Order book dynamics in High Frequency Trading

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

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