Millisecond Frequency Trading (MFT)

This one-day workshop looks at the issues related to the research and backtesting of higher frequency trading strategies in the millisecond range. We call this Millisecond Frequency Trading, or MFT, as opposed to High Frequency Trading (HFT) which typically takes place at microsecond frequency. In-class exercises in backtesting MFT strategies will be conducted in MATLAB. No prior knowledge of MATLAB is required. (Note: Students will be able to apply the principles learnt during the workshop, regardless of which software they choose to use thereafter).

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 MFT Issues

+ Why we may need to understand HFT/MFT even if we are not trading at high frequency
+ Thin NBBO liquidity
+ Adverse selection
+ Last-look in FX
+ Use and abuse of dark pools: Avoiding toxic dark pools
+ Do you know where your order went?

HFT Gaming

+ Front-running
+ Ticking
+ Ratio trade
+ Stop hunting
+ Hide and light
+ Queue jumping

Order Type Optimization

+ Immediate or cancel
+ Intermarket sweep order
+ Hide and light order
+ Day ISO
+ Choice of order types to minimize HFT predation

The Physics of MFT

+ Colocation
+ Consolidated and direct data (ITCH) feeds


+ Choices of live trading vs backtesting platforms for MFT
+ Choices of historical data for backtesting MFT

MATLAB Tutorial
Special Topic: Order Flow

+ Predictive power of order flow
+ Methods of computing order flow

Exercise: Backtesting an order flow strategy with tick data