Equities and Fixed Income
- Exchanges, ECNs and Dark Pools
- Principal and agency trading
- The Limit Order Book
Order Types
- A comparison of different order types
- Market Orders and Limit Orders
- Immediate-or-Cancel, Fill-or-Kill, Iceberg Orders
Workshop: Comparing order types – spreads and slippage
Algorithmic Execution
- A look at various methods of algorithmic execution: VWAP, TWAP, Arrival price
- Volume prediction
- Slippage and Information leakage
- Market impact: temporary or permanent
- Transaction Cost Analysis (TCA)
- Almgren-Chriss model for optimal execution
Workshop: Algorithmic execution in practice: how to calculate the real cost and achieve best execution
Electronic Market-Making
- Components of a market-making engine
- Price streaming and liquidity
- Pricing and hedging
- Skewing and risk-management
- Grossman-Miller model for market-making
Signals
- A look at market microstructure
- Generating Trading Signals
- Order book imbalance
- Lead-lag, momentum, correlation
Workshop: How to build a trading signal
High Frequency Trading
- Definitions and examples of HFTs
- How to build a low-latency network
What Can Go Wrong and How to Avoid It
- Flash crashes
- Operational risk and the Swiss Franc collapse
- Algorithmic chaos: Knight Capital
Regulation for Electronic Trading
- Benchmarks and the Fair and Effective Markets Review
- Spoofing and layering: Dodd-Frank and the Volcker Rule
- The Global Code
- MAR and MiFID II
e-trading Risk Measures
- Market, credit, operational and reputational risk
Advanced Algorithmic Trading
Advanced Execution Strategies
- Classification of algorithms for execution
- Opportunistic algos: Stealth, Guerilla, Snipes and Sniffers
- Execution around a benchmark: LIBOR, WM FIX and Market Close
- Pitfalls of benchmarks
- Latency in execution
- The Bleeding Edge of algo development
Workshop: Benchmark performance
Algorithmic Trading Strategies and Signals
- Stat-arb trading strategies
- Strategy evaluation
- AI and Machine Learning in strategies and signals
- Signals: evaluation, back-testing, A/B testing
- Measuring signals: realized profit, avoided loss, missed opportunity
- How to construct stronger signals
- Use of signals in algo execution
Market Structure and the Impact of MiFID II
- Why market structure is evolving
- Impact by asset class of algorithmic trading
- Non-bank Liquidity Providers
-
Proliferation of Trading Venues:
- Systematic internalizers
- Mid-matching venues
- Periodic Auctions
- Is transparency good or bad for algorithmic trading?
Workshop: Transparency and information leakage
Best Execution
- MiFID II and RTS 28
- Independence of data and analytics
- Algo wheels
- Pre-hedging and market impact
- Best execution versus optimal execution
- Advanced Transaction Cost Analysis
Workshop: Transaction Cost Analysis metrics
*The course outline and dates are subject to change. Please contact us for more details.
This was a great course with well balanced content. It combined algorithmic trading strategy, regulatory landscape as well as opportunities to learn about historical market events in the e-trading space. It caters to a broad spectrum of attendees from different backgrounds who are interested in developing their understanding of the trading business.
(Projects and Business Analysis Lead - Natwest Markets)
The LFS Course on Electronic Trading and Algorithmic Execution was highly informative with a very good balance of introductory learning as well as technical learning. As an Audit professional, I found the course very useful and would recommend it.
(Audit Director - Citi)
Jamie's course on Electronic Trading is worth every penny and will vastly increase your knowledge on algorithmic trading! I would wholeheartedly recommend it for anyone on the buy-side but I think a lot of sell-side functions could also benefit from the course.
(Vice President - Two Sigma)
LFS Electronic Trading and Algorithmic Execution has been the most relevant explanation I have been given on the topic.
(Technology Auditor - Morgan Stanley)
This course struck the perfect balance between market insight and a practical and implementable framework for the algorithmic trading challenges of today.
(Head of risk management in London - Mediobanca SpA)
In this course I have boosted my knowledge in Algorithmic strategies. Also, in only 3 days I have confirmed a lot of assumptions we made after 3 years developing algorithmic strategies.
(Associate - BBVA)
Jamie [teacher] was a great presenter with a lot of interesting stories and examples to help explain complex concepts.
(FX Trader - Norges Bank Investment Management)
Excellent course, engaging and informative.
(Audit Director - Citi)
Great to get insights from an experienced practitioner who understands the nuances of applying the material in the real world.
(Director - Commonwealth Bank of Australia)
I wanted to improve my knowledge of algorithmic trading as new regulation requires compliance departments to develop a framework around the use of algorithms. Jamie is very knowledgeable and I enjoyed the course and found it very relevant and useful, I will recommend it to colleagues.
(Compliance Manager - CMC Markets)
Course is well delivered overall.
(Manager - United Overseas Bank Ltd )
Great introduction for anyone in the e-trading and algorithmic trading. Suitable for all skill levels. Dr Jamie is well versed in this topic from his extensive experience in the industry.
(Manager - United Overseas Bank Ltd)
I have really enjoyed this course and the content was extremely well balanced not just for buy side, but sell side and electronic platform representatives. I would strongly recommend anybody starting out in a career in E-Trading to attend this course.
(FMA - M&G Investment Management)
Course Details
This course is also available in London Time Zone and New York Time Zone
- To run this course at your organisation, contact us.
Call now for more information on this course or to book:
Asia Pacific +65 3159 3707
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London Financial Studies is registered with GARP as an Approved Provider of Continuing Professional Development (CPD) credits.