Please note: The syllabus below is from 2016/17 and subject to change.
This class teaches the theory and practice of how to design a trading system.
Since 1998, after the U.S. Securities and Exchange Commission authorized electronic exchanges, the financial world has been using computer science extensively. The High Frequency Trading became a main actor of the main exchanges across the world.
During this course, we will learn how to create a reliable high-frequency trading system.
This course meets once a week for lectures and once a week for an optional TA session. Even if not recorded, attendance in class is strongly encouraged. Most of the coursework revolves around 1 programming assignment, as the primary focus will be for students to code. There will be one presentation (Week 5) and one Final Exam (Week 10). The course calendar, including the contents of each lecture is shown at the end of this page.
On Week 11, volunteers will present a topic on trading systems (the grade will provide extra points to your homework assignment).
The final grade will be based on the following:
Written assignments: 15%
Programming assignments: 50%
Midterm Exam (project presentation): 10%
Final Exam: 25%
Prorated points will be applied according to the number of late days.
1 day late: 75% of the grade will be considered.
2 days late: 50% of the grade will be considered.
3 days late: 25% of the grade will be considered.
After 3 days, no assignment will be accepted.
We will be giving a final exam at Week 10. The final exam is worth 25% of the grade.
The final exam will be a closed-book written exam on the whole content of the class.
The questions of this exam will be on the content of the lecture and the compiler project.
We will assign simple written problems at the end of each lecture that will be due the following week. The goal of these assignments is to make you understand the course better. Some content can be hard to appreciate in class, and we encourage you to work them at home the same day. They will constitute 15% of the course grade.
Session 1 - Introduction to finance and trading system.
During this session, we will give a brief introduction to finance and we will talk about:
• Equities (common stocks, dividends, warrants , class of stock, ADRs), Debts (Fixed income, Corporate/Municipal Bonds)
• Financial data and their Properties (asset returns, bond yields, volatility)
• Market data / Evaluation of a trading system
• Position / PNL
Session 2 - Real-time operating system for trading system
We will talk about general trading system designs highlighting the following features:
• Operating system / Distributed system
• Message passing / Inter process communication
• Parallelism / Process Scheduling / Multi-thread Programming / Synchronization
Session 3 - Communication component: Market data gateways
Communication Protocol with Exchanges - Market Data Parser/Composer
Session 4 - Strategy components: Book building / Strategy
• Sorting algorithms for book building
• Strategy signal / Execution
• Different trading strategies
Session 5 - Order life cycle component: Order Manager
Order life cycle / order / trade / rejection / slippage
Session 6 - Compliance/Risk Components
We will talk about regulations / risks.
Session 7 - Trading Simulator / Back testing
We will talk about how to test a trading strategy.
Session 8 - Visualization / Viewer / GUI / Command and Control
Session 9 - Trading System Optimization
Network / Kernel Bypass / FPGA
We will assign a programming assignment over the course of the term. You can choose to work on the programming assignment alone, however, it is strongly recommended to work by group of 2 people. You will need to inform us of your choice by Week 2.
The goal of this assignment will be to make you create your own distributed system. It will constitute 50% of the course grade.
In this project, you will design, implement and test a trading system. You will need to present your work during the mid-term by Week 5. During this project, you will create a system capable to trade stocks with the following components:
• Book building
• Data collection
• Order Manager
• GUI Viewer
Academic Honesty and Plagiarism
If you use github (or another collaborative shared system), please protect your account with a password.
No students should share his work with other students (except within the same project group).