Show finddistancecourses.com as: Mobile

Electronic Trading and Algorithmic Execution

London Financial Studies
Course summary
3 days
3,990 GBP, 4,995 USD excl. VAT
English
Full time
Open / Scheduled
Next available date: 20/04/2020 - New York
Course Dates
New York
20/04/2020   (English)
4,995 USD
London
18/05/2020 09:00  (English)
3,990 GBP
Distance
18/05/2020 09:00  (English)
3,990 GBP

Course description

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.

Suitability - Who should attend?

  • 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

Outcome / Qualification etc.

Learning Objectives:

  • 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

Prior Knowledge

A basic understanding of capital markets and securities trading.

This course is eligible for CE/CPD credit hours from CFA and GARP Institutes.

Course leader

Dr Jamie Walton

Dr Jamie Walton has over 18 years of experience as a quant in financial markets. For the last 10 years, he was the head FX quant at Morgan Stanley, where he built the team of FX electronic trading quants.

In recent years, Dr Walton has presented at conferences and written articles on electronic trading, as well as providing independent consultancy in quantitative finance.

Dr Walton is also an Honorary Research Fellow at UCL, where he lectures in Financial Mathematics as part of the Masters programme in Financial Mathematics. 

Training Course Content

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
  • 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

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

Why choose London Financial Studies

Established 1997

Training delivered to 14,300 professionals from almost 2,000 companies

97% recommendation rate 

Customer Outreach Award 2019

customer-outreach-badge-2019

We believe that it should be easy for you to find and compare training courses. 

Our Customer Outreach Award is presented to trusted providers who are excellent at responding to enquiries, making your search quicker, more efficient and easier, too.

About provider

London Financial Studies - Capital Markets Learning

Exclusive training for Capital Markets & Investment Bankers in Europe, Americas and Asia Pacific

London Financial Studies are specialists in delivering professional development for finance professionals focusing on capital markets. LFS provide individuals, teams and companies with expert teaching that combines theoretical understanding with practical experience, giving them the knowledge to operate at the...


Read more and show all courses with this provider

Request info

Fill out your details to find out more about Electronic Trading and Algorithmic Execution.

  Contact the provider

  Get more information

  Register your interest

Contact info

London Financial Studies

34 Curlew Street
SE1 2ND London

 Show phone number
www.londonfs.com


Reviews

Average rating 5

Based on 10 reviews

Technology Auditor
(5)
LFS Electronic Trading and Algorithmic Execution has been the most relevant explanation I have been given on the topic.
Head of risk management in London
(5)
This course struck the perfect balance between market insight and a practical and implementable framework for the algorithmic trading challenges of today.
Associate
(5)
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.