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.

June 8, 2018
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

Extended Exercise: Backtesting an order flow strategy with tick data