Online Exclusive Articles
Market Data Maelstrom
Immense market data volumes and a relentless latency race to zero has created plenty of challenges for high (and low) frequency trading firms as they attempt to trade modern markets. Not least of which being the need to be able to spot faults at trading speed. Bob Giffords talks to experts from leading buy- and sell-side firms to explore the world of FPGAs, microsecond timestampting, clustered trading engines and more...
Conference Take-aways: High Frequency Trading for Fund Management Firms 2011
Crowded trades, indifferent regulators, diminishing margins, the latency arms race, and the need to get the right kind of silicon enhancements were just some of the challenges being discussed at High Frequency Trading for Fund Management Firms 2011. Conference chairman and regular Automated Trader columnist, Bob Giffords, gives his detailed report from the event, and analyses the discussions around latency, regulation, risk, and market structure.
Conference Take-Aways: HiFREQ TRADE 2011
28 February 2011 - Latency measured in nanoseconds, FPGA's, ongoing systemic risk and worries over knee-jerk regulatory changes, were just some of the topics discussed at this year's HiFreq Trade Conference in London. Conference Chairman and regular Automated Trader contributor, Bob Giffords, offers his insights into the key points raised at the event.
Article Preview: Anatomy of an Algo - Welcome to the Dry Side
Anatomy of an Algo in our Q1-2011 issue describes an intelligent liquidity seeking algo attempting to get a large order executed in a small cap Austrian stock. In this preview, Citigroup's Paul Bently offers some insights into the concept behind the algo.
Conference Take-Aways: TradeTech Architecture Data Technology 2011
15 February 2011 - Bob Giffords reports on the key topics and themes from this year's TradeTech Architecture Data Technology conference in London.
Fit to Fade? News Driven Algorithmic Trading Strategies
With potentially terabytes of conflicting data arriving on multiple ultra low latency data feeds, a myriad of ways to slice and dice the flow of information, and the not inconsiderable challenge of accurately factoring in sentiment and expectation to challenge any news algo, automating trading from news and getting it right is possibly one of the greatest challenges for a high frequency trading firm. Bob Giffords analyses the extent and sophistication of some of the news driven trading strategies currently in operation.
eFX: Speed or Bleed. Globally Fragmented Liquidity and Ultra Low Latency Forex Trading.
Forex traders knew all about fragmented liquidity long before the equity trading community had to grapple with the fragmentation problem. But the move first to electronic trading, followed by the arrival of high frequency FX traders has had its challenges. And opportunity springs from challenge. Bob Giffords speaks to the key players to find out how the FX trading community has adapted to an ultra low latency trading environment.
Webinar: New Trading Opportunities in Commodity Markets
Bob Giffords moderates Automated Trader's webinar "New Trading Opportunities in Commodity Markets" with a panel including: Aaron Gill, Head of Business Development, NYSE Liffe; Tim Ferguson, Director, RTS Realtime Systems; and Andrew Chart, Head of PTG Sales, Newedge.
Macro View: Are you feeling Queasy too?
With the Obama administration seemingly neutered following November's mid-term elections - in the process scuppering the possibility of any fiscal stimulus from the Democrats' public spending agenda, markets will be closely montoring the effects of the second round of quantitative easing to see if it can bring a pulse back to the US economy. So, what are the chances of Uncle Sam getting out of intensive care and back to full health with a trip on QE2? Here's one fund manager's view.
Macro View: Feeling Queasy
New York based Conquest Capital have an impressive 12+ year track record running systematic models, but that doesn't mean you can't have a macro view. And Marc H. Malek, Conquest's Managing Partner, does. Here, as an addition to the full interview with Marc from the Q4-2010 issue of Automated Trader, Marc describes the forces that he sees currently driving global markets.
Flash Crash - The Hunt for Weapons of Market Destruction
Bob Giffords scours September's CFTC/SEC "Flash Crash" report for the regulators' conclusions, lessons and remedies
Flash Crash: A Smoking Gun?
With US regulators still combing the evidence for the smoking gun, Alison Crosthwait offers Instinet's "Flash Crash" analysis and conclusions. Alison Crosthwait at Instinet investigates.
Conference Take-Aways: FPL EMEA Trading Conference 2010
There is something about a really big conference with 750 delegates that makes you feel you are getting somewhere. There is so much going on between the main event and sideshows, so many exhibits and so much ambitious networking that there is a real sense of momentum.
"Trading Hubs Reach for the Clouds"
The e-trading landscape is being radically transformed by two irresistible forces: proximity trading and cloud computing. Together they create rich opportunities for e-services providers. So what are the drivers and how can firms stay ahead of the curve?
Conference Take-Aways: TSAM Trading Technologies 2010
There is always so much going on at Osney Media's annual TSAM conference on technology solutions for asset managers that you wish you could attend all the streams, but in the end you have to choose. As chairman of the trading technologies stream my choice was made, but it proved fortunate as delegates this year were in a serious investment mood.
