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
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