Free module · Systematic strategy development
High-Frequency Trading: Signals, Queues & Execution
Measure edge at the point where information becomes an order—and an order becomes a fill.
order books · latency · adverse selection · inventory · replay
The building blocks
High-frequency trading concerns decisions on short market timescales. Begin with who submits an order, where it waits and when it can fill before discussing latency or learned policies.
- Trace quotes, trades and acknowledgements
- Measure queues, inventory and order flow
- Test a strategy in an event-driven replay
Lessons in this module
- HFT economics and the information-to-fill timeline
- Order-book features: imbalance, microprice and event flow
- Volume clocks, trade imbalance and VPIN
- Queue position, fill probabilities and adverse selection
- Inventory-aware quoting and economic edge development
- Event-driven backtesting and order lifecycle correctness
- HFT research promotion, drift and operating limits
Practice and apply
- Can the signal survive the delay? — Initial edge 2 bps, decay 10 ms, all-in cost 1 bp.
- Account for the queue ahead — 100 units ahead, own size 50, 130 units of aggressive volume at the price. Ignore cancellations.
- Volume imbalance — Completed 100-unit buckets have buy volumes [70,40], sell volumes [30,60]. Find the aggregate absolute-imbalance score.
Work through the practice exercises · Quant development tools