Webinars This Blog

Order Book Dynamics In High Frequency Trading

2 min read

Invitation post on May 17, 2015: Execution Algorithms provide a price which is between Limit Order Execution and Market Order Execution. Market Orders guarantee execution within a certain time but the price that it may get the trader remains uncertain. Limit Order guarantees the price but it may remain un-executed if price moves away. Most Execution Algorithms balance between these two order types. The speaker, Mr. Gaurav Raizada, will be discussing Quantinsti® Replacement Matrix in the webinar along with basics on order book management theory for high frequency traders. In this webinar we learn about how you can capture the dynamics in data. We will also learn about:

  • Limit Order Book
  • Limit Order Execution
  • Market Order Execution
  • Quantinsti® Replacement Matrix

We also get a gist of Empirical Analysis on Indian market data and how Quantinsti® Replacement Matrix can help us visually represent the cost metrics and replacement behaviour.


Gaurav RaizadaMr. Gaurav Raizada is the Director at iRageCapital Advisory Private Ltd. And Co-Founder of QuantInsti Quantitative Learning Pvt. Ltd., leads the firm's advisory practice in India on the Systems, Performance and Strategies. He has consulted extensively with core focus on strategy development and execution including trading systems development, latency reduction, optimization and transaction cost analysis.


Interest in stock markets, options trading, commoditiy trading, programming, hedge funds, enjoy data analysis, statistical analysis, equity research, technical analysis, fundamental analysis, basic knowledge of financial modelling, equity research, derivatives.

Date Time
2nd June 2015 (Tuesday) 6:30 PM IST (9:00 PM SGT)

Update: Mr. Gaurav Raizada, co-founder of QuantInsti, spoke at the webinar on Order Books Management in High Frequency Trading. He discussed Quantinsti® Replacement Matrix after covering the basics on order book management theory for high frequency traders. The Quantinsti(R) Replacement Matrix shows that most of the orders that are being replaced by the new orders are among the top 3 levels and these replacements allow us to visualize and generalize about market behaviour.


Next Step

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