CFRM 551: Introduction to Electronic Trading

This course introduces students to quantitative trading systems development.

Includes an overview of financial markets, instruments, exchanges, and the electronic trading process. Students will then us a paper trading account with Interactive Brokers (http://www.interactivebrokers.com) to explore electronic trading of stocks, futures, and ETFs. After this preliminary material, students will learn to use the R language for statistical computing (http://www.r-project.org) to develop, evaluate, backtest, and optimize quantitative trading strategies using the R packages xts, quantmod, blotter, quantstrat, and PerformanceAnalytics.

Topics include:

  • Asset classes, financial instruments, and trade orders
  • Direct access trading and market microstructure
  • Interactive Brokers, Traders Workstation, and the IB Student Trading Lab
  • Quantitative trading strategy development with the TradeStation Platform
  • Quantitative trading strategy with R and the quantstrat package
  • Trading strategy evaluation, optimization, and backtesting
Instructor: 
Guy Yollin
Textbooks: 
Algorithmic Trading and DMA: An introduction to direct access trading strategies by Barry Johnson, 4 Myeloma Press, 2010 Trading Systems: A new approach to system development and portfolio optimization by Emilio Tomasini and Urban Jaekle, Harriman House
Software: 
R language for statistical computing along with the following R packages: quantstrat, blotter, PerformanceAnalytics
Prerequisites: 
CFRM 463 or equivalent, CFRM 462 or equivalent, or by permission.
Credits: 
4