Algorithmic Trading Foundations: From Idea to Paper to Live

This algorithmic trading course is the first paid rung of the practitioner path. It assumes some Python and no trading experience, and it ends with a backtest you could show a skeptical colleague.

What do you need to know before writing a trading algorithm?

How the market you trade actually works. An algorithm sends orders into an order book, where they wait, fill, partly fill or are skipped. The spread is a cost paid on every round trip. Data from free sources often drops delisted stocks, which makes every long-only strategy look better than it was. The first three modules cover these facts, because every later result depends on them.

Why does the course teach three strategy families instead of one good strategy?

Because the families behave differently, and the differences teach more than any single rule. Trend rules trade rarely and lose in choppy markets; mean-reversion rules trade often and are sensitive to costs; breakouts sit between them. Running all three on the same data, with costs, shows how turnover and holding period drive results.

What does paper trading prove, and what does it not?

Paper trading runs a strategy on live data with simulated money. It is the step between a backtest and real risk, and it is often skipped or done badly: a few days of watching, then a decision made on feel.

It proves that your code, data feed and routine work in real time, and it gives an out-of-sample record that no amount of backtesting can. It does not prove that your orders would fill as simulated, because a paper order takes no place in the real queue and moves no price. Knowing which half you have tested is the point of the first two modules.

Who is this course for?

Beginners with some Python, discretionary traders who want to test their rules, and anyone heading for the Certificate in Algorithmic Trading.

What you will be able to do

• Explain how an electronic exchange matches orders and what the bid-ask spread costs.
• Choose between market, limit and stop orders for a given purpose.
• Implement a trend, a mean-reversion and a breakout rule on daily data.
• Include commissions, spread and slippage in a backtest.
• Separate in-sample and out-of-sample data and report both.
• Explain how broker paper-trading accounts simulate fills and where they differ from live markets.

Syllabus, module by module

1. Electronic markets

   Exchanges, the order book, matching rules, the bid-ask spread and market hours.

2. Orders

   Market, limit, stop and stop-limit orders, time in force, and what each risks.

3. Data

   Bars, adjustments for splits and dividends, survivorship bias and where free data misleads.

4. What paper trading tests

   Code, data feeds and process, but not market impact or your own nerves.

5. How simulated fills work

   Fill-at-touch, fill-at-last and queue assumptions in common broker simulators.

What every course contains

Every paid course comes with the first seven and the certificate, whichever level it sits at. The proctored exam and the credential come when the course is taken as part of a Certificate, Diploma or Fellowship. Everything is self-paced: the material is yours to study in any order, at any hour, for the whole of the license.

1. Workbooks. Written to train the thinking patterns and the important concepts of the course, with worked problems and the reasoning behind each answer, so that you learn to think the way the subject is thought.
2. Audio edition. Focused, well-presented recordings with explainers and examples of the material, made to be interesting, relevant and entertaining, so that the general subject can be learned away from the desk.
3. Notes. Pre-produced notes with every fact the course relies on, written out in full, so that nothing has to be transcribed from the films or the audio.
4. Cheat sheet. One sheet with every important learning concept of the course on it, to keep beside you during the work and to revise from before the exam.
5. Named sources. Every fact in the notes names its source, the paper, the book or the dataset, for anyone who wants to dig in further.
6. Explainer films. Focused films, in the style of the sample films on the catalog page, that walk through the most difficult concepts of the course with visual explanations of a high standard.
7. Transcript. A full transcript of every film and every audio recording, searchable and quotable.
8. Proctored exam. Taken as part of a Certificate, Diploma or Fellowship, the course ends in a proctored multiple-choice questionnaire, with a pass mark of 60% and three retakes included. A course taken on its own is assessed by its coursework and has no exam.
9. Verifiable certificate. A certificate of completion that a third party can verify: an employer sends the code on it to the credentials office and receives written confirmation of the course, the date and the result.
10. Credential of the program. The Certificate, Diploma or Fellowship of the program, track or path the course belongs to, awarded when every course in it is passed. Which one depends on the program you choose.

How the certificate is earned

Unit quizzes and one graded problem set: you implement and test two simple strategies with costs, on in-sample and out-of-sample periods, and explain the difference in results. On a pass you receive the Course certificate in Algorithmic Trading Foundations, issued by the Institute with a verification code. A course taken as part of a Certificate, Diploma or Fellowship ends in a proctored online exam with a pass mark of 60%. The fee includes three retakes; each attempt after that carries a reduced proctored exam fee. A course taken on its own is assessed by its coursework and has no exam. Read how certification works.

Before you start

Basic Python with pandas. The free introduction is recommended but not required.

• Python and SQL for Finance