EXANTE: Practical aspects of algorithmic trading. Bitcoin hedge fund. SSE Riga lecture 23.01.2014....

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  • 1.Practical Aspects of Algorithmic Trading. Bitcoin hedge fund. Part 2: Algo tradingGatis Eglitis, Managing Partner Sergey Troshin, Ph.D., Head of IT Strategy and Operations

2. Algorithmic trading Modeling the strategy Implementing the model Result analysis ProductionChoosing a broker Prices Technologies StabilityContentsWhat is next? 2 3. Strategy implementation Algorithmic tradingAutomatic trading HFT high frequency trading 4. Algo trading strategies ArbitrageAutomatic trading Buy-sideSell-sideTrend following Statistical arbitrageSmart order routing Market Making / HFTVWAP 5. Arbitrage London Server Arbitrage strategyOn new tick: GAZPRU (MICEX)ogzd_rub = convert(ogzd, usd_rub) spread = normalize(ogzd_rub/gazpru) changedSpread()OGZD (LSE)On change spread: if (spread > threshold) place_limit(OGZD, price, size)USD/RUB (FOREX)On limit fill: If (limit_is_filled) place_market(GAZPRU, size)LIMIT (LSE) Filled (size)MARKET (MICEX) Filled (price)Parameters: threshold 6. Volume Weighted Average Price 7. Algorithm creation cycleDataGuessModelApproval 8. Historical Data CompletenessDepthQualitySymbolsPastSplits etc.ExchangesPrecisionGapsNewsOrder BookTimestamps 9. Data RenderingTechnical analysisHuge VolumeProcessing Speed panopticon.com 10. Guess and Knowledge FundamentalEmpiricalIntuition 11. Trading Model Alfa AlgorithmRisksExpenses 12. Approval. Pre-trade AnalysisInputBacktestingResult Historical data Market influence modeling Configuration parameters Prototype (R / Python / Java / C++ / Mathlab / Erlang / ) GPU Cluster / Cloud / Possible income Risks Real Expenses 13. Backtest Results Execution with: o same input data o different set of parameters values Param 1Param 2IncomeExpensesX1Y110%4%X1Y215%11%XnYn5%2% 14. Computational TechnologiesSoftwareOverclockingFPGAMulti-coreGPGPUCloudx32x200x30000 15. Algorithm creation cycleDataGuessModelApproval 16. Ready to Production? 17. Choosing a broker17 18. Broker Prime brokerVolumesDelaysCommissionsRetail broker 19. Broker Connection Client Computer ControlInternal ProtocolBrokerTrading terminalTradingAlgorithm 20. Broker Connection Widely used protocols: FIX, Plaza2, Technology providers, CustomClient ComputerBroker AlgorithmTrader 21. Broker Connection Client ComputerBroker RDP, SSHTrader Algorithm 22. General Exchanges/Markets coverage Trading volumes Regulation issues Legal issues Commissions and fees 23. Technology Market dataExecutionConnectionControlDelaysDelaysProtocolTrades ExportMarket Depth Best Bid OfferClient side / Server sideVirtual MachinesInterfaceTradesPre-trade risks, SoftwareCo-locationError handling 24. Servers and locations 25. What is next?25 26. Post trade analysis ExcelProgram Export Trade ResultsChartsModel 27. Compare with model 28. Algorithmic Trader Math TechnologyFinance 29. Questions? Sergey Troshin, Director +356 2015 0000, st@exante.eu29 30. NEXT GENERATION PRIME BROKER