Intraday Trading & Market Microstructure
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.
 |
TBC |
 |
Duration: One day (9.00am to 5.00pm) |
 |
Location: Apex City of London Hotel – London, UK |
 |
Trainer: Ernest Chan |
 |
Course fee: £995 + VAT – Register online |
Course Outline
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 or 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
