Using a simulator to develop futures and bond algorithms

Robert Almgren
Quantitative Brokers and NYU

We will discuss use of a market simulator to develop execution algorithms in futures and cash bond markets. The simulator incorporates particular features of these markets such as pro rata matching, cointegration, workups, implied quoting, and event dynamics. We compare executions obtained in the simulator with real executions across more than a year of real trading, to identify the main sources of discrepancy. We discuss how short term trading signals can be evaluated in the simulator.

Back to Workshop II: The Mathematics of High Frequency Financial Markets: Limit Order Books, Frictions, Optimal Execution and Program Trading