Algorithmic order routing: Best execution in today’s and tomorrow’s markets

April 12, 2012 - PRLog -- Algorithmic trading is increasingly prevalent in today’s financial markets.  According to numerous studies, algo trading comprises at least 50% of all trading activity in the U.S. markets.  Understanding algorithmic trading is, therefore, a must for all professionals participating in the modern securities trading.  Taught by the seasoned electronic market researcher and professional, Irene Aldridge, author of ”High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems” (Wiley, 2012), the course offers a unique hands-on immersion into the algo routing construction.

This seminar is designed as an intensive hands-on crash course in algorithmic trading, suited for both the seasoned traditional traders looking to hone their expertise, as well as for novices looking for the career in brokerages.  The course covers the latest and most popular models in the algo execution and order routing.  To reinforce the concepts, the program successfully marries latest theoretical research with practical individual or group in-class model building.

Participants are required to bring in their own laptops with Excel loaded; sample tick data to be used in the model-building will be distributed prior to class.

Syllabus:

Module 1: Algorithmic vs. High-Frequency Trading.  Algo order routing: objectives.  Foundations of FIX, FIXatdl , ITCH and OUCH.  Project 1: sample FIX-based multi-exchange order routing.

Module 2: Algo execution: costs and performance metrics.  Passive vs. aggressive execution; associated execution risk.  Implementation shortfall algo.  Project 2: Implementation shortfall coding (Relevant data will be distributed).

Module 3: Efficient trading frontier.  Executional price benchmarks.  Bechmarked implementation: TWAP, VWAP.  Project 3: VWAP implementation.

Module 4: Advanced order execution: price-scaling strategies.  Project 4: implementation of a risk-return objective-driven strategy.

Module 5: Singularities during different times of day.  Project 5: closing time execution optimization.

Module 6: Stealth and related algo implementation issues.  Project 6: reverse-engineering algo implementation.    

Week 7:  Synthesis.  Class presentation: What is the optimal execution?