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. Order Books, Execution Algorithms and Trading Costs teaches queue priority, order types and book reconstruction from exchange data, then VWAP, TWAP and implementation shortfall, venue selection across fragmented markets, and transaction cost analysis to measure what each trade really cost. At Researcher level, High-Frequency Trading and Market Making covers the strategies and the race for latency, inventory risk, adverse selection and the Avellaneda-Stoikov model of optimal quotes.

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.

High-Frequency Trading Explained What is high-frequency trading? A plain account of what HFT firms do, how market making and arbitrage earn small amounts many times a day, why speed matters, and what the evidence says about its effect on markets. Open4 hours of materialFree

Practitioner courses in this track

Lab-based courses. You build, test and cost real strategies and systems on market data.

Order Books, Execution Algorithms and Trading Costs 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. It also teaches VWAP and TWAP execution algorithms, transaction cost analysis and smart order routing across venues. Practitioner12 hours of material$720

Researcher courses in this track

Proof-level courses. Stochastic models, estimation theory and the literature behind each method.

High-Frequency Trading and Market Making 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. It also teaches market making strategy and inventory risk. Researcher12 hours of material$900

Credentials that use this track

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 behavior 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?

Order Books, Execution Algorithms and Trading Costs uses Python. High-Frequency Trading and Market Making uses C++, which the credential’s systems course teaches.