Slides for speech of EXANTE Managing Partners Vladimir Maslyakov and Anatoliy Knyaze , entitled "Practical aspects of algorithmic trading and high-frequency trading", on TradeTech Russia 2011
Presentation highlights the problems associated with the development of a model (pre-trade analysis), the launch of the strategy (trading) and the post-trade analysis, as well as an overview of the algorithmic trading in general, and a small glimpse into the future.
Optimize the parameters Model Results Testing Trading
I. Algorithmic tradingII. Develop the modelIII. Launch the strategyIV. Analyze the resultsV. Trends
Adoption100 FORTS CME GLOBEX Vol, % Msgs, % 90 E-mini S&P 500 Futures 51.66 69.9390 EuroFX Futures 69.32 83.4180 Eurodollar Futures 51.29 64.4670 60 Crude Oil Futures 35.34 71.2460 Algorithmic Trading and Market Dynamics July 15, 20105040 Foreign Exchange Buy-side, % Sell-side, %30 Order Routing 25 9220 Time-slice 25 1510 Liquidity 42 46 0 Alpha 92 39 Vol, % Msg, % FX Hedging 25 39 Estimated by FORTS 09.2011 Streambase 2011 Special Report on FX
Dodd-Frank Swap Execution Facility.SEC 15c3-5 Eliminate naked access to exchange.MiFID II Crossing networks, derivatives, HFT.
Algotrader: a new breed MathematicsTechnology Finance
Strategies Multi-assetULL DMA HFT trading Buy-side or sell- FX, Eqty, Debt, 5μs / km side? Derivs Market making Europe, USA, Asia< 100μs / algo Liquidity search Feeds and and aggregation execution106 msg / sec Fast and reliable Stat arb data