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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

The severity of risk violations

One thing to understand before diving into all the different risk measures is defining what the severity of a risk violation means. So far, we've been discussing risk violations as being maximum risk limit violations. But in practice, there are multiple levels of every risk limit, and each level of risk limit violation is not equally as catastrophic to algorithmic trading strategies. The lowest severity risk violation would be considered a warning risk violation, which means that this risk violation, while not expected to happen regularly, can happen normally during a trading strategy operation. Intuitively, it is easy to think of this as, say, on most days, trading strategies do not send more than 5,000 orders ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content