I have written somewhere about algorithmic trading. There is enough content for other researchers to find ideas and do their own research so I am writing here at Wilmott.The life time of the trades done by our algorithms can vary anywhere between milli seconds and several minutes. We use our own algorithms to decode the ITCH format of Nasdaq(about 50 exchanges in the world use similar format. Other formats can be used) in which they transmit the data related to changes in the limit order book and these algorithms construct the limit order book in real time. We process the existing and new arrival volume of limit orders and the arrival volume of market orders on both sides of the limit order book in real time and also analyze various types of imbalances in the limit order book. This analysis is done in real time and is done for all the interesting liquid stocks in the stock market. We analyze the imbalances in the limit order book of all different stocks and from there determine the sentiment/emotion in the total market and different sectors. Algorithmic trading is done based on this analysis of collective emotion, imbalances in the books of different individual stocks, and other correlation/co-movement variables. The short time correlations in this project are calculated using a proprietary average of long term and short time running average basis.Here is the original post where I have written about it in a relatively more commercial setting. https://www.linkedin.com/pulse/algorith ... ation-amin

I am trying to quit mathematical finance and trying to get into disciplines like computational fluid dynamics and computational electromagnetism since these disciplines can possibly have quite a good application in my country where I want to live forever. I was just trying to get some contract before I say goodbye to finance and related things. I hope to write an article soon where I will reveal all secrets of algorithmic trading based on limit order book dynamics.