Order book dynamics in High Frequency Trading

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. - This Webinar on "Order book dynamics in High Frequency Trading" conducted by QuantInsti. In this video Mr. Gaurav Raizada, Director and Faculty at QuantInsti explains - How execution algorithms provide a price which is between Limit Order Execution and Market Order Execution.

An important task of high-frequency trading is to successfully capture the dynamics in the Data. Empirical Data on Indian Exchanges show that 95% of all NEW orders are placed within 5 ticks of best-bid and best-ask.

The Quantinsti® Replacement Matrix shows that most of the orders that are being replaced are among the top 3 levels and these replacements allow us to visualize and generalize about market behaviour. This matrix gives a visual representation of the cost metrics and replacement behaviour.

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Want to understand order books in HFT in depth?

QuantInsti's flagship offering is the 'Executive Programme in Algorithmic Trading' (EPAT) which is a comprehensive course covering all important aspects of Algorithmic Trading.

Apart from detailed theoretical lessons, we provide our course participants in-house proprietary tools and other globally renowned applications in a simulated environment -- course participants can design, implement and test their strategies in such environment and build on their learning in the class.
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QuantInsti is the world's leading algorithmic and quantitative trading research & training institute with registered users in 190+ countries and territories. An initiative by the founders of iRage, one of India’s top HFT firms, QuantInsti has been helping its users grow in this domain through its learning & financial applications-based ecosystem for 10+ years
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Chapters:
00:00 Welcome, introduction and session objective
01:15 Why do I need to learn about Order books?
10:43 Types of Orders
12:52 Order books examples
15:53 Characterization of execution algorithms
31:40 Development of NSE
33:25 How high frequency trading works?
38:30 Introduction of new instruments
39:11 Understand automated trading system
46:34 Tips for strategy development
49:25 Q&A

#Orderbookdynamics #HighFrequencyTrading #QuantitativeTradingStrategy #algotrading #algorithmictrading #quantinsti