TTC 201 Market Microstructure and High Frequency Trading

Modern financial markets are highly driven by high-frequency trading firms, inducing more than 50% of general trading volume a day. In this module, we concentrate on the details of the price making mechanism and the behaviour of bid and ask side. The details of the limit order book mechanism are explained and how high-frequency traders use these mechanisms to make profits. Different high-frequency trading strategies are evaluated as well as the advantages and disadvantages of high-frequency trading discussed.

 

Our objective is:

  • Describe how modern limit order book driven markets work in detail
  • Understand the dynamics in modern market microstructure as well as the typical dynamics of order creation, deletion and trade execution
  • Have an insight into high-frequency trading as well as typically applied strategies such as HFT market making and spoofing

Part 1 How does the price discovery mechanism works

  • Show how are modern order book driven markets are organised
  • Explain the different market event types and how they effect the order book
  • Discover the typical behaviour of order intake and a limit order book during a day

Part 2 The fundamentals of high-frequency trading

  • Describe the mechanisms of high-frequency trading from beginning in 1980 until today
  • Describe how modern market microstructure favours high-frequency trading
  • Mark out the differences between ordinary financial trading business and technology driven high-frequency firms
  • Explain the advantages and disadvantages of high-frequency trading for the worldwide financial system

Part 3 High-Frequency Trading Techniques

  • Show different approaches used by high-frequency traders to trade the market
  • Describe the differences between illegal and legal high-frequency strategies
  • Explain the different provided order types as well as how they are used by high-frequency trading firms to exploit modern market microstructure

 

Contact [email protected] to learn more about our scheduled courses.

All efforts will be made to offer a fair response to cancellation of the course attendance. Course attendance can be cancelled at any time prior to the course commencing, in writing. If attendance is cancelled with over 30 days remaining before the course starts, a full refund of monies paid minus a £40 administration charge will be issued. If a cancellation request is received with between 29 and 7 days remaining before the course starts, a deduction of 10% in addition to the administration charge will be made before a refund is issued. If attendance is cancelled less than one week before the course starts, 70% of the monies paid in addition to the administration charge will be deducted before a refund is issued.
Full Payment is due 30 days before the course starts.
There are only 20 available places on the Course so contact us early for booking and course information. Contact [email protected] for Course registration details.
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Duration: 25th/26th June 2019

Testimonials

"I chose to study the Finance Trading Programme (FTP) as I wanted to get a more hands-on approach on complex financial topics. During normal lectures, we don’t have the time to see whether the theories we learn are applicable to the real world, and if they are, how. The Trading Programme provides me with the practical tools that I will need in the real world to analyse the markets and based on that, take trades." - MSc Investment and Finance Student

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