Conference Take-Aways: InVantage Group's HIFREQ TRADE
Last week's HIFREQ TRADE event in London provided some fascinating insights into high frequency trading and its effects on the market 'fabric'. Bob Giffords, Independent Banking & Technology Analyst & Conference Chairman sums up some of the key points.
Conference Take-Aways: TradeTech Architecture 2010
Exotic silicon, artificial immune systems, proximity trading hubs and news flow agos were just some of the topics discussed this year at TradeTech Architecture where the mood was altogether more upbeat. Bob Giffords outlines the key themes and where the technology dollars are headed.
Listing Market Outages: A continuity and price formation study
As trading fragments to multiple trading venues in a post-MiFID landscape, there has been considerable discussion about whether price formation can take place on the new trading venues (Multilateral Trading Facilities or MTFs) or whether it is inextricably linked to the "primary" or "listing" market.
Bats: "Absolutely enough liquidity for price formation"
Paul O'Donnell, COO BATS Europe, explains that the MTF's are already credible price formation venues and that the recent LSE outages serve to highlight that.
SOR headache continues....
Knight Capital's Kee-Meng Tan draws on his experience from the US and predicts that it's only a matter of time before traders are completely comfortable using alternative venues when the LSE is down.
Three Hour Auction: "Wholly Inappropriate..."
Richard Balarkas, CEO, Instinet Europe, gives his opinions and insight on some of the questions thrown up by the recent outages at the London Stock Exchange
It's called an alternative market for a reason...
Todd Golub, COO, Nasdaq OMX Europe offers his thoughts on the recent outages at the LSE and the way they were handled.
LSE Outage: Fidessa's Steve Grob on the outage, the auction and the implications
What do we expect from our markets when the primary exchange goes down? Steve Grob, Director of Strategy at Fidessa, lends his thoughts on the outage at the LSE last week.
LATENCY ROUND TABLE: The routes from L …
… are paved with good technology. Working with key industry figures, Automated Trader has convened a round table on the enduring issue that is latency. Are there common practices emerging? One idea that has gained traction in the recent past is latency standardisation: would a latency standard help with measurement and benchmarking? And if so, how? That's where we begin. Our round-table participants are gathered from across the industry.
As the focus turns to risk management, don't neglect the front office
All the indicators are pointing to a sharp decline in technology spending in financial markets. That obviously makes maximising the value-add of tech investment an absolute must. Zohar Hod of SuperDerivatives argues that this does not automatically imply allocating all available budget to the back/middle offices.
Develop Cleaning Algorithms from "Quality Money Management" by Andrew Kumiega and Benjamin Van Vliet
As the competition to produce and quickly deploy profitable trading models continues to increase, many participants are starting to pay more attention to refining their model development process. In the third of three excerpts from their book "Quality MoneyManagement", Andrew Kumiega and Benjamin Van Vliet discuss the development of data cleaning algorithms.
Researching Quantitative Methods from "Quality Money Management" by Andrew Kumiega and Benjamin Van Vliet
As the competition to produce and quickly deploy profitable trading models continues to increase, many participants are starting to pay more attention to refining their model development process. In the second of three excerpts from their book "Quality MoneyManagement", Andrew Kumiega and Benjamin Van Vliet explain how research methods for quantitative strategies fit into the overall development process.
Excerpt from "Quality Money Management" by Andrew Kumiega and Benjamin Van Vliet
As the competition to produce and quickly deploy profitable trading models continues to increase, many participants are starting to pay more attention to refining their model development process. In the first of three excerpts from their book "Quality Money Management", Andrew Kumiega and Benjamin Van Vliet provide an overview of an optimal process for trading model development.
A stochastic model for order book dynamics
We propose a stochastic model for the continuous-time dynamics of a limit order book. The model strikes a balance between two desirable features: it captures key empirical properties of order book dynamics and its analytical tractability allows for fast computation of various quantities of interest without resorting to simulation. We describe a simple parameter estimation procedure based on high-frequency observations of the order book and illustrate the results on data from the Tokyo stock exchange. Using Laplace transform methods, we are able to eﬃciently compute probabilities of various events, conditional on the state of the order book: an increase in the mid-price, execution of an order at the bid before the ask quote moves, and execution of both a buy and a sell order at the best quotes before the price moves. Comparison with high-frequency data shows that our model can capture accurately the short term dynamics of the limit order book.
FPGA Acceleration of European Options Pricing
Today, Monte Carlo (MC) methods are widely used in finance to price derivative securities. In this approach, the value of the option is expressed in terms of an integral of very high dimensionality. Monte Carlo methods are used to estimate the value of this integral by brute force. These calculations consume a significant portion of the run-time and energy of financial data centers. Therefore, we present a hardware accelerator that computes the price of a European call option via MC. In our approach, after some initial setup, the entire MC simulation is performed by the FPGA. We demonstrate performance in excess of 250× that of a modern 3 GHz multi-core processor. By Nathan Woods, XtremeData, Inc.