Algorithmic Engines for Trading Strategies

I. An Introduction

As I continue my research this week, the following resources provide insight into the different types of algorithms available.

1. http://www.itg.com/
2. http://www.itg.com/news_events/papers/AlgoTradingCostsTheTrade2007.pdf
3. http://advancedtrading.thewallstreetwiki.com/directories/directory-algorithmic-trading.php

Some Basic Strategies:

1. Dark
2. Active
3. Volume
4. Participation
5. Volume-weighted average price (VWAP)
6. Time-weighted average price (TWAP)
7. Arrival Price or Implementation Shortfall (IS)
8. Pair
9. Short Sell
10. Contingent

• http://www.nri.co.jp/english/opinion/papers/2007/pdf/np2007121.pdf
• http://www.capis.com/resources/pdf/Algorithms.pdf
• http://www.cs.tau.ac.il/~mansour/papers/06stoc.pdf
• http://web.unx.com/index.php?option=com_content&task=view&id=44&Itemid=26
• http://www.itg.com/news_events/papers/AlgoSelection20060425.pdf

II. VWAP (volume-weighted average price)

Anatomy of An Automated VWAP Strategy:

http://www.itg.com/news_events/papers/TP_Spring_2002_Madhavan.pdf

Code:

http://www.codeproject.com/KB/recipes/VWAP.aspx

Limit Order Trading:

http://www.cis.upenn.edu/~mkearns/papers/vwap.pdf

III. Conclusion

http://www.advancedtrading.com/showArticle.jhtml?articleID=196900760

Next step is to research current trading architectures.