Algorithmic Trading and DMA: An introduction to direct access trading strategies

Category: Investing
Author: Barry Johnson
4.2

Comments

by kevstev   2018-10-14
Generally low level C++ will do it. I have been out of the game for about 5 years now, but when I left the game was all about speed speed speed. We weren't trading smarter anymore, it was just about trading fast. If you are faster, you don't just put an order out there with an opinion that the market will move in your favor, you get an immediate risk free return (risk free assuming operationally everything works as expected). I also worked on the "benchmark strategy" side- VWAP/TWAP type algos, when they were very new, and there was some statistics involved but the math was fairly simple. I haven't kept up with that side of the space, I am sure they have added complexity, but fundamentally you are looking at how a particular security has traded in the past- IE how much volume does it tend to trade at 10am vs 10:30 vs 11am, compare that with market statistics for the current day- is it high or low volume, is volatility higher- and apply some heuristics about what % of a parent order to put in the market at any given time.

This is a bit separate from the actual execution in the market, which is called smart order routing, and that just focuses on speed.

The best book on this still seems to be the now almost 10 year old "Algorithmic Trading and DMA" by Barry Johnson. If you want to get a feel for the strategies involved, this is your best bet: https://www.amazon.com/Algorithmic-Trading-DMA-introduction-...

As for job titles, they tend to be generic like "infrastructure developer, strategist" but look for key words like "Smart Order Router, Algorithmic Trading, Index Arb (itrage), statistical arbitrage, market making, dark pool. I put two of those in Morgan Stanley's site and got a bunch of relevant hits. Posting numbers 3119617 3120636 are actual jobs in this space.

A better bet is to just look at job openings for the companies who specialize in this stuff- Virtu, Jump, Hudson River Trading, Citadel Securities, etc...