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HFT – Strategies and Architecture

– Market Data

  • The importance of understanding the market data in developing back testing tools and models
  • Handling of the HFT data
  • What are the reliable sources of data

– Order Book Dynamics

  • Significance of large orders
  • Order book events
  • Queue Priority

– Identifying High Frequency Trading algorithms

  • Order placement dynamics (Net position)
  • Timestamp pattern recognition
  • Trading algorithms
  • Competitor algos going wrong

– Coding and simulation examples

  • Time Series analysis
  • Multivariate analysis

– Analyzing execution tactics and techniques

  • Impact-driven
  • Price + Risk-driven tactics
  • Opportunistic + Liquidity-driven tactics
  • Developing back-testing tools
  • Strategy selection
  • Creating & optimizing indicators
  • Order simulation model

Posted February 06, 2015 in: by ammin

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