FX executions
First Published in Automated Trader Magazine Issue 21 Q2 2011 : Roundtable
Leading sellside figures discuss the key challenges traders face in using algo execution in the FX markets and the distinct characteristics of FX algo usage, and assess the critical differences between FX and other asset classes in the automated and algorithmic context.
This month's new feature is the Sellside Round Table. While our buysiders continue to discuss trading ideas and model development (page 32), a select group of sellside figures has joined us at the editorial round table to debate the key challenges traders face in using algo execution in the FX markets - questions are posed by senior members of the Automated Trader team. Appropriately for such a large subject, this will be a two-part feature, with the distinct characteristics of FX algo usage covered in this issue, coupled with an assessment of the critical differences between FX and other asset classes in this context . In Q3, the debate moves on to FX algo development and the prospects for FX algo functionality that accommodates multi-asset strategies.
Joining us at the SELLSIDE ROUND TABLE
Cameron Mouat - Head of foreign exchange algorithmic execution, Deutsche Bank
Paul Beatty - Global Head of FX, Bloomberg Tradebook
Gary Stone - Chief Strategy Officer, Bloomberg Tradebook
James Dalton - Director of FX Algorithmic Execution, Citi
Jonathan Wykes - Head of AES FX Sales EMEA, Credit Suisse
Automated Trader: What are the key differences in the design and application of FX and equity execution algos? How does buyside demand growth for each category compare?
Cameron Mouat: One of the key differences is that FX execution venues do not publish transaction volumes to the same level as equity markets. This results in less transparency, and quantitative methods required to study the dynamics of market microstructure will have a higher degree of uncertainty. Execution algorithms need to factor this into their decision process.
Another major difference is....
