COMMERCE 3FH3 Lecture Notes - Lecture 8: Ultra High Frequency, Algorithmic Trading, Market Maker
19 Oct 2020
School
Department
Course
Professor
Document Summary
The median was a 74 for the 3fh3 midterm. Algorithmic trading: algorithm = a set of rules, usually does involve computers, high frequency trading (hft, small orders sent in at high speeds , execution times are microseconds. Buy: ultra high frequency trading (ultra-hft) and sell within a second, microseconds, will become nanoseconds as technology progresses short. Latency: the delay before the transfer of data. To prevent latency resulting from living a far distance from where the news originates, high frequency traders must live in the city with the stock exchange (eg. new york, toronto) Selling a huge quantities of shares, but doing it bit by bit in smaller bunches of shares. This way, after each sale the bid price has time to climb back up in price before you sell the next share. Strategy implementation algorithms: you may have certain rules in your head. This algorithm is in charge of actually executing it.
