This e-learning workshop explores defensive measures against high frequency trading strategies, and 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.
Our e-learning workshop is designed to give you everything you need to know to get started and includes:
- Online course module (8 hours)
- MATLAB software (1 month) with MATLAB tutorial (3 hours) and sample data
- Direct access to the trainer for assistance
- Course duration: 6 hours
- Access period: 3 months
- Trainer: Ernie Chan
- Course fee: £895 + VAT
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
- Flash crashes and liquidity withdrawal
- Ratio trade
- Stop hunting
- Hide and Light
- Queue jumping
Order type optimization
- Immediate or Cancel
- Intermarket Sweep Order
- Hide and Light order
- Day ISO
The Physics of MFT
- Consolidated and direct data (ITCH) feeds
- Choices of live trading vs backtesting platforms for MFT
- Choices of historical data for backtesting MFT
- Predictive power of order flow
- Methods of computing order flow
- Extended Exercise: Backtesting an order flow strategy with tick data
Frequently Asked Questions
WHAT IS THE TIMELINE FOR THE COURSE?
This course is pre-recorded and available indefinitely for viewing on Adobe Connect.
HOW LONG SHOULD IT TAKE ME TO COMPLETE THE COURSE?
We provide indefinite access to the online material to give students a chance to take things at their own pace, but we expect most people to take no longer than a week to complete the course.
WHAT KIND OF MATLAB ASSISTANCE AM I PROVIDED WITH?
There is a MATLAB tutorial included in the workshop. If you have used MATLAB before, you should find it quite easy to complete the exercises, which do not require extensive programming. No prior knowledge of MATLAB is in fact necessary, although some general experience in programming using other simple languages would be useful.
WHEN WILL MY MATLAB LICENCE BEGIN?
You are advised to go through the online material first, then let us know when you are ready to start the course in conjunction with the MATLAB exercises, at which point we will request that your MATLAB licence begin. Please bear in mind it may take a couple of days to set you up with MATLAB.
IS THE COURSE STILL USEFUL IF I HAVE NO INTENTION OF USING MATLAB?
Yes, the main aim of the course is to communicate the principles of millisecond frequency trading. Furthermore, MATLAB programming code can be adapted fairly easily into ‘R’, an open-source alternative.
WHAT DOES THE ONLINE COURSE MATERIAL COMPRISE?
The online course material is made up of two modules. The first module is the main course and consists of slides with the trainer’s narration. The second module consists of a tutorial covering the essentials of MATLAB programming.
WILL I BE ABLE TO ASK QUESTIONS AS I GO ALONG?
Unlimited Q&A will be conducted on the course Slack channel.