Trading in Milliseconds: MFT Strategies & Setup
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- Live Trading
- Learning Track
- Prerequisites
- Syllabus
- About author
- Testimonials
- Faqs
Live Trading
- Recall the differences between low-frequency trading, medium-frequency trading, and high-frequency trading.
- Explain the impact of HFT trading games on MFT traders, such as front-running, ticking, ratio trade, spoofing, hide and light, and stop-hunting.
- Utilize different types of orders, such as inter-market sweep orders(ISO), immediate or cancel(IOC), and Day ISO to execute trades.
- Calculate the order flow using the tick rule, quote rule, Lee-Ready algorithm, and BVC rule.
- Analyse tick data to develop MFT trading strategies
- Backtest and evaluate the effectiveness of MFT trading strategies
- Design new MFT trading strategies based on order flow analysis and tick data research.

Skills Covered
Strategies
- Order flow trading using tick data
- Hide and light
- Stop hunting
- Ticking
Concepts & Trading
- Time and Volume bars
- Spoofing, Front-running
- IOC and ISO orders
- Lee-Ready Algorithm, BVC Rule
- Tick Data
Python
- Pandas
- Numpy
- Matplotlib
- Resample
- Expanding

learning track 8
This course is a part of the Learning Track: Advanced Algorithmic Trading Strategies
Course Fees
Full Learning Track
These courses are specially curated to help you with end-to-end learning of the subject.
Course Features
- Community
Faculty Support on Community
- Interactive Coding Exercises
Interactive Coding Practice
- Capstone Project
Capstone Project Using Real Market Data
- Trade & Learn Together
Trade and Learn Together
- Get Certified
Get Certified
Prerequisites
Fluency with Python including python libraries like Pandas, Numpy, Matplotlib, and a good understanding of financial markets.
Syllabus
- IntroductionMedium-frequency traders do not need expensive hardware in comparison to high-frequency traders. However, they are still faster in comparison to retail and low-frequency traders. This section introduces the course contents and a welcome address by Dr E P Chan. The interactive methods used in this course will assist you in not only understanding the concepts but also answering all questions about systematic options trading. This section explains the course structure as well as the various teaching tools used in the course, such as videos, quizzes, coding exercises, and the capstone project.
- An Introduction to Market MicrostructureIn this section, we will cover the key concepts of market microstructure.Market Microstructure05m 40sOrder Book5mBid-Ask Spread5mLiquidity Makers5mMarket Impact5mImportance of Bid-Ask Spread5m
- Need and Challenges of MFTIn this section, you will understand the different types of latency and the latency requirements for medium-frequency trading. Further, you will get an understanding of the challenges faced by medium-frequency traders.Definition of MFT2mLatency and Trading Regimes5mTypes of Latency5mIdentification of Trader Based on Latency5mDefinition of Order Submission Latency5mDefinition of Order Status Latency5mTrading Frequency5mWhy Should You Focus on MFT and its Challenges2mHardware Requirements of MFT5mMFT Latency Tolerance5mConsequence of High Regulations on HFT5mKnowledge About HFT Strategies5mGames Played by HFT5mMFT Focus Areas5m
- HFT GamingCertain strategies employed by HFT firms are detrimental to the medium-frequency trader’s ability to generate revenue. One of these HFT strategies is called front-running. This section covers the concept of front-running and its impact on medium-frequency traders.Front-Running2mReason to Be Wary of HFT5mIdentification of Front-Running5mEffect of Front-Running on MFT5mFront-Running and Liquidity5mAdditional Reading2m
- Ticking StrategyIn the world of trading at high speeds, every tick counts. A tick is a minimum change in the price of a security. In ticking strategy, HFT firms research and bid just one tick above the best bid to maximise their revenue. In this section, you will see if the ticking strategy works and how HFT firms use it to their own advantage.Ticking Strategy2mBid Price in Ticking Strategy5mProfitability of Ticking Strategy5mFactors to Consider in Ticking Strategy5mTicking Strategy in Downtrend5mInterpretation of Bid and Ask Size5mOrder Placement During Bid-Ask Imbalance5mSteps Taken When Ticking Strategy Fails5mEffect of Trend on Volatility5mImpact of Volatility on Ticking Strategy2mUse of Ticking Strategy5mTicking Strategy in Volatile Markets5mChanges in Bid and Ask Volume5mAcademic Research in Imbalance in Bid and Ask Volume5m
