Saturday, November 5, 2011

What is Algorithmic Trading

My previous post, trying to define Systematic Trading, mentions Algorithmic Trading.

As it's described in wikipedia, use of computer programs to materialize trading orders using an algorithm which decides when and how should be traded.

For instance, an algorithmic trading algorithm may be "try to follow VWAP". Traders may use this algorithm to buy (or sell) 1Mill euro of TEF.MC, fixing a level of aggressive, maximum and minimum prices and time to place all stock orders.

Algorithms used in algorithmic trading are well-known. In a future post I will enumerate some of them.

As examples of Algorithmic Trading Systems are (both two commercial) Sungard GLStream, Progress and (opensource -under development-) AlgoTrading.

Algorithmic Trad. is, in fact, a particular case of Systematic Trad. necessary when not enough liquidity and/or high market impacts are expected when trading.


  1. AlgoTrader is now also available as a commercial Product with Support, Professional Services, etc.

    AlgoTrader is a Java based Algorithmic Trading Platform that enables development, simulation and execution of multiple strategies in parallel. The automated Trading Software can trade Forex, Options, Futures, Stocks & Commodities on any market. The system is based on Complex Event Processing (CEP) and Event Stream Processing (ESP)

  2. How etf trading works?
    Automated Trading Strategies
    An etf trading, known as exchange traded fund is a marketable safety that tracks an index or basket of index.

  3. Thanks Paul. Very interesante.


    - l