Electronic Trading and Algorithmic Execution

London Financial Studies
Training overview
Professional Course
3 days

Course description

London Financial Studies Training

Electronic Trading and Algorithmic Execution - 3 day Training Course

This course provides a detailed investigation of the latest developments in electronic trading and algorithmic execution. We look at Foreign Exchange, Equities, and Fixed Income electronic trading and the impact this is having on market developments today.

The first day of the program begins by understanding the nature of different electronic market places and examines different types of orders. In the afternoon we look into methods for algorithmic execution. Day two focuses on electronic market-making and the market microstructure, examining both the market risks and regulatory challenges.

Day three comprises of a more advanced, in-depth coverage of execution algorithms alongside trading strategies and signals. It examines in detail the evolving structure of the markets as driven by regulation and analyzes ways to achieve and demonstrate best execution.

Practical workshops allow delegates to explore the implementation of execution algorithms as well as methods to benchmark performance and calculate transaction cost metrics.

Learning Objectives:

  • Gain familiarity with the landscape of electronic markets
  • Distinguish between different types of exchanges and order types
  • Learn how to calculate the costs associated with different types of orders in terms of spread and execution certainty
  • Analyze the various methods of algorithmic execution
  • Learn how to design a market-making engine
  • Acquire knowledge of the market microstructure and of how to benefit from this
  • Gain understanding of current regulations with regards to electronic trading
  • Compare execution methods for trading against benchmarks
  • Understand what impact regulations are having on market structure
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Who should attend?

  • Traders, portfolio managers, and execution desks
  • Sales people and client advisors
  • Business analysts and COOs
  • Risk managers
  • Compliance officers and internal audit
  • Quantitative analysts and technologists

Training content

Day One

Electronic Markets

  • Overview of e-trading in Equities and Fixed Income
  • Exchanges, ECNs and Dark Pools
  • Principal and agency trading
  • The Limit Order Book

Order Types

  • A comparison of different order types
  • Market Orders and Limit Orders
  • Immediate-or-Cancel, Fill-or-Kill, Iceberg Orders

Workshop: Comparing order types – spreads and slippage

Algorithmic Execution

  • A look at various methods of algorithmic execution: VWAP, TWAP, Arrival price
  • Volume prediction
  • Slippage and Information leakage
  • Market impact: temporary or permanent
  • Transaction Cost Analysis (TCA)
  • Almgren-Chriss model for optimal execution

Workshop: Algorithmic execution in practice: how to calculate the real cost and achieve best execution

Day Two

Electronic Market-Making

  • Components of a market-making engine
  • Price streaming and liquidity
  • Pricing and hedging
  • Skewing and risk-management
  • Grossman-Miller model for market-making


  • A look at market microstructure
  • Generating Trading Signals
  • Order book imbalance
  • Lead-lag, momentum, correlation

Workshop: How to build a trading signal

High Frequency Trading

  • Definitions and examples of HFTs
  • How to build a low-latency network

What Can Go Wrong and How to Avoid It

  • Flash crashes
  • Operational risk and the Swiss Franc collapse
  • Algorithmic chaos: Knight Capital

Regulation for Electronic Trading

  • Benchmarks and the Fair and Effective Markets Review
  • Spoofing and layering: Dodd-Frank and the Volcker Rule
  • The Global Code
  • MAR and MiFID II

e-trading Risk Measures

  • Market, credit, operational, and reputational risk

Day Three

Advanced Algorithmic Trading Advanced Execution Strategies

  • Classification of algorithms for execution
  • Opportunistic algos: Stealth, Guerilla, Snipes, and Sniffers
  • Execution around a benchmark: LIBOR, WM FIX, and Market Close
  • Pitfalls of benchmarks
  • Latency in execution
  • The Bleeding Edge of algo development

Workshop: Benchmark performance

Algorithmic Trading Strategies and Signals

  • Stat-arb trading strategies
  • Strategy evaluation
  • AI and Machine Learning in strategies and signals
  • Signals: evaluation, back-testing, A/B testing
  • Measuring signals: realized profit, avoided loss, missed opportunity
  • How to construct stronger signals
  • Use of signals in algo execution

Market Structure and the Impact of MiFID II

  • Why market structure is evolving
  • Impact by asset class of algorithmic trading
  • Non-bank Liquidity Providers
  • Proliferation of Trading Venues:
    • Systematic internalizers
    • Mid-matching venues
    • Periodic Auctions
  • Is transparency good or bad for algorithmic trading?

Workshop: Transparency and information leakage

Best Execution

  • MiFID II and RTS 28
  • Independence of data and analytics
  • Algo wheels
  • Pre-hedging and market impact
  • Best execution versus optimal execution
  • Advanced Transaction Cost Analysis

Workshop: Transaction Cost Analysis metrics

Certification / Credits

London Financial Studies is registered with CFA and GARP Institute as an Approved Provider of continuing education programs. 

About London Financial Studies

London Financial Studies

Global markets move quickly, evolving continuously and deepening in complexity. Over the past decades London Financial Studies has provided specialist executive education programs and short courses focused exclusively on global capital markets. Preparing only the highest quality and most relevant...

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