Outline of Lectures
Automatic High Frequency Trading and Strategies
Mark Bulkin, PhD, Head of Research
Bleecker Street Capital, LLC
14 Wall Street, 20th Floor, New York, NY 10005
Investments management firm Bleecker Street Capital, LLC (Bleecker) is offering a course focused on the
investment strategies, whose importance grew after the financial crisis of 2008. Examples of such strategies include
high frequency and global macro strategies, offered by Bleecker. We believe that this course is well suited for
professional strategists, traders, portfolio managers and investors as well as for persons who are only starting
their careers in capital markets. A separate session will be available for brokerage customers (or companies) upon
1. Advancement of philosophy and technology of high frequency strategies. (2 hour)
a. History, recent results, main characteristics, technology requirement, limitations
b. Market Data for high frequency trading (Level I, Level II) and Historical Data Base creation.
c. Data synchronization including cleaning, filtering, consolidating data from different sources,
verification and testing, analysis of time delays.
d. Real system demo and Discussion (1 hour)
2. Modeling and strategies; (2 hour)
a. Elements of the Model: Stock, Order. Market Players,(Exchanges, ECNs, Dark Pools).
b. Different states of the objects in the Model
c. Smart Order routing-system for unconditional and fast fulfillments of orders. Live trading
d. Automated and Mixed trading strategies, price movement indicators, strong/ weak states,
algorithms and modules for working in different trading modes.
e. Back testing strategies. Enhancements of Execution Simulator and Order Management System.
Visualization tools for analysis of trading strategies.
.f. Real system demo and Discussion (1 hour)
3. High frequency trading Software architecture and subsystems. Market Making and Algorithmic trading
Systems. Discussion (2 hour)
4. Benefits of Managed Account versus a hedge fund investment. Investors control of the account, real time
information and investor-friendly liquidity terms. Special session for brokerage customer (or companies)
Bleecker Street Capital, LLC
Bleecker is a New York based asset management firm, specializing in quantitative global macro investments.
Bleecker is a member of National Futures Association - a US government agency and is registered as a Commodity
Trading Advisor. Bleecker’s investment strategy aims to grow its clients’ assets, while significantly limiting
downside risk. Bleecker’s investment portfolio typically consists of long and short positions in equity futures, bond
futures and currencies, trading on major North American, European and Asian exchanges.
Mark Bulkin, head of research, PhD in Engineering from Kiev Technical University, (1982), MS in Probability and
Statistics from MGU (Russia 1970), has 15 years of successful experience in designing and managing quantitative
trading systems for several Wall Street firms. In his previous role Mr. Bulkin a Managing Director at LaBranche,
LLC. He lead development of a completely automatic high frequency trading system for more then 2000 stocks