Algorithmic Trading Articles & Insight
NO SIGNAL is a regular column where we examine various snafus in the trading, particularly the automated trading world. We look at errors in application logic, mistakes by overzealous co-workers, failures in technology and temporary losses of power to both infrastructure as well as craniums. These all make for good stories that everyone can alternatively either learn from or be amused by - or both. If you have a story that you think makes for a valuable lesson or is simply funny in a facepalm moment kind of way, please get in touch with us at firstname.lastname@example.org. Naturally, we treat all submissions with the highest confidentiality. We are only interested in the lesson value, or in some cases the humour value, and not in identifying involved parties.
High frequency trading: Reaching the limits
The tremendous growth in high frequency trading (HFT) seems to have reached its limits in recent years. Massively increased costs for infrastructure and relentless competition are probably to blame.
What is an algorithm? Financial regulation in the HFT era
Regulators are increasingly concerned with automated trading and its potential risks. Can they learn something from the algorithm tagging rule in Germany's High Frequency Trading Act?
Supplemental proposal to regulation AT: What traders need to know
Supplemental Proposal to Regulation AT: What Traders Need to Know by J.P. Bruynes and Libbie Walker. The CFTC is revisiting some of its most controversial proposals on regulating algorithmic trading, most notably which market participants will be subject to regulation and CFTC access to proprietary source code.
A novel and quantitative perspective of the SEC
Quantitative analysis of speeches by the Securities and Exchange Commission (SEC) to categorize topics shows that regulators focus too often on issues of disclosure and transparency rather than on issues of market architecture and design.
Fetching market data into Excel using Python
Microsoft Excel is the 'go-to' solution for data manipulation and analysis in finance. However, it lags behind the reality of how data, particularly financial or trading data, is consumed in the age of the Internet. Here is a simple, yet powerful way to enable Excel to work with a wide variety of financial databases and sources.
The future of dark liquidity in Europe
The dark trading landscape faces fundamental change once again. The changes in MiFID 2/MiFIR, including dark volume caps, will profoundly affect most dark trading activity, fundamentally altering how institutional investors interact with hidden liquidity.
Automated trading in India
India's securities market regulator, the Securities Exchange Board of India (SEBI), has released a discussion paper on proposed regulation in the algorithmic trading/high frequency trading space.
NO SIGNAL is a regular column where we examine various snafus in the trading, particularly the automated trading, world. In 'No Storage For You' Uri Stocks considers the dangers of being penny wise, pound (or Euro) foolish when it comes to Xetra data storage. And in 'Sellers Only' - what happened on Borsa Istanbul when Buy and Sell translated into Sell and Sell. If you have a story that you think makes for a valuable lesson or is simply funny in a facepalm moment kind of way, please get in touch with us at email@example.com.
What I've learned building low latency systems
Software development for low latency trading tends to be shrouded in mystery. Development practices are often wrapped in layers of computational alchemy that tend to be impenetrable to outsiders. The industry rarely gives insights, even though it borrows heavily from other sectors to drive its own progress.
Shining Light on new Dark Pool Regulations
Dark pools used to be places for large block trades where institutions could transact significant deals away from prying eyes in order to prevent information leakage. However, the average trade size has come down to rival that of lit venues and regulations are adapting to the fact that dark pools are starting to look like just another exchange.
NO SIGNAL is a regular column where we examine various snafus in the trading, particularly the automated trading, world. We look at errors in application logic, mistakes by overzealous co-workers, failures in technology and temporary losses of power to both infrastructure as well as craniums. These all make for good stories that everyone can alternatively either learn from or be amused by. If you have a story that you think makes for a valuable lesson or is simply funny in a facepalm moment kind of way, please get in touch with us at firstname.lastname@example.org. Naturally, we treat all submission with the highest confidentiality. We are only interested in the lesson value, or in some cases the humour value, and not in identifying involved parties.
Trading realized variance using listed vanillas
Listed futures on VIX and its cousins give exposure to implied variance. But getting exposure to realised variance is very different and usually has been the realm of OTC variance swaps. Here we examine strategies to trade the realised variance using only listed instruments, with simple time-independent formulas not requiring models such as Black-Scholes.
