2012-13 ACADEMIC YEAR

• MAK, Kevin, Rotman Interactive Trader, Release Files, Rotman School of Management, University of Toronto

Case Brief (CB)
Trader’s Guide (TG)
Case Tutorial (CT)
Support Sheet (SS)

• – Algorithmic Trading Case

• Algorithm 1 (ALGO1) – Arbitrage [CB, CT, SS]
• Algorithm 2 (ALGO2) – Market Making [CB, CT, SS]

• – Market Microstructure Case

• Market Microstructure 1 (MM1) – Order Driven Markets [CB, TG, SS]
• Market Microstructure 2 (MM2) – Liquidity [CB, TG, CT, SS]
• Market Microstructure 3 (MM3) – Alternative Trading Venues [CB, TG]

• – Commodities Case

• Commodities 1 (COM1) – Energy Trading [CB, CT, SS]
– Quantitative & Event Driven Case
• News 1 (QED1) – Model

• – RIT VBA Introduction – Tutorial [RIT VBA]
• MICROSOFT (MS), Visual Basic Developer Center
• VBA Lessons (VBA-L) 1-2, 5-6, 9, 11-12
• VBA Tutorials (VBA-T) 1-16, 20-21, 24-26, 29



2011-12 ACADEMIC YEAR

Textbook SCHWARTZ, Robert A., FRANCIONI, Reto, WEBER, Bruce W., The Equity Trader Course, 1st ed., Wiley Trading, 2006 (htm). Slides • Chapter 1a – Introduction to Equity Trading – Topic 1 (ppt) • Chapter 1b – Introduction to Trading Simulation – Topic 2 (ppt) • Chapter 1c – Prices, Returns & Trading Costs – Topic 3 (ppt) • Chapter 2 – Liquidity – Topic 4 (ppt) • Chapter 3 – Order Driven Markets – Topic 5 (ppt) • Chapter 4 – Call Auctions vs Continuous Trading – Topic 6 (ppt) • Chapter 5 – Intermediated Markets – Topic 7 (ppt) • Chapter 6 – The Road to Algorithmic Trading – Topic 8 (ppt) • Chapter 7 – Performance Measurement – Topic 9 (ppt) Trader Exercises • Trading in order book systems: Effective buying and selling (pdf) • Who moved my Alpha? (pdf) • Making Markets – Adding Value as a Trading Intermediary (pdf) • Call Auctions – What are we waiting for? (pdf) • Trading with Dark Pool Liquidity (pdf)

Support Materials MAK, Kevin, Rotman Interactive Trader, Release Files – Case Brief, Guide, Tutorial, Support (htm) MICROSOFT, Visual Basic Developer Center (htm)

Rotman Interactive Trader • Index (htm) • Features (htm) • Software (htm) – Download (msi) – Demo (htm) – Market Microstructure 2 (MM2) – Liquidity – Brief (pdf), Tutorial (pdf)

TraderEx • Index (htm) • Register (htm) • Log-in (htm) • Technical support – Getting started (pdf) – User’s manual (pdf) – TX Data Utility (pdf) • Frequently Asked Questions (htm)