2-DAY MANAGEMENT

DEVELOPMENT PROGRAM
on

ALGORITHMIC TRADING

2-DAY MANAGEMENT DEVELOPMENT PROGRAM

ON ALGORITHMIC TRADING

OVERVIEW
Technology has revolutionized the way financial markets function and the way financial assets are traded. Technology
development across global markets has necessitated a multidimensional approach for understanding the Importance of
Algorithmic Trading.
It is imperative to develop domain knowledge expertise in quantitative and qualitative algorithmic trading skills .It helps to
understand the market in a better manner and often allows us to frame difference strategies as per the market movements.
Given the current market scenario and dynamism, Algorithmic Trading has attracted attention more than ever before. The
concepts are multi-fold and are applicable across all financial markets: equities, fixed income, currencies-domestic or
global.
In view of this, NSE presents a comprehensive workshop on Algorithmic Trading for analysts, dealers, traders, consultants,
and other market practitioners. The course provides an opportunity to learn Algorithmic Trading.

PROGRAMME OBJECTIVE
NSE's MDPs aims to enhance the competitiveness of executives of all levels in the financial industry. It is designed to assist
professionals to take on a leadership role in their position individually and collectively, while improving their knowledge.
NSE's MDPs are vital for practicing professionals and managers who are keen to take on leaderships roles with their
organizations.
NSE's MDPs attract some of the finest faculty from industry. Participants learn from both the rich practical experience of the
faculty, as well as from the diverse experience of fellow learners. It provides an ideal platform for gaining new insights in
order to be successful.
NSE also conducts dedicated workshops for corporate and financial institutions, especially designed for Traders,
corporate executives and entrepreneurs.

2-DAY MANAGEMENT DEVELOPMENT PROGRAM

ON ALGORITHMIC TRADING

Day 1
Session

Topic

Session I
9.30 AM - 10.00 AM

Demystifying Algorithic Trading

o Decoding the jargon: Quant Trading, Algorithmic Trading, Automated Trading, High
Frequency Trading, Ultra-High Frequency Trading
o Evolution of algorithmic trading - Globally
o Evolution of algorithmic trading - India
o Why should you do Algorithmic Trading - Benefits of Algorithmic Trading?
o Global & Indian trends - volumes generated, etc

Session II
10.00 AM-11.00 AM

System Architecture and its impact on trading performance

o Internal components of an algorithmic trading platform ( OMS, CEP, RMS, Adaptors,
tickStore, eventStore, etc) and their interaction
o External components - adaptor communication with destinations, communication
standards and protocols (FIX, etc), TAP servers, multi TAP and invitation
management
o Technological setup for Indian markets - network connectivity (scenarios, message
rates); different trading environments (mock, test); colocation vs non-colocation; tbt
vs snapshot; native api vs FIX connectivity
o Build vs buy decision ('building tools in house' vs 'buying off the shelf products')

11.00 AM-11.10 AM

Tea/Coffee break

Session III
11.10 PM-12.00 PM

Technological innovations for algorithmic trading

o Latency, methods of measuring latency, standard latency benchmark figures
o Software innovations - low latency codes,
o Hardware innovations - cpu affinity vs scalability, FPGA vs ASIC, strategy on
hardware, hardware configurations Tools available for Indian markets - software,
hardware, etc

Session IV
12.00 PM-12.45 PM

Tool-box set of Algorithmic Trading

o Statistics, Quant Finance, Computing
o Key Statistical concepts relevant for designing algorithmic trading strategies

12.45 PM-1.30 PM

Lunch

2-DAY MANAGEMENT DEVELOPMENT PROGRAM

ON ALGORITHMIC TRADING

Day 1
Session

Topic

Session V
1.30 PM-3.00 PM

Different types of algorithmic trading strategies

o High/ultra high frequency strategies
o Execution strategies: TWAP, VWAP, IS, etc
o Alpha seeking strategies: - market-making, arbitrage
o Different types of arbitrage strategies (structural and statistical)
o Equity segment strategies: Index Arbitrage, Mean reversion, momentum,
technical analysis, pair trading
o Option Strategies: Dispersion, Volatility Spreads, Variance Swaps, Jelly Rolls,
Skew trades
o Multiple exchange strategies: Smart Order Routing strategies
o Order Book Dynamics based trading strategies
o What are different global firms doing ?