- Impact of Ticking StrategyIn this section, you will see the impact of the ticking strategy on medium-frequency traders. You will also get a glimpse of how dark pools can be used again by MFT traders.Impact of Ticking Strategy on MFT2mDefinition of Slow Market Makers5mReason for No Order Fulfillment5mDefinition of Adverse Selection5mReason for Low Liquidity5mUse of Dark Pool Against MFT Traders2mImprovement of Order by Dark Pool Operator5mExecution of Sub-penny Ticking by MFT5mExecution of Sub-Penny Ticking5mImpact of Dark Pools on MFT5mExecution of Sub-penny Ticking by Dark Pool Operators5m
Ratio Trade
Most markets operate on a first-come-first-serve basis. If your bid reached the exchange first, your bid would be executed first, and then other bidders with the same bid price would get their turn. But certain markets work on a pro-rata basis, where being first in line does not hold any special significance. In this section, you will see how HFTs use these markets to earn revenue with relatively less risk.Ratio Trade2mOrder Fulfillment in Time Priority Scenario5mOrder Fulfillment in Pro-Rata Priority5mAdvantage of Pro-Rata Priority for HFT5mTime of Order Placement in Pro-Rata Priority5mFAQ - Things to Keep in Mind2mAdditional Reading2m- SpoofingSpoofing is an illegal practice where HFTs will place a large fake order to influence the market direction. Understand how this strategy is executed and why it is illegal.Spoofing2mImpact of Total Bid Ask Volume on Price5mSpoofing Orders5mExecution of Selected Order5mAfter Execution of Spoofed Order5mExpectation After Cancellation of Large Order5mExtraction of Profit From Spoofing Orders5mCountering the Spoofing Strategy2mReason for Illegality of Spoofing5mCall Bluff of Spoofing5mReaction to Bluff Being Caught5mFAQ - Spoofing2mAdditional Reading2m
- Other Ways HFT WinsResearch indicates that stop orders cluster around round numbers. Can someone take advantage of this fact? Understand how HFT and other market participants could force a large-scale trigger of stop orders. HFTs do not always focus on earning revenue by buying and selling or vice versa. They will also use certain orders to earn rebates, which are provided to market participants to provide liquidity. See how HFT firms earn rebates and impact medium-frequency traders.Stop-Hunting2mReason for Clustering of Stop Orders5mExecution of Stop Hunting5mProfit Through Stop Hunting5mHide and Light Orders2mConditions to Claim a Rebate5mGrant of Rebate5mWay to Earn Rebate5mRisk of Hide and Light Orders2mSpeed of Data Feeds5mLowering Risk of Hide and Light Order5mImpact of Same Latency of ITCH and SIP Feeds5mAdditional Reading2m
- Thin NBBO LiquidityDue to the various games which HFTs play, other market participants are wary of providing liquidity. In the process, they will place orders which are of only 100 shares sometimes. Learn how this impacts the backtesting of medium-frequency traders’ strategies.Thin NBBO Liquidity2mReason for Placement of 100 Quantity Shares5mFeasibility of NBBO Price for Backtesting5mConsideration of Factors for Effective Backtesting5mTest on Knowledge of HFT Gaming Practices10m
An Overview of Types of Orders
HFTs employ a variety of order types for their gaming techniques, but certain order types can be optimised to counter these techniques. In this section, you will discover which order types can be used to build a defence by MFTs as well as which order types are used by HFTs for their gaming techniques.Types of Orders3m 15sDefine the Type of Order5mOrder Type5mDefence Against HFTs5mSelect the Order Type5m- Immediate or Cancel OrderIn this section, you will learn how to employ Immediate or Cancel (IOC) orders as a defence mechanism against HFT gaming strategies that cause toxic order flows and adverse selectionImmediate or Cancel Orders4m 24sIOC and Liquidity5mMarket and Limit Order5mAdverse Selection5mLast-look Functionality5mToxic Order Flows and Prevention of Adverse Selection3m 46sImpact of Adverse Selection5mReason for Adverse Selection5mToxic Order Flows5mToxic Orders5mLast-look in Forex Markets5mFAQ on Immediate or Cancel Orders2mAdditional Reading on IOC Orders2m
