Algorithmic Adventures: Futures Discovery EP 11

Algorithmic Adventures: Navigating the World of Order Book Strategies in Futures Trading

Hi, and welcome to Futures Discovery at John Lothian News. I am your host, Corties Draper. On this program, we’ll embark on the fascinating world of futures and learn from top professionals in the field.

Today, we’re immersing ourselves in a pivotal episode focused on Algorithmic Adventures: Navigating the World of Order Book Strategies in Futures Trading. It’s not merely about numbers and charts; it’s about deciphering the dynamic landscape of financial trading. Join us as we delve into the intricacies of reading your statement as a professional in the futures market and unravel the secrets behind successful algorithmic strategies.

Navigating the World of Order Book Strategies in Futures Trading

In this episode, we’re peeling back the layers of order book algorithms, the powerhouse driving modern futures trading. These algorithms are not just tools; they’re the intricate engines shaping the landscape of financial markets. From the fundamental “Limit Orders,” allowing traders to specify their desired trade price, to the swift execution of “Market Orders” at the prevailing market price—these are the building blocks of sophisticated trading strategies.

But it doesn’t stop there. We’ll delve into the strategic realm of “VWAP,” or Volume-Weighted Average Price. This algorithm seeks to achieve an average price by considering trading volume at different price levels. It’s a sophisticated approach employed by many institutional traders to minimize market impact.

And then there’s the thrilling world of “Sniping Algorithms.” Imagine rapid-fire, precision trading in the final moments before a market closes—a high-stakes game designed to capitalize on last-second price movements. It’s a strategy that demands not only speed but strategic finesse.

Challenges of algorithmic trading

However, as with any powerful tool, challenges abound. We’ll be addressing concerns about market manipulation, transparency issues, and the ever-present risk of rapid market crashes. It’s essential to understand the potential pitfalls that come with the use of these powerful algorithms.

So, buckle up as we traverse the fast-paced algorithmic landscape of futures markets. By the end of this episode, you’ll not only understand the basics but be armed with insights into the strategic and sometimes treacherous world of algorithmic adventures.

This is just a brief overview of algorithmic adventures and navigating the world of order book strategies in futures trading. To obtain a more insightful perspective on this mathematical aspect of the futures market, let’s engage in a conversation with Brian Peterson, the owner of windy financial and Managing Member at Braverock Investments, who possesses a wealth of experience in the futures industry.

00:00:00 – Introduction
00:00:34 – Understanding Order Book Matching Strategies
00:01:18 – Exploring FIFO and Pro Rata
00:01:59 – Diving into VWAP and Sniping Algorithms
00:02:38 – Addressing Challenges and Risks
00:03:13 – Conversation with Brian Peterson
00:03:51 – Understanding Order Book Matching Algorithms
00:04:46 – Understanding Limit and Market Orders
00:07:07 – Insights into VWAP and Sniping Algorithms
00:14:24 – Understanding FIFO and Pro Rata Algorithms
00:16:32 – Implications of Different Matching Algorithms
00:19:45 – Introduction
00:19:53 – Market Manipulation and Market Makers
00:20:19 – Understanding Market Terms
00:21:08 – Market Manipulation Tactics
00:22:36 – Risk Management in Algorithmic Trading
00:24:47 – Emerging Trends in Algorithmic Trading
00:27:38 – Advice for Newcomers in Algorithmic Trading
00:29:36 – Key Takeaways from Career in Algorithmic Trading


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Corties Draper

Roosevelt University student, CBOT Clearing Corporation Foundation Honors Fellow and captain of the Roosevelt football team

Full Episodes


The role of the FCM: Futures Discovery EP 10

The role of the FCM: Futures Discovery EP 10

In episode 10 of Futures Discovery, we’re immersing ourselves in a detailed exploration of the pivotal role of Futures Commission Merchants, commonly known as FCMs. These financial intermediaries play a crucial role in facilitating futures and options trading, serving as a linchpin in the complex web of derivative markets. Understanding the intricate responsibilities and functions of FCMs is essential for navigating the dynamic landscape of modern financial systems.

Contango: Futures Discovery EP 9

Contango: Futures Discovery EP 9

In episode9 of Futures Discovery, we explore the fascinating world of futures trading, focusing on a concept called contango. In this episode, Cortez explains why futures prices for commodities, like oil, can be higher in the distant future compared to the near future. We’ll look into the costs of holding physical assets, like storage and insurance, and how these costs affect futures prices. Whether you’re an experienced investor or new to the futures market, this episode offers valuable insights.

Cost of Carry: Futures Discovery EP 8

Cost of Carry: Futures Discovery EP 8

In episode 8 of Futures Discovery, we’re looking into the cost of carry which is fundamental to making informed trading decisions. The cost of carry in futures trading refers to the expenses incurred for holding a futures contract over time, including interest rates, storage costs, and other factors. In this blog post, we’ll explore the intricacies of cost of carry and how it impacts futures pricing dynamics.

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