Course list

Electronic Trading and Algorithmic Execution

Day One

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
  • Almgren-Chriss model for optimal execution

Workshop: Algorithmic execution in practice: how to calculate the real cost and achieve best execution


Day Two

Electronic Market-Making

  • Components of a market-making engine
  • Price streaming and liquidity
  • Pricing and hedging
  • Measuring electronic risk exposure
  • 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
  • The Swiss Franc collapse
  • Knight Capital

Regulation for Electronic Trading

  • Fair and Effective Markets Review
  • Spoofing, layering
  • FX last-look

Workshop: How regulation affects markets: last-look pricing



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