Order Book Dynamics in High Frequency Trading [WEBINAR]

Update:

Mr. Gaurav Raizada, co-founder of QuantInsti, spoke at the webinar on Order Books Management in High Frequency Trading. He discussed Quantinsti® Replacement Matrix after covering the basics on order book management theory for high frequency traders. The Quantinsti(R) Replacement Matrix shows that most of the orders that are being replaced by the new orders are among the top 3 levels and these replacements allow us to visualize and generalize about market behaviour.

Video

In this webinar we learn about how you can capture the dynamics in data. We will also learn about:

  • Limit Order Book
  • Limit Order Execution
  • Market Order Execution
  • Quantinsti® Replacement Matrix

We also get a gist of Empirical Analysis on Indian market data and how Quantinsti® Replacement Matrix can help us visually represent the cost metrics and replacement behaviour.

Presentation

If you would like to learn the in-depths of Order Book Dynamics in High Frequency Trading, you might want to join us for the Executive Programme in Algorithmic Trading (EPAT) and become a Certified Algorithmic Trader.


Invitation post on May 17, 2015:

Order Book Dynamics

An important task of high frequency trading is to successfully capture the dynamics in the Data. Empirical Data on Indian Exchanges show that 95% of all NEW orders are placed within 5 ticks of best-bid and best-ask. The Quantinsti® Replacement Matrix shows that most of the orders that are being replaced are among the top 3 levels and these replacements allow us to visualize and generalize about market behaviour. This matrix gives a visual representation of the cost metrics and replacement behaviour.

Execution Algorithms provide a price which is between Limit Order Execution and Market Order Execution. Market Orders guarantee execution within a certain time but the price that it may get the trader remains uncertain. Limit Order guarantees the price but it may remain un-executed if price moves away. Most Execution Algorithms balance between these two order types.

The speaker, Mr. Gaurav Raizada, will be discussing Quantinsti® Replacement Matrix in the webinar along with basics on order book management theory for high frequency traders.

Presenter

Gaurav RaizadaMr. Gaurav Raizada is the Director at iRageCapital Advisory Private Ltd. And Co-Founder of QuantInsti Quantitative Learning Pvt. Ltd., leads the firm’s advisory practice in India on the Systems, Performance and Strategies. He has consulted extensively with core focus on strategy development and execution including trading systems development, latency reduction, optimization and transaction cost analysis.

Eligibility

Interest in stock markets, options trading, commoditiy trading, programming, hedge funds, enjoy data analysis, statistical analysis, equity research, technical analysis, fundamental analysis, basic knowledge of financial modelling, equity research, derivatives.

Date Time
2nd June 2015 (Tuesday) 6:30 PM IST (9:00 PM SGT)

Next Step

If you’re a retail trader or a tech professional looking to start your own automated trading desk, start learning high-frequency trading today! Begin with basic concepts like automated trading architecture, market microstructure, strategy backtesting system and order management system. You can also enrol in our algorithmic trading course EPAT which is one of the most extensive certification programmes available in the industry.

3 thoughts on “Order Book Dynamics in High Frequency Trading [WEBINAR]

  1. November 20, 2016

    raj Reply

    there isn’t a single mathematical model that you have explained in your presentation.

  2. November 20, 2016

    raj Reply

    I was hoping you would go over the sfgk model, or the carmona webster model or even the cont stoikov talreja model and show the implementation in your presentation. Which, you haven’t done. No offense, but the presentation material looks more like its geared towards middle schoolers and not professional quants per se.

    • May 10, 2017

      Rajat Bhatia Reply

      That is a good point. The presentation covers the basics of HFT ony.

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