Module Handbook Academic Year

Algorithmic Trading

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Purpose of the handbook
This document outlines the module’s main features and provides you with the key
information you need during the module but if you have any queries about the running
of this module please do not hesitate to me.

For the module to operate smoothly it is essential that you are familiar with and abide
by certain rules and regulations. These regulations, codes, policies and procedures are
published online in the interest of fairness, consistency and transparency.
a. Academic Regulations
b. General Regulations

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Contents
Welcome message from module leader.................................................................................................2
Purpose of the handbook........................................................................................................................3
Teaching team and contact details.........................................................................................................3
A. Your Module M118LON Algorithmic Trading............................................................................5
1. Introduction to the module...........................................................................................................5
2. Aims..............................................................................................................................................5
3. Learning Outcomes.......................................................................................................................5
4. Indicative Content.........................................................................................................................6
5. Learning and Teaching activities..................................................................................................6
6. Module Resources........................................................................................................................7
7. Expected study time......................................................................................................................7
B. Module content and Design..........................................................................................................7
1. Session Plan/Curriculum Content and reading list (indicative)....................................................7
C. Assessment Details.......................................................................................................................8
1. Summary of assessment and deadlines.........................................................................................9
2. Assignment Brief..........................................................................................................................9
a. Assignment Guidelines..........................................................................................................12
b. Marking criteria/rubric...........................................................................................................12
c. Requirement of achieving a pass for each assessment...........................................................18
d. Word count.............................................................................................................................18
e. Submitting your assignment to Moodle (Turnitin)................................................................18
f. Extenuating circumstances: Late Submissions and Deferrals................................................18
g. Plagiarism...............................................................................................................................19
h. Assignment cover sheets........................................................................................................19
3. Return of marked work...............................................................................................................20
D. Other Details...............................................................................................................................20

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 A. Your Module M118LON Algorithmic Trading
1. Introduction to the module

The module aims to provide students with an overview of algorithmic trading core
concepts, frameworks, tools and applications.

The practical focus of the module is the application of Python and its environment
(NumPy, Pandas, SciPy…) to algorithmic trading so as to equip the student with
techniques and tools used by global financial institutions and finance professionals.

Seminars will give the opportunity to practice more advanced Python skills in relation
to algorithmic and systematic trading. The course will emphasise the practical
application of the frameworks using market data.

It is recommended to read core text books/ articles before lectures. Communication is

through Moodle and university email. Phones should be switched off during
lectures….

Your attendance will be monitored on this module and you are expected to attend all
timetabled lectures and seminars. You should inform the Registry Attendance teams
soon as possible if you are unable to attend any class and you may be asked for
supporting evidence. Repeated absence from teaching not only impacts upon your
learning experience and your likelihood of success in assessments, it can result in
eventual withdrawal from your course. Further information can be found on the
Registry Attendance and Engagement pages on the Student Portal.

2. Aims

 To enable students to identify and use various integrated development

environments, statistical and programming aspects of algorithmic trading in
ever integrated global context
 To equip students with a range of numerical methods and combined with
appropriate computational tools and techniques, aligned to quality
improvement of a financial trader’s decision making techniques in the context
of global investment.
 To describe and explain financial and algorithmic trading strategies and use
programming to feed real or simulated financial trade data to well-integrated
development environments.
 To enable students to appreciate and assess the increased role of computing
and algorithmic trading strategies, the risks (and rewards) of using automation
to facilitate trading.

3. Learning Outcomes

On completion of this module the student should be able to:

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 1. Use algorithmic design methodology and core programming constructs to
implement common numerical methods applied to trading.
2. Use algorithmic strategies to develop and automate appropriate processes to
evaluate return rates on commonly available market traded instruments.
3. Investigate and possibly blend statistical programming capabilities and the
testing of financial strategies to connect a real and/or simulated trading data
feed to an integrated development environment.
4. Independently choose and evaluate the appropriateness of professional tools
designed to automate market trading.
5. Develop an understanding of current research methods in finance and
summarise current research in this area.

4. Indicative Content
 Systematic versus discretionary trading. Technical analysis of price
charts of financial instruments.
 APIs and their use in the acquisition of data via the internet. Quandl
 Basic programming: loops, control flow and data types.
 Python programming with NumPy, Pandas and matplotlib.
 Algorithm design for key strategies such as trend-following, mean-
reversion and carry.
 Kelly criterion, volatility models and position sizing.
 Assessing the impact of trading costs on profitability.
 Evaluating the efficacy of strategies using Sharpe ratios and drawdown
 Constructing portfolios of strategies.

