Students

AFIN8019 – Algorithmic Trading

2022 – Term 1, Online-scheduled-In person assessment, North Ryde

General Information

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Unit convenor and teaching staff Unit convenor and teaching staff
Sean Foley
sean.foley@mq.edu.au
Abhay Singh
abhay.singh@mq.edu.au
Credit points Credit points
10
Prerequisites Prerequisites
ACST6003 or (Admission to MFin or MActPrac)
Corequisites Corequisites
Co-badged status Co-badged status
Unit description Unit description

The unit introduces core concepts on trading where students examine the market design and structure and how market forces and information shape and affect the order flow and execution. The trading process and the strategies used by the traders to achieve their intended trading outcomes will be discussed. Interactive trading software, complemented with case studies, will be used to simulate the daily activities of a real trading room. Students will design the trading algorithms, execute the orders and analyse the trading outcomes.

Important Academic Dates

Information about important academic dates including deadlines for withdrawing from units are available at https://www.mq.edu.au/study/calendar-of-dates

Learning Outcomes

On successful completion of this unit, you will be able to:

  • ULO1: Explore the trading process and identify relevant information that affect trading decisions.
  • ULO2: Design and operate computer-based trading algorithms.
  • ULO3: Interpret and apply theoretical predictions and findings to real-world global financial markets.
  • ULO4: Identify trading problems and learn how to solve them.

General Assessment Information

Late submissions of assessments Unless a Special Consideration request has been submitted and approved, no extensions will be granted. There will be a deduction of 10% of the total available assessment-task marks made from the total awarded mark for each 24-hour period or part thereof that the submission is late. Late submissions will only be accepted up to 96 hours after the due date and time.

No late submissions will be accepted for timed assessments – e.g., quizzes, online tests.

Table 1: Penalty calculation based on submission time

Submission time after the due date (including weekends)

Penalty (% of available assessment task mark)

Example: for a non-timed assessment task marked out of 30

< 24 hours

10%

10% x 30 marks = 3-mark deduction

24-48 hours

20%

20% x 30 marks = 6-mark deduction

48-72 hours

30%

30% x 30 marks = 9-mark deduction

72-96 hours

40%

40% x 30 marks = 12-mark deduction

> 96 hours

100%

Assignment won’t be accepted

 

 

Special Consideration

To request an extension on the due date/time for a timed or non-timed assessment task, you must submit a Special Consideration application. An application for Special Consideration does not guarantee approval.

The approved extension date for a student becomes the new due date for that student. The late submission penalties above then apply as of the new due date.

 

Assessment Tasks

Name Weighting Hurdle Due
Group Project 30% No Please refer to iLearn
In Class Quizzes 20% No Please refer to iLearn
Final Exam 50% No Fri 18 Feb 2021

Group Project

Assessment Type 1: Project
Indicative Time on Task 2: 25 hours
Due: Please refer to iLearn
Weighting: 30%

 

Students will conduct simulation exercise and produce quantitative and qualitative analysis and write reports of 1,500 to 3,000 words.

 
On successful completion you will be able to:
  • Explore the trading process and identify relevant information that affect trading decisions.
  • Design and operate computer-based trading algorithms.
  • Interpret and apply theoretical predictions and findings to real-world global financial markets.
  • Identify trading problems and learn how to solve them.

In Class Quizzes

Assessment Type 1: Quiz/Test
Indicative Time on Task 2: 15 hours
Due: Please refer to iLearn
Weighting: 20%

 

Students will be required to complete a series of in-class quizzes.

 
On successful completion you will be able to:
  • Explore the trading process and identify relevant information that affect trading decisions.
  • Design and operate computer-based trading algorithms.
  • Interpret and apply theoretical predictions and findings to real-world global financial markets.
  • Identify trading problems and learn how to solve them.

Final Exam

Assessment Type 1: Examination
Indicative Time on Task 2: 30 hours
Due: Fri 18 Feb 2021
Weighting: 50%

 

A 2 hour final exam will be conducted during University Exam Period.

 
On successful completion you will be able to:
  • Explore the trading process and identify relevant information that affect trading decisions.
  • Interpret and apply theoretical predictions and findings to real-world global financial markets.
  • Identify trading problems and learn how to solve them.

1 If you need help with your assignment, please contact:

  • the academic teaching staff in your unit for guidance in understanding or completing this type of assessment
  • the Writing Centre for academic skills support.

2 Indicative time-on-task is an estimate of the time required for completion of the assessment task and is subject to individual variation

Delivery and Resources

Lectures and seminars are recorded and will be made available on iLearn from 17 January onward. 

There will be online interactive sessions to be held on the following dates and Sydney time: 

  • Sat 15 Jan at 5 - 6pm 
  • Sat 22 Jan 5 - 7pm
  • Tue 25 Jan 5 - 7pm
  • Tue 1 Feb 5 - 7pm
  • A revision session to be held in the week commencing 7 Feb. Date and time will be confirmed later. 

You are strongly recommended to attend these sessions in person. If you have a valid reason for absence such as illness, the recorded session may act as backup so that you can keep on top of the material. 

Unit Schedule

Topic  

Topic Info

1

Trading Basics: Electronic Limit Order Books

2

Market Participants and Transaction Costs

3

Market making, adverse selection and spreads

4

Fragmentation and VBA Coding

5

Best Execution, Alternate Priority Mechanisms, Tick Size Extensions, Fee Structures

6

Arbitrage + VBA Extensions

7

Dark Trading

8

Predatory Trading

9

Speed Bumps, Quote Fade and Smart Order Routing

10

Market Dislocations

11

Crytocurrencies – Operation, regulation, infrastructure, transaction costs, investability, arbitrage

Policies and Procedures

Macquarie University policies and procedures are accessible from Policy Central (https://policies.mq.edu.au). Students should be aware of the following policies in particular with regard to Learning and Teaching:

Students seeking more policy resources can visit Student Policies (https://students.mq.edu.au/support/study/policies). It is your one-stop-shop for the key policies you need to know about throughout your undergraduate student journey.

To find other policies relating to Teaching and Learning, visit Policy Central (https://policies.mq.edu.au) and use the search tool.

Student Code of Conduct

Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/admin/other-resources/student-conduct

Results

Results published on platform other than eStudent, (eg. iLearn, Coursera etc.) or released directly by your Unit Convenor, are not confirmed as they are subject to final approval by the University. Once approved, final results will be sent to your student email address and will be made available in eStudent. For more information visit ask.mq.edu.au or if you are a Global MBA student contact globalmba.support@mq.edu.au

Academic Integrity

At Macquarie, we believe academic integrity – honesty, respect, trust, responsibility, fairness and courage – is at the core of learning, teaching and research. We recognise that meeting the expectations required to complete your assessments can be challenging. So, we offer you a range of resources and services to help you reach your potential, including free online writing and maths support, academic skills development and wellbeing consultations.

Student Support

Macquarie University provides a range of support services for students. For details, visit http://students.mq.edu.au/support/

The Writing Centre

The Writing Centre provides resources to develop your English language proficiency, academic writing, and communication skills.

The Library provides online and face to face support to help you find and use relevant information resources. 

Student Services and Support

Macquarie University offers a range of Student Support Services including:

Student Enquiries

Got a question? Ask us via AskMQ, or contact Service Connect.

IT Help

For help with University computer systems and technology, visit http://www.mq.edu.au/about_us/offices_and_units/information_technology/help/. 

When using the University's IT, you must adhere to the Acceptable Use of IT Resources Policy. The policy applies to all who connect to the MQ network including students.

Unit information based on version 2022.03 of the Handbook