Basic Program on Algorithmic Quantitative Trading

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 Basic Info : Course on Algorithmic Quantitative Trading
Level : Beginner
Commitment  : 12 hours of study, 2 Days, 8 sessions of 1.5 hours
Language : English
How To Pass : Attend all sessions and complete all assignments to pass the course

What Will I Learn

At the end of this course you will:

  • Network with data providers & brokers
  • Join Quant & Algo-trading firms
  • Automate your own trading strategies
  • Start your own Algo trading desk


  • Introduction to algorithmic trading (AT)
  • Building blocks of the algorithms
  • What, why, how, where off AT
  • Introduction to agency and prop side algorithms
  • Agency algo: VWAP, TWAP, Inline, Aggressive, Passive
  • Prop algo: Pairs, Trend following, High frequency etc.
  • Introduction to DMA, DSA, dark-pool, flash trading

  • Mathematical elements of AT (std, correl analysis)
  • Spread, volume curve and volatility introduction
  • Mean reversion and momentum introduction
  • Hands on training on designing a VWAP algorithm on Excel
  • Hands on training on designing an automated pair-trading algorithm on Excel

  • Lifecycle in development of AT
  • Hands on in back-testing and Monte Carlo simulation
  • Alpha generation: hands on using regression in Excel
  • Stress-test and simulated trading
  • Algorithm deployment and execution: CTCL, DMA, FIX etc.
  • Connectivity to liquidity pools: Exchanges, ECN, inter-dealer broker
  • Testing methods and live trading consideration

  • Introduction to risks in AT
  • Risk management in design and when live
  • Why quants fail (E.g.: LTCM)? Is it a new age nuclear race?
  • Examples from 1987, 2001 to recent US intra-day crash
  • Speed, co-location, latency, precision and scalability
  • Connectivity to liquidity pools: Exchanges, ECN, inter-dealer broker
  • Testing methods and live trading consideration
  • Trading costs: spreads, brokerage, turnover charges
  • Roles: trader, quant, IT, risk manager, compliance

  • Jargons in AT and what it means to a layman
  • History of AT
  • Automated scalping
  • Transaction cost reduction: VWAP, TWAP, Sniper, Slicers
  • Index arbitrage and Program trading, Options Trading
  • Dark pool strategies
  • Market making (sell-side) vs. liquidity extraction (buy-side)
  • High frequency / Ultra high frequency: low latency trading
  • Trend following, pair trading, delta neutral strategies, arbitrage

  • Business aspect of AT
  • Launch of AT, target markets, client-driven or product-driven?
  • Cost of development and deployment: OMS, systems, data, team
  • Integration with internal systems: OMS, compliance, back-office
  • Vendors and 3rd party: data, development, launch, maintenance
  • Revenue models on Agency: brokerage, guaranteed VWAP orders, slippage control, DMA/DSA
  • Revenue models on prop side
  • Competitive factors: slippage, execution, diversified algo
  • Maintenance and improvisation: factors and costing

  • Global trends in AT
  • What GS, MS, JPM, CS, DB, UBS etc. are doing?
  • Role of AT across multiple exchanges: E.g.: Flash Trading, SOR
  • Business strategies for sustainable growth and profitability globally: new markets, better algo, new products
  • Major trends across US, Europe and Asia-Pac
  • Government and regulatory structures globally
  • Volume generated globally using AT vs conventional trading
  • Exchanges, competition and a rush to attract AT volume

  • Where India stands in AT
  • Current regulatory approvals and exchange initiatives in India
  • Taxation, transaction cost in India: set-back to AT?
  • Current trends in India market: agency side, prop side
  • Current state of AT: Institutions (large orders) and arbitrage
  • Is AT possible and profitable at retail client level: If yes how?
  • Indian exchange challenges: cancellation, consumption of bandwidth, mad-liquidity rush, critical network issues
  • Growth projections in volume, market share and turnover using AT in next 3-5 years – India and globally

    How It works

       Live Classroom Sessions
    Each session is interactive and informative, featuring case studies, quizzes and projects

       Interact, Learn and Grow enables you to master the concepts, interact with expert faculty and other learners and be a part of the community whilst growing.

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