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2014•Unpublished venueRequires access

ALGORITHMICALLY CONTROLLED TRADING OF SECURITIES

Matej Papler

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Abstract

Electronic trading of securities in the information age is no longer just one of the options but often the only one. Data from the market can be processed in algorithms that are designed for the purpose of automated trading, meaning that such algorithms can buy and sell securities on the market without human intervention. This thesis in it's first part describes the methods of algorithmic trading, advantages and disadvantages, and the available tools that make it possible. In the second part it describes an upgrade to the MetaTrader4 program system that solves two of it's deficiencies: ability to make a synchronous simulation of trading algorithms that are dependent of eachother; and to allow a trading algorithm to run concurrently on multiple computers to provide redundancy. A sample trading strateg was created to demonstrate the added functionality.

About this research paper

What this paper is about

Electronic trading of securities in the information age is no longer just one of the options but often the only one. Data from the market can be processed in algorithms that are designed for the purpose of automated trading, meaning that such algorithms can buy and sell securities on the market without human intervention. This thesis in it's first part describes the methods of algorithmic trading, advantages and disadvantages, and the available tools that make it possible. In the second part it describes an upgrade to the MetaTrader4 program system that solves two of it's deficiencies: ability to make a synchronous simulation of trading algorithms that are dependent of eachother; and to allow a trading algorithm to run concurrently on multiple computers to provide redundancy. A sample trading strateg was created to demonstrate the added functionality.

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Key contribution

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Available abstract

Electronic trading of securities in the information age is no longer just one of the options but often the only one. Data from the market can be processed in algorithms that are designed for the purpose of automated trading, meaning that such algorithms can buy and sell securities on the market without human intervention. This thesis in it's first part describes the methods of algorithmic trading, advantages and disadvantages, and the available tools that make it possible. In the second part it describes an upgrade to the MetaTrader4 program system that solves two of it's deficiencies: ability to make a synchronous simulation of trading algorithms that are dependent of eachother; and to allow a trading algorithm to run concurrently on multiple computers to provide redundancy. A sample trading strateg was created to demonstrate the added functionality.

Key concepts: Electronic trading, Trading strategy, Algorithmic trading, Alternative trading system, Upgrade, Trading turret, Computer science, Pairs trade

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