- Intermarket Sweep OrderIn this section, you will learn about the mechanism of Intermarket Sweep Orders (ISOs). You will also learn the benefits that MFTs can gain by using this order type instead of a Non-ISO order type.Pre-Reading on Intermarket Sweep Orders2mISO and Regulation NMS4m 42sRule 6115mException to Rule 6115mIntermarket Sweep Order5mISO and Its Working5mUnderstanding ISO with an Example3m 25sBest Offer5mAverage Price5mNon-ISO Drawbacks5mAdditional Reading on Intermarket Sweep Orders2m
- ISO and Flash CrashesAlthough ISOs can prove to be quite beneficial for MFTs, they are not free of limitations. This section explores the potential cautions of ISOs. It also studies certain theories behind the causes of flash crashes and the role of ISO in the occurrence of flash crashes.ISO and Flash Crashes6m 2sDefine a Flash Crash5mCause of Flash Crashes5mOne Cent Trades5mStub Quotes5mPosting a Stub Quote5mISO Execution5mDrawbacks of ISO5mFAQ on Intermarket Sweep Order2mAdditional Reading on Flash Crashes2m
- Day ISOWhile Day ISOs are usually used by HFTs, it’s important that we make ourselves familiar with this order type. In this section, you’ll learn about the uses of Day ISOs, how they work, and how they can be beneficial for HFTs. This section also compares Hide and Light orders with Day ISOs in order to clarify which order type is preferable and why.Day ISO and Hide and Light Orders3m 22sNeed for Hide and Light Orders5mOrder Priority5mISO and Day ISO5mNeed for Day ISOs5mBenefits of Day ISO5mAdditional Reading on Hide and Light Orders2m
- Dark PoolsDark pools cover a substantial amount of transaction volumes. Therefore, it’s crucial for us to learn about this market. After completing this section, you will be able to define dark pools and explain their uses. You will also learn how market participants often abuse the system of dark pools and how you, as a trader, can avoid falling victim to such practices.Use of Dark Pools2mBenefits of Dark Pools5mDark Pool Orders5mPrices in Dark Pools5mNBBO and Dark Pool Liquidity5mAbuse of Dark Pools2mMidpoint Manipulation5mOrder Execution5mSub-Penny Trading5mToxic Dark Pools5mAvoiding Toxic Dark Pool2mMeasuring Adverse Selection5mToxic Dark Pools5mPractices to Avoid Toxic Dark Pools5mAdditional Reading on Dark Pools2mTest on IOCs, ISOs, Hide-and-Light, and Dark Pools14m
- Physics of MFTWhat kind of infrastructure is needed to reduce the latency to 10 milliseconds? This section will cover three important things you will need to reduce the latency of your trading system.Physics of MFT2m 58sColocation5mExtranet5mITCH Feed5mVirtual Private Server5mAdvantage of ITCH Feed5mLive Trading Platforms2m
- Backtesting an MFT StrategyThis section explains the limitations of backtesting an MFT strategy. It also covers different aspects that an MFT trader should keep in mind while choosing a backtesting platform.Backtesting an MFT Strategy3m 2sPurpose of Backtesting5mOrder Execution Model5mAdverse Selection5mBacktest Gaming Strategies5mChoosing a Backtesting Platform3m 54sLanguage for Backtesting5mScripting Language5mSpecial-Purpose Platforms5mAPI5mBacktesting Strategies5mFAQs on Choosing a Backtesting Platform2m
Historical Tick Data
What are the different kinds of tick data? Where can you find the tick data for backtesting an MFT strategy? This section answers these questions by explaining the different kinds of tick data and discussing different sources for purchasing/renting historical data for backtesting an MFT strategy.Historical Tick Data5m 7sTypes of Tick Data5mTimestamp5mCalendar Spread Data5mOrder Book Data5mData in Tape Format5mChoosing a Data Vendor5mAdditional Reading on Tick Data Vendors2mFAQs on Historical Tick Data2mTest on Backtesting, Historical Tick Data14m- Order Flow BasicsIn this section, you will learn the basics of order flow. This section also explains how order flow is used as an indicator.Basics of Order Flow2m 8sDefinition of Order Flow?5mTypical Structure of Order Flow Data5mOrder Flow and Transaction Volume5mCalculate the Order Flow5mOrder Flow as an Indicator5m 9sOrder Flow Indicator5mMost Common Data Available5mLimitation of Ticker Tape Data5mITCH Feed Data5mAggressor Flag5mBest Order Flow Information5mAdditional Reading for Order Flow Basics2mFAQs on Order Flow2m