3.30 PM-3.40 PM

Tea/Coffee break

Session VI
3.40 PM-4.45 PM

Process of developing an algorithmic trading strategy

o Entire life-cycle involved in designing & operating an algorithmic trading strategy
o Working with high frequency data - managing tick databases
o Normalizing and cleansing data
o Hypothesis formulation
o Machine learning methodologies to automate strategy development

Session VII
4.45 PM-5.15 PM

Rules and Regulations

o Auditing Process and Requirements (NSE defined)
o SEBI recommendations on audit
o Exchange audits
o Technology and System audits
o Compliance Requirements
o Strategy approval process for Indian exchanges
o Global trends in regulations

5.15 PM-5.30 PM

Revision test on topics covered.

5.30 PM-6.00 PM

Q&A

2-DAY MANAGEMENT DEVELOPMENT PROGRAM

ON ALGORITHMIC TRADING

Day 2
Session

Topic

Session I
9.30 AM - 11.00 AM

Working on Algorithmic Trading Platforms - I

o Complex Event Processing on Algorithmic
o Trading Platforms
o Working with exchange simulators and testing strategies

11.00 AM-11.10 AM

Break

Session II
11.10 AM-12.00 PM

Risk Management specific to Algorithmic Trading

o Risk Management for Trading Operations - different sources of risk, evaluation
methodologies to quantify and set limits
o Additional Risk Management issues in Automated Trading
o Common errors encountered in Algorithmic Trading
o Case studies of all major failures globally on Algorithmic Trading
o Risk Management requirements for Indian Exchanges

Session III
12.00 PM-12.45 PM

Working with Quant Tools

o Statistical big-data analytics using R
o Using R with Excel

12.45 PM-1.30 PM

Lunch

Session IV
1.30 PM-3.00 PM

Performance Evaluation and Portfolio Management

o Determining profitability of strategies using Sharpe ratio, Sortino ratio,
Jensen's alpha, RaROC, Treynor Ratio, etc
o Leverage Space Theory to allocate resources across strategies

3.00 PM-3.15 PM

Tea/Coffee break

Session V
3.15 PM-4.00 PM

Building Quant Tools

o Practical exercise to build Options Portfolio Management Tools for algorithmic trading

Session V
4.00 PM-4.30 PM

What next
o Exchange innovations
o Competitive Landscape
o New generation strategies - Machine Readable News based strategies, etc

Session VI
4.30 PM-5.00 PM

Future studies
o Literature review of books, study material and research papers on algorithmic trading

5.30 PM-6.00 PM

Q&A

2-DAY MANAGEMENT DEVELOPMENT PROGRAM

ON ALGORITHMIC TRADING

Suneeth Reddy
Suneeth is the Director at QuantInsti, where he is also part
of the faculty for the esteemed E-PAT program. He is also
the Vice President Technology at iRageCapital, an
algorithmic trading technology advisory firm, where he
leads the firm's efforts on the technology and innovation
fronts.
Prior to iRage, Suneeth was with Lime Group where he was
instrumental in developing the core infrastructure for Lime
in its early days. Prior to that, he was with Yahoo! R&D
where he designed highly scalable architectures targeted
at low latency processing of news feeds. He has also done
extensive research in DNA Computing and protein
computing. His work has been presented at 'Symposium of
Unconventional Models of Computing'.
A graduate from Department of Computer Science, IIT
Madras, Suneeth brings with him an extensive exposure to
high performance algorithms and low latency
architectures.

2-DAY MANAGEMENT DEVELOPMENT PROGRAM

ON ALGORITHMIC TRADING

Shaurya Chandra
Shaurya Chandra is a Director at iRageCapital Advisory
Private Ltd., leading the firm's advisory practice in India on
the Research, Strategies Development and Risk
Management. He has advised extensively with core focus
on the statistical research strategy development backed by
rigorous back testing and setting up systems & processes
for risk management.
An area of specific focus for Shaurya has been working with
clients in Sell-Side Order Execution Algorithms for leading
brokerages. His current areas of research are Statistical
Strategies and Rule Based Trading and Optimal Execution
Algorithms.
Earlier to iRageCapital, Shaurya comes with experience at
Bank of America, Edelweiss Securities Ltd. and Systematix
Stock & Shares Ltd., where he worked as Derivative and
Quantitative Analyst focused on Indian Equity markets.
Shaurya has a post graduate degree in management from
Indian Institute of Management, Ahmedabad and a B.Tech.
in Electrical Engineering from Indian Institute of
Technology, Roorkee.

