Systemathics Training
High Frequency Trading, from backtest to production
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Program
Introduction
- Quantitative strategies
- Low and High Frequnecy strategies
- Basket Trading
The challenges and constraints
- Real timel, Multi-Threading, events, Latency, Fees …
- Complexity of algorithms
- Code Invariant : backtest / production
- Maintenance and production costs
Modeling and Implementation
- Data treatment
- Decision making
- Execution simulator
- Orders / status management
- Meta-Strategy / Strategy
- Security
Case study
- Simple : Pair Trading
- Complete : Basket Trading
Extension
- Technical Indicators, Smart Orders, Virtual Market
Duration
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