Calculate the Order Flow
This section explains the challenge of accurate order flow calculation. This section also discusses the tick rule and how to calculate order flow using the tick rule.The Challenge of Accurate Order Flow Calculation2mAggressive Traders5mPassive Traders5mOrder Flow Calculation Accuracy5mCo-location for Order Flow Calculation Accuracy5mAdvantage of Using ITCH Data5mComputing the Order Flow: Tick Rule2mOrder Flow of Buy Market Order5mBasics of Tick Rule5mOrder Flow of Sell Market Order5mFind the Order Flow Sign5mMethod to Calculate the Order Flow5mTick Rule for Order Flow Calculation5mCalculate the Tick Direction5mTicks with Undefined Trade Direction5mCalculate the Order Flow5mAdditional Reading for Order Flow Calculation2mTest on Basics and Calculation of the Order Flow10m- Quote Rule and Lee-Ready Algorithm for Order FlowThis section discusses the quote rule and Lee-Ready Algorithm for order flow calculation. You will learn to implement the quote rule and Lee-Ready algorithm in Python.Quote Rule and Lee-Ready Algorithm4m 21sQuote Rule for Computing Order Flow5mBuy Market Order5mQuote Rule for a Trade Above the Midpoint5mDrawback of the Quote Rule5mLee-Ready Algorithm5mLee-Ready Algorithm for Trades at the Midpoint5mApply Quote Rule and Lee-Ready Algorithm5mCalculate the Midpoint5mCalculate the Trade Direction Using Quote Rule5mAdditional Reading for Quote Rule and Lee Ready Algorithm2m
- Bulk Volume ClassificationThis section discusses Bulk Volume Classification (BVC) for order flow calculation. You will learn to implement the BVC method in Python.Bulk Volume Classification2mCalculate Order Flow Using Bulk Volume Classification5mData for Bulk Volume Classification5mTime Bars and Volume Bars5mBuy Volume5mOrder Flow5mCalculate Time and Volume Bars5mCalculate the Volume Bars from Tick Data5mBulk Volume Classification with Time Bars2mGaussian CDF of Z-Score5mCalculate the Z-score of Price Change5mBulk Volume Classification with Volume Bars2mStandard Deviation in the BVC Method5mOrder Flow for Volume Bars5mBuy Volume for Volume Bars5mCalculate Order Flow with BVC5mCalculate the Order Flow Using The BVC Method5m
- Trade the Order FlowIn this section, you will learn to create trading strategies using the order flow. You will also create a strategy using the tick rule and backtest the strategy.Trading the Order Flow2mPositive Order Flow5mNegative Order Flow5mNeed for Order Flow Analysis5mPercentile-Based Order Flow Strategy5mBacktest The Order Flow Strategy5mTest on Calculating and Trading the Order Flow14mFAQ on Methods to Compute the Order Flow2m
- Capstone ProjectIn this section, you will undertake a capstone project. This project will require you to apply and practice the concepts learnt throughout this course.Capstone Project: Getting Started2mProblem Statement2mCode Template and Data Files2mCapstone Project Model Solution5mCapstone Solution Downloadable2m
- Paper and Live TradingTo make sure that you can use your learning from the course in the live markets, a live trading template has been created which can be used to paper trade and analyse its performance. This template can be used as a starting point to create your very own unique trading strategy.Steps to Set Up Alpaca Account and Get API Keys2mTemplate Code File2mReducing the Latency2m
- Run Codes Locally on Your MachineIn this section, you will learn to install the Python environment on your local machine. You will also learn about some common problems while installing python and how to troubleshoot them.Uninterrupted Learning Journey with Quantra2mPython Installation Overview1m 59sFlow Diagram10mInstall Anaconda on Windows10mInstall Anaconda on Mac10mKnow your Current Environment2mTroubleshooting Anaconda Installation Problems10mCreating a Python Environment10mChanging Environments2mQuantra Environment2mTroubleshooting Tips for Setting Up Environment10mHow to Run Files in Downloadable Section?10mTroubleshooting for Running Files in Downloadable Section10m
- SummaryIn this section, we will summarise everything you have learned in this course.Course Summary5m 3sCourse Summary and Next Steps2mPython Codes and Data2m
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Faqs
- When will I have access to the course content, including videos and strategies?
