Specialist track, course code HF
High-Frequency Trading and Market Microstructure
High-frequency trading (HFT) courses on how orders meet: limit order books, execution algorithms, smart order routing and the economics of trading at microsecond scale.
Every trade passes through a market mechanism, and the mechanism sets the cost. The bid-ask spread, the depth of the book and the price impact of an order decide whether a strategy that works on closing prices works at all. High-frequency trading (HFT) is the part of the industry that competes directly on this mechanism, and the high-frequency trading courses below start from it.
What does the high-frequency trading track cover?
A free primer explains what high-frequency firms do. Limit Order Books teaches queue priority, order types and book reconstruction from exchange data. Execution Algorithms covers VWAP, TWAP, implementation shortfall and transaction cost analysis. At Researcher level, Smart Order Routing treats venue selection across fragmented markets, and High-Frequency Trading covers market making, inventory risk and latency.
Who is this track for?
Engineers moving into trading firms, execution traders, and quantitative researchers who need to know why their strategies leak money between signal and fill. The track leads to the Certificate in High-Frequency Trading and Market Microstructure.
Open courses in this track
Free primers. Read, watch and work the exercises before you spend anything.
Practitioner courses in this track
Lab-based courses. You build, test and cost real strategies and systems on market data.
- Execution Algorithms: VWAP, TWAP and Beyond How large orders are traded without moving the price against you: VWAP and TWAP schedules, implementation shortfall, market impact models, the Almgren-Chriss trade-off, and transaction cost analysis.
- Limit Order Books How the limit order book works and what it reveals: matching rules, queue priority, depth and liquidity, order flow imbalance, and the short-term price dynamics that execution and market-making strategies depend on.
Researcher courses in this track
Proof-level courses. Stochastic models, estimation theory and the literature behind each method.
- High-Frequency Trading The models behind high-frequency strategies: optimal market making with inventory risk, adverse selection, short-horizon signals from the book, latency arbitrage, and how to test strategies whose results depend on queue position.
- Smart Order Routing How orders are split across competing venues: market fragmentation, best-execution rules, fee and rebate structures, fill probability and adverse selection by venue, and routing formulated as an optimisation problem.
Credentials that use this track
- Certificate in High-Frequency Trading and Market MicrostructureFive courses and a capstone on how orders meet: the limit order book, execution algorithms, venue routing, market making and the systems that run them.
- Professional Diploma in Algorithmic TradingThe top credential on the practitioner path. Eight courses and a 40-hour capstone covering everything between a trading idea and a book you could defend to a risk committee.
Questions applicants ask
What is market microstructure?
The study of how trading mechanisms set prices: order types, the limit order book, the bid-ask spread, market impact and the behaviour of liquidity providers. It explains why the price you trade at differs from the price on the screen.
Do I need C++ for the high-frequency courses?
Limit Order Books and Execution Algorithms use Python. High-Frequency Trading and the credential’s systems course use C++.