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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

Improving backtesting sophistication

In the previous section, we looked at the importance of understanding and modeling latencies in an algorithmic trading setup correctly when backtesting trading strategies. If after carefully understanding, accounting for, and modeling latency variances in the algorithmic trading setup in historical simulations and redeploying the algorithmic trading strategy to live markets, we are still noticing simulation dislocations that are causing a deviation in strategy performance in live markets from what is expected, we can look into further backtesting sophistication.

Modern electronic exchangers provide a lot of information about every aspect of the matching process, beyond just providing accurate timestamps. ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content