2-DAY MANAGEMENT DEVELOPMENT PROGRAM

ON ALGORITHMIC TRADING

Rajib Ranjan Borah

Rajib is the co-Founder & Director of iRageCapital Advisory
Private Limited, & QuantInsti Quantitative Learning Private
Limited.
At iRage, Rajib assists clients across South East Asia in
High Frequency Trading Strategy Development & Systems
Design - helping clients generate significant portions of the
exchange volume primarily in the options derivatives
segment.
Prior to iRage, Rajib worked with leading HFT firm Optiver
in Amsterdam; working on derivatives market making, and
high frequency equity arbitrage strategies across all major
European and US exchanges. Before Optiver, Rajib was a
management strategy consultant with PwC where he
assisted a consortium in setting up a national commodity
derivatives exchange.
A national Olympiad finalist, Rajib has twice represented
India at the World Puzzle Championships. He has a postgraduate management degree from Indian Institute of
Management Calcutta, a bachelor's degree in Computer
Engineering from National Institute of Technology
Surathkal and has internship experiences with Bloomberg
in New York (equity derivatives research) and with Solutia in
Belgium.
7

WHO SHOULD
ATTEND?
The workshop is ideal for Traders,
Investors, Brokers, Sub-brokers,
Dealers, Fund Managers,
Corporate Executives,
Financial Intermediaries,
Media, Journalist
& anyone who wants
to learn Algorithm
Trading.

T A

MANAGEMENT DEVELOPMENT PROGRAM IS A TWO DAY EXECUTIVE WORKSHOP

Date: February 28 & March 1, 2014 | Time: 9:30 AM to 6:00 PM
Venue: NSE, Exchange Plaza, C-1, Block-G, Bandra Kurla Complex, Mumbai- 400051.
FEE & REGISTRATION
Training Fee: Rs 17,500 plus 12.36% Tax (Total: Rs 19,663) Only for Participants registering for the 1st Batch
(Special discount of 10% for a group of 3 or more participants attending together as a team.)
The fee includes tuition, presentation material, etc. The completed Registration Form Along with Payment.
PAYMENT MODE: DEMAND DRAFT AND ONLINE PAYMENT
Account payee demand draft drawn in favour of "NATIONAL STOCK EXCHANGE OF INDIA LIMITED", payable in
Mumbai, should reach NSE at least seven days before the commencement of the program.
FOR ANY FURTHER QUERIES AND FOR ONLINE PAYMENT OPTION PLEASE CONTACT
Ms Shaheen Khan / Mr Harbir Singh Mehrolia (Mob: 9619639983)
Landline: +91 22 25045245/48 | Email: mdp-mum@nse.co.in/hmehrolia@nse.co.in
(Limited Seats)

2-DAY MANAGEMENT DEVELOPMENT PROGRAM

ON ALGORITHMIC TRADING

MDP NOMINATION FORM

2 DAYS EXECUTIVE WORKSHOP ON ADVANCED DERIVATIVES TRADING
NSE presents a comprehensive program on derivatives trading for you. The course will provide you an opportunity to understand the
various trading strategies that can be employed for Equity & Currency derivatives trading with hands on session.
Step 1. Take a printout of this Nomination Form
Step 2. Fill the Nomination Form with the required details
Step 3. Make a Demand Draft of Rs. 19,663/- (Inclusive of taxes) payable at Mumbai in favour of "National Stock
Exchange of India Limited
Step 4. Send the Demand Draft along with completed registration form and Copy of pan card to
Ms Shaheen Khan / Mr Harbir Singh Mehrolia (Mob: 9619639983)
National Stock Exchange of India Limited
6th Floor, Kohinoor City, Tower-1, Commercial-II, Kirol Road, Off. L.B.S. Marg, Kurla (W),
Mumbai-400070, India
Landline: +91 22 25045245/48
Email: hmehrolia@nse.co.in/crmsupport-mumbai@nse.co.in
Details

Participant
1

Participant
2

Participant
3

Name
Email id
Mobile
Date of Birth
Designation
Organisation
Years of experience in
Stock Market
Sponsored by:

a) Self

b) Company

How did you come to know about the program:

a) SMS

b) Email

c) Facebook

d) NSE website

e) Friends

Correspondence Address: ................................................................................................................................................

Pin Code: .............................................
Programme Opted For: Date: ..................................................................
Payment Details: Amount (Rs.) .......................................................... Demand Draft No. ................................................
Date of DD ....................................................................................... Bank ..........................................................................

NATIONAL STOCK EXCHANGE OF INDIA LTD.

Exchange Plaza, Plot no-C1, G block, Bandra-Kurla Complex Bandra (E), Mumbai - 400 051
Tel No - (022) 26598100 - 8114 | Email: cc_nse@nse.co.in | Website: www.nseindia.com