Intraday Trading & Market Microstructure

Illustration of a method of DNA sequencing. Image with depth of field.

This one-day workshop explores the backtesting and trading of intraday trading strategies. The focus will be on the US equity markets, though issues relevant to the US futures and international spot currency markets will be discussed as well.

Delegates will use relevant software (MATLAB) throughout the workshop. No prior knowledge of MATLAB is required.

15 September 2017

Duration:

One day (9am to 5pm)

Location:

London, UK – Tower Hotel, London E1

Trainer:

Ernest Chan

Course Fee:

£995 + VAT

Register

Overview of market microstructure issues

  • Understanding market microstructure even if we are not trading at high frequency
  • HFT Gaming: Front-running, Ticking, Ratio trade, Stop hunting, Hide and light, Queue jumping
  • Thin NBBO liquidity
  • Order type and routing optimization:

1. Immediate or cancel
2. Intermarket sweep order
3. Hide and light order
4. Day ISO

  • Adverse Selection
  • Last-look in FX
  • Use and Abuse of Dark Pools: Avoiding toxic dark pools
  • Flash crashes and liquidity withdrawal

 The physics of trading

  • Colocation
  • Consolidated and direct data (ITCH) feeds

Backtesting

  • Choices of live trading vs backtesting platforms for intraday trading
  • Choices of historical data for backtesting intraday strategies

 MATLAB Tutorial

 Special topic: Order flow

  • Predictive power of order flow
  • Methods of computing order flow
  • Extended Exercise: Backtesting an order flow  strategy with tick data