All About High-Frequency Trading (All About Series) by Michael Durbin

By Michael Durbin

A targeted PRIMER ON cutting-edge such a lot refined AND debatable buying and selling TECHNIQUE

Unfair . . . great . . . unlawful . . . inevitable. High-frequency buying and selling has been defined in lots of alternative ways, yet something is for sure--it has reworked making an investment as we all know it.

All approximately High-Frequency Trading examines the perform of deploying complex laptop algorithms to learn and interpret industry job, make trades, and pull in large profi ts―all inside milliseconds. no matter what your point of making an investment services, you will achieve important perception from All approximately High-Frequency Trading's sober, aim motives of:

  • The markets during which high-frequency investors function
  • How high-frequency investors profi t from mispriced securities
  • Statistical and algorithmic concepts utilized by high-frequency investors
  • Technology and methods for development a high-frequency buying and selling procedure
  • The ongoing debate over the benefi ts, dangers, and ever-evolving way forward for high-frequency trading

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Additional resources for All About High-Frequency Trading (All About Series)

Sample text

Here we see part of what’s known as a depth of book view of a sample market. 10. These off-market quotes sit in the wings, as it were, waiting to go on stage. 00 bidder, that bid would be removed from the market and the best bid would become 550 bid for 99 cents. (Selling at a bid, by the way, is known as hitting the bid. 16,17 15 Buying at the offer is also known as taking the offer. This is sometimes known as walking the book. Some exchanges handle this differently, for example by converting the remaining order quantity to a limit order.

Then, the two parties in agreement might step away to actually carry out their trade—or clear it, if you will—by exchanging the goods for coins or onions or whatever. At a modern securities exchange, where buyers and sellers are matched predominantly by electronic means, the haggling is done at a place known as the order book. Every exchange 13 Later we’ll learn about reserve orders, which an exchange considers for purposes of matching but does not display. A dark pool is not terribly unlike an exchange where all orders and quotations are treated this way.

The routine for starting your car is an algorithm. So is my special recipe for margaritas. And so are the things market-makers do—but they aren’t considered algorithmic traders. Go figure. So because investors using automated trading techniques are known as algorithmic traders, the strategies here are also known as algorithmic strategies. They are also sometimes known as automated trading, black-box trading, or robo trading strategies (despite, again, those terms doing quite a good job of describing what a market-maker does as well).

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