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Electronic Trading and Algorithmic Execution

London Financial Studies
Course summary
3 days
4,995 USD, 3,990 - 4,995 GBP
English
Corporate Training for Teams
Next available date: 09/12/2019 09:00 - New York
Course Dates
New York
09/12/2019 09:00  (English)
4,995 USD
20/04/2020 09:00  (English)
4,995 GBP
Singapore
06/04/2020 09:00  (English)
4,995 USD
London
19/10/2020 09:00  (English)
3,990 GBP

Course description

Electronic Trading and Algorithmic Execution 

This hands-on, advanced course investigates the current state of electronic trading in both Equities and Fixed Income markets with a close look at the electronic Foreign Exchange markets.

The first day of the programme looks into the nature of electronic markets and examines different types of orders and 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. Participants will examine in detail the evolving structure of the markets as driven by regulation and analyze ways to achieve and demonstrate best execution.

Practical workshops allow participants to explore the implementation of a market-making engine as well as analyzing methods of algorithmic execution, benchmark performance and TCA metrics. 

Suitability - Who should attend?

"Electronic Trading and Algorithmic Execution" course is intended for:

  • Quants / Financial engineers
  • Electronic traders and Book-runners
  • Electronic trading technologists / developers
  • Algorithmic traders
  • Execution desks
  • Sales people
  • Structurers
  • Market Risk
  • Risk managers
  • Researchers

Applicants are expected to have a basic understanding of capital markets and securities trading.

Outcome / Qualification etc.

Learning Objectives:

  • 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

This course is eligible for CE/CPD credit hours from CFA and GARP Institutes.

Course leader

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

Day One

Electronic Markets

  • Overview of e-trading in Equities and Fixed Income
  • Exchanges, ECNs and Dark Pools
  • Principal and agency trading
  • The Limit Order Book

Order Types

  • 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

Algorithmic Execution

  • 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
  • Almgren-Chriss model for optimal execution

Workshop: Algorithmic execution in practice: how to calculate the real cost and achieve best execution

Day Two

Electronic Market-Making

  • Components of a market-making engine
  • Price streaming and liquidity
  • Pricing and hedging
  • Measuring electronic risk exposure
  • Grossman-Miller model for market-making

Signals

  • 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
  • The Swiss Franc collapse
  • Knight Capital

Regulation for Electronic Trading

  • Fair and Effective Markets Review
  • Spoofing, layering
  • FX last-look

Workshop: How regulation affects markets: last-look pricing

Day Three

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

Workshop: Benchmark performance

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

Best Execution

  • 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

About provider

London Financial Studies - Capital Markets Learning

Exclusive training for Capital Markets & Investment Bankers in Europe, Americas and Asia Pacific

London Financial Studies are specialists in delivering professional development for finance professionals focusing on capital markets. LFS provide individuals, teams and companies with expert teaching that combines theoretical understanding with practical experience, giving them the knowledge to operate at the...


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Contact info

London Financial Studies

34 Curlew Street
SE1 2ND London

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www.londonfs.com


Reviews

Average rating 5

Based on 10 reviews

Technology Auditor
(5)
LFS Electronic Trading and Algorithmic Execution has been the most relevant explanation I have been given on the topic.
Head of risk management in London
(5)
This course struck the perfect balance between market insight and a practical and implementable framework for the algorithmic trading challenges of today.
Associate
(5)
In this course I have boosted my knowledge in Algorithmic strategies. Also, in only 3 days I have confirmed a lot of assumptions we made after 3 years developing algorithmic strategies.
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