This book is accompanied by a web site,
http://www.hftradingbook.com. The web site supplements the materials in the book with practical algorithms and data, allowing the registered readers to develop, test, and deploy selected trading strategies featured in the book.
To receive these free benefits, you will need to follow two simple steps:
Visit the book's web site at
Follow the instructions on the web site to register as a new user. You will need a password from this book to complete the registration process. The password is: high-frequency.
By logging onto your account at
www.hftradingbook.com, you will be able to browse and download valuable code for selected algorithms discussed in the book. These are the algorithms that will be accessible to registered site users:
The market-making model of Avellaneda and Stoikov (2008), discussed in Chapter 10
An intraday equity arbitrage strategy, presented in Chapter 13
A market-neutral arbitrage strategy, also from Chapter 13
A classic portfolio-optimization algorithm of Markowitz (1952), explained in Chapter 14
The Strike execution algorithm from Chapter 18
In addition to the programming code, the web site provides tick data samples on selected instruments, well suited for testing the algorithms and for developing new trading models.