5. Learning and Teaching activities

Teaching, learning and assessment at Coventry University London offers students the
ability to develop their knowledge, skills and competences through a curriculum that
is purposely designed to provide both an exceptional learning experience and also
engage them with the four areas of curriculum excellence to which Coventry
University London is committed;

 Career-building,
 21st-century-learning driven,
 Technology-enabled,
 And internationally-orientated.

The module will be available to students on-campus, supported by the Moodle

learning management system which directs their programme of study. All teaching,
learning and assessment materials will be available to both staff and students via the
system in a consistent and user-friendly manner.
Students will engage primarily via a number of learning blocks in each module:
 Knowledge & Understanding; this block is concerned with the sharing of
academic theory and concepts to ensure students have mastered a critical
appreciation of current and relevant research in the subject area.

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  Application; this block brings the knowledge and understanding ‘to life’ by
relating it to current practice. It takes a critical view of the theory and concepts
as they are employed in the workplace in order to encourage students to
evaluate their significance and merit.
 Analysis& Problem solving; this block requires students to develop and
demonstrate their essential analytical skills in order to respond to employer
related problems by making a set of clearly evaluated recommendations.

Alignment to Course(s)
The module fits with the course aims and course learning outcomes in the following
way:

Enables students to develop knowledge and understanding in the core area of the
statistical design of algorithmic trading strategies. The module equips the student with
the skill to conduct financial trading.

6. Module Resources
Essential Reading
“Quantitative Trading” Ernest P. Chan Wiley Finance 2009

Recommended Reading
“Systematic Trading” Robert Carver Harriman House 2015
“Algorithmic Trading” Ernest P. Chan Wiley Finance 2013
“Python for Finance” Yves Hilpisch O’Reilly 2015

7. Expected study time

Student activity and time spent on each activity comprises:
Activity Type Time Proportion
Spent
Guided 44 hours 29%
Lecture 11 hours 7%
Self-guided 73 hours 49%
Seminar 22 hours 15%
Total 150 Hours 100%

B. Module content and Design

1. Session Plan/Curriculum Content and reading list (indicative)

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 Topic Reading to complete
Lecture/
Seminar
Introduction to “Quantitative Trading”
Week 1
systematic trading.
1

Week 2 Basic Python “Python for Finance” Chapter 4

2 programming https://docs.python.org/3/tutorial/
Technical indicators I

Week 3 Python Functions and “Python for Finance”

3 data types (strings, www.scipy-lectures.org/index.html
tuples dict)
Technical indicators II

Week 4 Python environment: “Python for Finance” Chapter 6

4 Pandas, NumPy https://lectures.quantecon.org Python
Technical indicators III version

Week 5 Data sources. Using Quandl.com

5 Quandl. csv file readers
Technical indicators IV

Week 6 Technical indicators V “Systematic Trading” Chapter 3

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Week 7 Volume-price trend “Systematic Trading” Chapter 2

7 Elliot Waves

Week 8 Components of Algo- “Quantitative Trading”

8 Trades in Stocks

Week 9 Back-Testing “Systematic Trading” Chapter 9

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Week 10 High Frequency “Systematic Trading” Chapter 11

10 Trading

Week 11 Revision and

11 coursework week

These above topics are a guide and subject to change. Students will be notified of any
changes sufficiently in advance.

Refer to your online timetable for the room and timing information.

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 Room numbers in University House follow the same pattern. For example room 2.14
is on the second floor. Room 4.14 is on the fourth floor.

C. Assessment Details

1. Summary of assessment and deadlines

Assessment Weight Assignment Weight Length Anticipate Anonymous

Title towards towards d Due Date Submission
final assessmen Required?
grade t
Coursework1 40% Group 40% 1,500 See Yes
coursework words Moodle
submission
link
Coursework2 60% Individual 60% 1,500 End of Yes
coursework words term

Please note: The handing in of a coursework assignment or attendance at an

examination will be regarded as a declaration that you were fit for the assessment and
ordinarily, no subsequent claims for extenuating circumstances regarding that
assessment can be accepted.

See course handbook for more information on submission process

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