Order Handling System (OHS)

• OHS is a system covering order placement, routing, and execution, crucial for efficient trading.
• Market impact is the effect of trading activity on an asset's price, especially from large orders potentially moving the market.
• Slippage is the difference between the expected trade price and the actual execution price, often due to volatility or insufficient volume.
• Implementation shortfall quantifies the cost of trading, including market impact and missed opportunities, by comparing paper portfolio returns to actual returns.

Order Handling System (OHS)

• Order placement involves submitting buy or sell orders, specifying order types, sizes, and instructions.
• Order routing determines the best market for execution based on price, liquidity, and execution probability.
• Order execution is the process of fulfilling the order, either partially or fully, in the selected market.

VWAP (Volume Weighted Average Price)

• Represents the average price of an asset throughout the day, weighted by volume.
• Calculated as $VWAP = \frac{\sum_{i}(Price_i \times Volume_i)}{\sum_{i}Volume_i}$.
• $Price_i$ is the price of the $i$-th trade, and $Volume_i$ is the volume of the $i$-th trade.

TWAP (Time Weighted Average Price)

• Represents the average price of an asset over a specific period, with equal weight to each price.
• Calculated as $TWAP = \frac{\sum_{i}Price_i}{n}$.
• $Price_i$ is the price at time $i$, and $n$ is the number of prices observed during the time period.

Repositories

• Qlib is Microsoft's Al framework for Quantitative Investment.
• FinRL is a framework for automated trading strategies in diverse financial markets.
• TradingGym is an open-source environment for training and evaluating reinforcement learning algorithms in trading.
• Gym is Open Al's toolkit for developing and comparing reinforcement learning algorithms.
• ElegantRL is a deep reinforcement learning library that is efficient, elastic and simple.
• Ray is a framework for scaling Al and Python applications.

Datasets

• Quandl is a platform for financial, economic, and alternative datasets.
• WRDS (Wharton Research Data Services) is a comprehensive business intelligence tool.
• Tiingo provides historical and real-time financial data.
• Alpaca is a commission-free stock brokerage with API access for algo-trading.
• IEX Cloud provides real-time and historical financial data infrastructure.
• Yahoo Finance is a website providing financial news, data and commentary.