This course is a practical introduction to algorithmic trading (AT) in the financial market. We will consider both algorithmic order execution and automated trading (such as high frequency trading (HFT)). In particular, we will cover such topics as financial market microstructure, order types, order-driven vs quote-driven markets, low-frequency, regularly spaced data vs high-frequency (or tick-by-tick) irregularly spaced data, limit order books, order execution algorithms and strategies, and high frequency trading. We will introduce models and techniques that are prevalent in modern institutional and retail investment management. The focus will be on applications and implementations of models in the R language as opposed to theoretical considerations and derivations. Quantitative analysis and computer programming will be emphasized.