Slides for speech of EXANTE Managing Partners Vladimir Maslyakov and Anatoliy Knyaze , entitled "Practical aspects of algorithmic trading and high-frequency trading", on TradeTech Russia 2011
Presentation highlights the problems associated with the development of a model (pre-trade analysis), the launch of the strategy (trading) and the post-trade analysis, as well as an overview of the algorithmic trading in general, and a small glimpse into the future.
8. Historical Data
Width Depth Correctness
Instruments Past period Splits and divs
Venues Resolution Gaps
Corp. actions Order book Timestamps
News Counterparties Validation
35. Strategies
Multi-asset
ULL DMA HFT
trading
Buy-side or sell- FX, Eqty, Debt,
5μs / km side? Derivs
Market making Europe, USA, Asia
< 100μs / algo
Liquidity search Feeds and
and aggregation execution
106 msg / sec Fast and reliable
Stat arb
data