EXANTE: Practical aspects of algorithmic trading. Bitcoin hedge fund. SSE Riga lecture 23.01.2014....
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Transcript of EXANTE: Practical aspects of algorithmic trading. Bitcoin hedge fund. SSE Riga lecture 23.01.2014....
Practical Aspects of
Algorithmic Trading.
Bitcoin hedge fund.
Gatis Eglitis, Managing Partner
Sergey Troshin, Ph.D., Head of IT Strategy and Operations
Part 2: Algo trading
2
Algorithmic trading Modeling the strategy
Implementing the model
Result analysis
Production
Choosing a broker Prices
Technologies
Stability
What is next?
Contents
Automatic trading
Buy-side Sell-side
Statistical
arbitrage VWAPMarket Making / HFT
Trend
following
Arbitrage
Smart order
routing
Algo trading strategies
Arbitrage
GAZPRU
(MICEX)
On new tick:
ogzd_rub = convert(ogzd, usd_rub)spread = normalize(ogzd_rub/gazpru)
changedSpread()
OGZD
(LSE)
USD/RUB
(FOREX)
LIMIT (LSE)
London Server
Filled (size)
MARKET (MICEX)
Filled (price)
On change spread:if (spread > threshold) place_limit(OGZD, price, size)
On limit fill:If (limit_is_filled) place_market(GAZPRU, size)
Arbitrage strategy
Parameters: threshold
Historical Data
Completeness
Symbols
Exchanges
News
Depth
Past
Precision
Order Book
Quality
Splits etc.
Gaps
Timestamps
Approval. Pre-trade Analysis
Input
• Historical data
• Market influence modeling
• Configuration parameters
Backtesting
• Prototype (R / Python / Java / C++ / Mathlab/ Erlang / …)
• GPU
• Cluster / Cloud / …
Result
•Possible income
•Risks
•Real Expenses
Backtest Results
Param 1 Param 2 … Income Expenses
X1 Y1 … 10% 4%
X1 Y2 … 15% 11%
… … … … …
Xn Yn … 5% 2%
Execution with:
o same input data
odifferent set of parameters values
Broker Connection
Broker
Client Computer
Trading terminal
Algorithm
Control
Trading
Internal
Protocol
Broker Connection
Broker
Client ComputerWidely used protocols:
FIX, Plaza2, Technology
providers, Custom
TraderAlgorithm
General
Exchanges/Markets coverage
Trading volumes
Regulation issues
Legal issues
Commissions and fees
Technology
Market data
Delays
Market Depth Best Bid Offer
Trades
Execution
Delays
Client side / Server side
Pre-trade risks, Software
Connection
Protocol
Virtual Machines
Co-location
Control
Trades Export
Interface
Error handling