Intraday Trading & Market Microstructure

This e-learning 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 throughout the workshop.

Our e-learning workshop is designed to give you everything you need to get started and includes:

  • Online course module (3 months access)
  • Hard copy manual
  • MATLAB software with MATLAB tutorial
  • Direct access to trainer for assistance

This course will be conducted using MATLAB. All delegates will receive a pre-recorded 3 hour MATLAB tutorial.

Frequently Asked Questions

Duration:

6 Hours

Trainer:

Ernest Chan

Course Fee:

£895 + 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 & routing optimization: Immediate/cancel; Intermarket sweep; hide & light; 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

WHAT IS THE TIMELINE FOR THE COURSE?
You can start the course anytime you wish and will gain access to the online course materials within one business day of registration. Your online access will last for 3 months, plus you will also receive a hard copy of the manual within a few days of registration.

HOW LONG SHOULD IT TAKE ME TO COMPLETE THE COURSE?
We provide three months’ access to the online material (one month to MATLAB) to give students a chance to take things at their own pace, but we expect most people to take no longer than a week to complete the course.

WHAT KIND OF MATLAB ASSISTANCE AM I PROVIDED WITH?
There is a MATLAB tutorial included in the workshop. If you have used MATLAB before, you should find it quite easy to complete the exercises, which do not require extensive programming. No prior knowledge of MATLAB is in fact necessary, although some general experience in programming using other simple languages would be useful.

WHEN WILL MY MATLAB LICENCE BEGIN?
You are advised to go through the online material first, then let us know when you are ready to start the course in conjuntion with the MATLAB exercises, at which point we will request that your MATLAB licence begin. Please bear in mind it may take a couple of days to set you up with MATLAB.

IS THE COURSE STILL USEFUL IF I HAVE NO INTENTION OF USING MATLAB?
Yes, the main aim of the course is to communicate the principles of artificial intelligence. Furthermore, MATLAB programming code can be adapted fairly easily into ‘R’, an open-source alternative.

WHAT DOES THE ONLINE COURSE MATERIAL COMPRISE?
The online course material is made up of two modules. The first module is the main course and consists of slides with the trainer’s narration, recorded demos, and exercises with answers. The second module consists of a tutorial covering the essentials of MATLAB programming.

WILL I BE ABLE TO ASK QUESTIONS AS I GO ALONG?
The trainer is happy to help you out in case you need assistance. Questions can be asked directly by email or through the trainer’s blog. However, the number and depth of the questions should be kept within reason and within the scope of the training course.