ABSTRACT
Designing and creating high performing algorithms is no simple matter and requires significant research work on the modeling and calibration of the strategy itself and the underlying execution. This chapter provides a high-level view of the necessary research stack and what is entailed in running a large trading operation at scale, from the data infrastructure, to the automated calibration and deployment of models, and to simulation environment to be used as a testing ground. Finally, we address the need to develop flexible and powerful transaction cost analysis (TCA) environment in order to measure, compare and improve performance of strategies in various settings.
