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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 (TCA)
  • 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


Day Three

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



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