CFRM 551 Introduction to Electronic Trading

This course is an introduction to financial markets, instruments, exchanges, and the electronic trading process. Students will use paper trading accounts with both Interactive Brokers (www.interactivebrokers.com) and TradeStation (www.tradestation.com) to explore electronic trading of stocks, futures, and ETFs. Additionally, students will use the TradeStation Platform as well as the R language for statistical computing (www.r-project.org) to develop, evaluate, backtest, and optimize quantitative trading strategies. 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; Interactive Brokers Traders Workstation; TradeStation Platform (requires MS Windows operating system)
Prerequisites: 
CFRM 462 or free Coursera version (may be taken concurrently), or by permission.
Credits: 
4