Algorithmic trading is one of the most phenomenal changes in the nancial industry in the past decade. As one stream of the technology waves that reshaped the landscape of nancial markets, algorithmic trading has two key features: First, fully automated and algorithmic

based trading, while humans behind the scene were responsible for designing the algorithms for automation, they themselves were less involved with the direct trading due to the inferior of human reaction speed compare with the computers. Second, the trading speed has come all the way through from second to microsecond and now reaches nanosecond scale. The statistics showed that the computer based trading has taken over more than 75 percent shares in the U.S stock market and even higher percentage in the derivative market(10).