Electronic Trading and Algorithmic ExecutionLondon Financial Studies
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.
- 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.
This course is eligible for CE/CPD credit hours from CFA and GARP Institutes.
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
- Overview of e-trading in Equities and Fixed Income
- Exchanges, ECNs and Dark Pools
- Principal and agency trading
- The Limit Order Book
- 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
- 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
- Components of a market-making engine
- Price streaming and liquidity
- Pricing and hedging
- Skewing and risk-management
- Grossman-Miller model for market-making
- 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
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
- 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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