High frequency trading strategy
HiFREQ can be used independently as a stand-alone black box trading solution, or as part of the InfoReach TMS trading platform for a complete, end-to-end trading system. Its open, broker-neutral architecture allows users to create and deploy proprietary, complex trading strategies as well as access algorithms from brokers and other third-party providers. HiFREQ provides risk assessment of every order request and ensures compliance with pre-configured firm-specific trading constraints.
While components of HiFREQ can be distributed across various geographical locations all strategy performance monitoring and control functions can be performed from a centralized remote location.
Using two or more FIX connections can considerably increase throughput. To increase the efficiency and performance of the trading strategies their components can be designed to run concurrently. Strategy components can also be deployed across multiple servers that can be collocated with various execution venues.
You can never stand still because no matter how many thousands or millions of dollars you spend creating the infrastructure Latest addition to InfoReach TMS trading platform lets firms employ high-frequency algorithmic trading strategies.
InfoReach wants to give smaller shops the tools to be high-frequency traders. InfoReach, a company specialising in trading technology, has platforms capable of handling more than 10k orders per second. InfoReach has designed its technology to be implemented rapidly and with maximum flexibility. Strategies of the highest frequency, with position-holding periods of one minute or less. Portfolio construction, multistrategy portfolios. Factor models and factor based trading strategies.
Introduction to R 2. Dealing with time series data of different frequency, frequency conversion, data aggregation, plotting the series. Statistical and econometric analyses - correlation, regression, etc. Rolling analyses, storing partial results of analyses, loops and own functions.
Backtesting of trading strategies, calculating evaluation statistics. Portfolio construction and evaluation. Students will be able to analyze and aggregate high-frequency time series data. They will know how to prepare and backtest trading strategies, calculate appropriate evaluation statistics and select best performing strategy. In addition, students will be able to indicate successful strategies for different data frequencies.
Assessment of the lecture: Written, open book exam, covering topics discussed during the lectures. Assessment of the lab sections: Trading strategies project prepared in groups of 2 students. Building and backtesting a trading strategy for 5 series or groups of series — everyone exactly the same of different frequencies.