Algorithmic Trading: A Practitioner's Guide

by Jeffrey Bacidore

Algorithmic Trading has grown dramatically, from a tool used by only the most sophisticated traders to one used daily by virtually every major investment firm and broker. Trading algorithms today have permeated trading in most asset classes, not only traditional assets like stocks, but also more exotic assets like cryptocurrencies.This book aims to provide portfolio managers, traders, and other finance professionals with in-depth information about how trading algorithms actually work in practice. The book provides detailed coverage • Single-order algorithms, such as Volume-Weighted Average Price (VWAP), Time-Weighted Average Price (TWAP), Percent of Volume (POV), and variants of the Implementation Shortfall algorithm.• Multi-order algorithms, such as Pairs Trading and Portfolio Trading algorithms.• Smart routers, including “smart market,” “smart limit,” and dark aggregators.• Trading performance measurement, including trading benchmarks, “algo wheels,” trading cost models, and other measurement issues.

Genres: Finance

243 pages, Paperback

Published July 20, 2020

Reviews

[Henrik Warne · Rating 4 out of 5]

Great book. Clear, no-fluff explanation of many different algorithms.

I have written a long summary/review here: https://henrikwarne.com/2023/02/12/al...

[Lime Street Labrador · Rating 4 out of 5]

Short and concise introduction to execution trading algorithms such as VWAP, Implementation-Shortfall, Participation of Volumes, etc, by an experienced professional. As a little retail guy, order execution is not relevant to myself. I find its basic description of pairs trade execution useful, that one should first decide on a $ increment of gross $ (long + short) to trade, then identify the harder-to-trade leg as "leader"; it starts trading the leader by the increment passively, then trades the follower more actively to leg into the paired position increment by increment. For execution strategies, I think Barry Johnson is more comprehensive.

[Cai · Rating 5 out of 5]

Best for electronic trading