Market Microstructure Course: Module 3
Market Microstructure is one of the essential courses in Algorithmic Trading. This skill is necessary when applying for jobs in high frequency trading firms. Knowledge of market microstructure is needed to work as a quant trader, quant researchers, quant developers, and other quant roles.
Market microstructure is essential in trading firms because it enhances order execution, cost efficiency, and strategy development. It is crucial for high-frequency trading, where understanding order books and price formation enables traders to exploit price inefficiencies. It aids in accurate backtesting, managing risks (execution risks). Mastery of market microstructure allows traders to optimize trading systems and adapt to evolving market dynamics, maximizing profitability and maintaining regulatory compliance.
EPAT Module on Market Microstructure
The course on Market Microstructure is part of QuantInsti’s Executive Programme in Algorithmic Trading (EPAT), and not available separately.
The module consists of 12 hours of live training including faculty interaction and problem solving using spreadsheets and Python. The faculty members involved in creating, maintaining and delivering the course on Market Microstructure include Dr. Robert Kissel, Mr. Nitin Aggarwal, Dr. Gaurav Raizada and Vivek Krishnamoorthy.
Syllabus of the course on Market Microstructure
1. Understand Market Mechanics and Algorithmic Trading Process
- Learn market mechanisms and price discovery.
- Interpret order book dynamics, including best bid and ask prices.
- Understand various order types (market, limit, pegging, hidden, and discretion orders).
- Explain algorithms like Price Time Priority and Guerilla Algorithm.
- Identify manipulative practices (e.g., spoofing).
- Recognize how algorithmic trading improves discipline and efficiency.
2. Develop and Apply Execution Strategies
- Design execution strategies to trade large volumes.
- Minimize market impact and trading costs.
- Utilize trading algorithms: VWAP, POV, Arrival, and Optimal.
- Apply strategies in quant trading and high-frequency trading (HFT).
- Optimize order execution and strategy performance.
- Implement passive (limit orders for better pricing) and aggressive (quick execution) strategies.
- Blend pegging and discretion strategies for balanced execution.
- Hands-on experience in Macros & Python programming
3. Explore Key Trading Strategies
- Trend Following (Momentum Trading): Trade in the direction of market trends.
- Market Neutral Strategy: Take long and short positions in correlated assets.
- Delta Neutral Strategy: Use offsetting positions to achieve zero delta.
- Statistical Arbitrage: Exploit pricing inefficiencies.
- Market Making: Provide liquidity and profit from bid-ask sreads.
4. Analyze Transaction Costs and Optimize Performance
- Conduct pre-trade and post-trade analysis (TCA).
- Measure implementation shortfall, VWAP slippage, and market impact.
- Analyze timing risk and optimize execution strategies.
- Apply market microstructure concepts to enhance trading performance.
- Use Python for data analysis and performance measurement.
- Hands-on experience in Macros & Python programming
Limitations of this module
- It doesn’t cover C++ currently, which is an essential skill for the software developer role in a High Frequency Trading firm
- It covers low to high frequency trading implementations.
Prerequisites & Teaching Style
- This module on market microstructure doesn’t have a high entry barrier for new learners and prerequisites are covered well before the module begins.
- The content is covered in an easy to understand manner for beginners and advanced learners.
What is EPAT?
EPAT is a fully online live classroom course, with 120+ hours of live training and ~150 hours of self-study content. A few features of EPAT are mentioned below.
Accreditations & Certifications
- Institute of Banking and Finance (IBF, Singapore): EPAT has been accredited by The Institute of Banking and Finance (IBF, Singapore) under the IBF Standards.
- Continuing Professional Development, UK: EPAT is accredited by CPD, UK (Continuing Professional Development, UK).
Key Benefits
Industry exposure and networking: EPAT provides access to -
- Live projects and case studies: Real-world scenarios help participants understand the workflow of a quant developer.
- Industry mentors: The program offers mentorship from industry professionals, which helps in practical learning and career guidance.
- Alumni network: QuantInsti has a global alumni network that aids in job placements and networking in the quant finance industry
Career and Placement Support
- Regular job postings and upskill opportunities via our Lifetime Placement Services.
- 300+ Hiring Partners in Quant Trading, Research, and Development.
- Interview preparation sessions to boost career readiness.
- Ongoing query resolution for technical challenges, trading desk setups, and Professional Growth.
- Expert mentorship to navigate the professional journey and achieve trading success.
- Connect with leading algorithmic trading firms through our expansive industry network.
Community & Continued Growth
- Access to a thriving alumni community through webinars, book clubs, and active Telegram/WhatsApp groups for knowledge sharing and collaboration.
- Exclusive perks such as strategy ideations via interactive learning modules on Quantra.
Hands-on Learning
- Practical sessions including Python programming and other hands-on modules to ensure a well-rounded, applied learning experience
- Personalized support for specializing in trading strategies with live project mentorship.
Backtesting & Live Trading
- Exploring various backtesting techniques and APIs
- Analyzing historical data and backtesting strategies
- Code and backtest strategies on various platforms
Post-Course Opportunities
- Lifetime access to the full and updated EPAT content, ensuring continuous learning in areas AI-ML, LLM, Automated Trading and more.
- Networking events are available post-completion of the course, such as QuantInsti.
- Alumni Book Club Events, Sessions by Faculty on Trading Strategies and much more
Schedule an EPAT counselling call
To understand if EPAT is the right choice for you, talk to one of our specialists who have counselled thousands of learners over the past decade and helped them make the right career decision.
