Dates and Locations

30 Sep - 01 Oct	London, UK	London Chamber of Commerce >>

Course Outline: Algorithmic Trading Workshop

Designed for both buy and sell-side market participants, this 2-day workshop will equip delegates with a comprehensive overview of all aspects of algorithmic trading and execution.

DAY 1
Introduction - Course Objective
- Why Electronic & Algorithmic Trading?
- Management Motivation: Lower Costs, Regulatory intervention and Automation

Part I - Overview of Algorithmic Trading
- History: Buy Side and Sell Side participants
- Technology that has made algorithms possible: FIX protocol, Decimalization
- Business landscape and regulatory intervention: alternative execution venues, regulation (NMS / MiFID)

Part II - Trade Flow & Automation
- Trade Life Cycle: Front to back office trade ticket process, confirmations / reconciliation / settlements
- Data Management: Security Master (static data)
- Order Routing and Order Management Systems: Strategy enablers, order routing

Part III - Algorithmic Strategies
- Types of strategies: Volume Weighted Average Price (VWAP), Time Weighted Average Price (TWAP), Implementation Shortfall, Volume Participation, Smart Routing Methods
- Recent Developments

Part IV - Algorithmic Feasibility
- Pre-trade requirements, utilizing algorithms
- VWAP Strategy, Implementation Shortfall example

Part V - Electronic Trading Networks
- Direct Market Access (DMA), Electronic Communication Networks (ECN)
- Dark Pools (Public Crossing Networks, Internalization Pools, Ping Destinations, Exchange-Based Pools, Consortium Based Pools)

Part VI - Regulatory Intervention (U.S. & Europe)
- History of NYSE Rule 390, Regulation National Market System (Reg, NMS)
- Markets in Financial Instruments Directive (MiFID)
- Regulatory & Exchange Reporting

Part VII - Alternative Execution Venues
- Structure of Exchanges (NYSE)
- Project Turquoise - Multilateral Trading Facilities (MTF), Chi - X Europe Ltd., Equiduct Trading, BATS Trading Inc.

DAY 2
Part VIII - Algorithms for Different Asset Classes
- Fixed Income Markets
- Foreign Exchange Markets

Part IX - Building versus Buying a trading platform
- Overview of trading platforms
- Software vendors as a service provider

Part X - Algorithms and Prime Brokerage
- Prime Brokerage services
- Impact of automation

Part XI - Implementation of Trading Platforms
- Role of trading system
- Software life cycle, and User Acceptance Testing (UAT)

Part XII - Case Studies with Guest Speakers
- Harrell Smith, Head of Product Strategy Group, Portware
- Nick Druett, Vice President AES, Credit Suisse