You will gain access to the entire course content including videos and strategies, as soon as you complete the payment and successfully enroll in the course.
- Will I get a certificate at the completion of the course?
Yes, you will be awarded with a certification from QuantInsti after successfully completing the online learning units.
- Are there any webinars, live or classroom sessions available in the course?
No, there are no live or classroom sessions in the course. You can ask your queries on community and get responses from fellow learners and faculty members.
- Is there any support available after I purchase the course?
Yes, you can ask your queries related to the course on the community: https://quantra.quantinsti.com/community
- What are the system requirements to do this course?
Fast-speed internet connection and a browser application are required for this course. For best experience, use Chrome.
- What is the admission criteria?
There is no admission criterion. You are recommended to go through the prerequisites section and be aware of skill sets gained and required to learn most from the course.
- Is there a refund available?
We respect your time, and hence, we offer concise but effective short-term courses created under professional guidance. We try to offer the most value within the shortest time. There are a few courses on Quantra which are free of cost. Please check the price of the course before enrolling in it. Once a purchase is made, we offer complete course content. For paid courses, we follow a 'no refund' policy.
- Is the course downloadable?
Some of the course material is downloadable such as Python notebooks with strategy codes. We also guide you how to use these codes on your own system to practice further.
- Can the python strategies provided in the course be immediately used for trading?
We focus on teaching these quantitative and machine learning techniques and how learners can use them for developing their own strategies. You may or may not be able to directly use them in your own system. Please do note that we are not advising or offering any trading/investment services. The strategies are used for learning & understanding purposes and we don't take any responsibility for the performance or any profit or losses that using these techniques results in.
- I want to develop my own algorithmic trading strategy. Can I use a Quantra course notebook for the same?
Quantra environment is a zero-installation solution to get beginners to start off with coding in Python. While learning you won't have to download or install anything! However, if you wish to later implement the learning on your system, you can definitely do that. All the notebooks in the Quantra portal are available for download at the end of each course and they can be run in the local system just the same as they run in the portal. The user can modify/tweak/rework all such code files as per his need. We encourage you to implement different concepts learnt from different learning tracks into your trading strategy to make it more suited to the real-world scenario.
- If I plug in the Quantra code to my trading system, am I sure to make money?
No. We provide you guidance on how to create strategy using different techniques and indicators, but no strategy is plug and play. A lot of effort is required to backtest any strategy, after which we fine-tune the strategy parameters and see the performance on paper trading before we finally implement the live execution of trades.
- What does "lifetime access" mean?
Lifetime access means that once you enroll in the course, you will have unlimited access to all course materials, including videos, resources, readings, and other learning materials for as long as the course remains available online. There are no time limits or expiration dates on your access, allowing you to learn at your own pace and revisit the content whenever you need it, even after you've completed the course. It's important to note that "lifetime" refers to the lifetime of the course itself—if the platform or course is discontinued for any reason, we will inform you in advance. This will allow you enough time to download or access any course materials you need for future use.