Reducing the lag of exponential moving averages
Moving average-based filtering techniques bring much needed smoothing to noisy time series. But they do so at the unavoidable cost of an introduced lag. There are a number of ways of trying to mitigate this. One approach, aptly called 'twicing', is to simply add the lag itself back into the equation
Precision Timekeeping on Windows
Microsoft Windows has long been the ugly stepchild when it comes to precision timekeeping. Once upon a time, this reputation was deserved, but it is obsolete nowadays. Modern kernels coupled with third-party timekeeping programs now make Windows highly competitive. We let the data speak for itself.
Software development and the SEC
While the CFTC is still mulling over 'Regulation AT', the SEC has quietly been putting in place its own regulations on automated trading. This brings big changes to developers working on cash equities and bonds in the US.
Hacking Korea: The accidental HFT firm
Necessity is the mother of invention. This is true in all areas of life, including the domain of high frequency trading. Discover how some impressive hardware and software engineering over the years led to capturing significant market share in KOSPI options.
Capturing the reaction to insider purchases
Visibility into insider trading (or director dealing) is important to market participants. Studies have consistently shown insiders' trades are informed and followed by significant abnormal returns. Consequently, market participants race to follow insiders who make unexpected moves.
Is all trading now low latency?
Tick-to-trade latency is not just about being fast. It's about being first.
No Signal is a regular column where we examine various snafus in the trading, particularly the automated trading world. We look at errors in application logic, mistakes by overzealous co-workers, failures in technology and temporary losses of power to both infrastructure as well as craniums. These all make for good stories that everyone can alternatively either learn from or be amused by. If you have a story that you think makes for a valuable lesson or is simply funny in a face palm moment kind of way, please get in touch with us at email@example.com. Naturally, we treat all submission with the highest confidentiality. We are only interested in the lesson value, or in some cases the humour value, and not in identifying involved parties.
Backtest overfitting in financial markets
Systematic traders are cursed by the tendency of strategies - and indeed even simple estimators - to overfit historical data. A group of university researchers provide an online tool to estimate the propensity to overfit, even for very parsimonious strategies.
The kerf time series database system
Today's automated traders have many difficult data and infrastructure problems that revolve around large and complex time series. - Increasingly, they turn to specialized tools to address these challenges.
Option gamma: identifying levels of pain
The increasing popularity of shorter expiry S&P 500 options has the potential to significantly impact the underlying market. Analyzing the hedging pressure of market makers can help to identify critical points.
To spoof, or not to spoof, that is the question
Spoofers place orders with no intention to trade. They are accused of distorting the market. But if order books in mature markets do not contain information, why ban spoofing?
Regulation AT: What investment managers need to know
The latest in a series of regulatory moves highlighting heightened scrutiny of automated trading came late last year with the CFTC's Notice of Proposed Rulemaking on Regulation Automated Trading (Regulation AT).
Timestamp resolution under MiFID 2
Many production systems fall short of the new MiFID 2 requirements when it comes to handling and storing timestamp data. We look at the most commonly used systems and examine their suitability going forward.
The delay (or not) of MiFID 2 and the release (or not) of the Commission Delegated Acts for MiFID 2
The biggest news in compliance this year is that MiFID 2 is likely to be delayed until January 2018. What are the implications?
Liquidity and quote fading
Commentators on electronic markets claim that liquidity can 'disappear in an instant'. Quotes, they say, tend to fade as soon as the market notices that there is a seller around. By Remco Lenterman
Market data considerations in a new regime
There is an ever increasing need for market participants to improve returns and at the same time to manage risk. Yet these opposing forces are fraught with challenges.
Cloud adoption is revolutionizing how technology businesses operate. The financial services industry has been slow in adopting it. Could this be about to change?
Confidence intervals for the Kelly criterion
Trade-sizing under constant probabilities and fixed payoffs is straight-forward. But having varying probabilities and payoffs introduces uncertainty into how much to bet and therefore requires additional inputs.
Best of the blogs - A quant's approach to getting sentimental about security selection
How can investors harnessing a security selection process integrate qualitative metrics like investor sentiment? By Joe Importico, VP, Analytics Specialist, FactSet.
JWG regulatory trading digest - MiFID II technical standards published
After months of waiting ESMA has published the long-awaited MiFID II Technical Standards, leaving implementation teams across the industry with hundreds of pages to get to grips with. The much delayed Technical Standards were largely met with relief from an industry nervous about meeting the 3 January 2017 implementation deadline.
Commodities: from pit to screen
Commodities trading is undergoing radical change, driven in part by increasingly electronic markets and regulation. Peter Barker reports on how markets and traders are evolving.
The era of unstructured information flow has made quant shops keenly interested in news sentiment analysis. Automated Trader finds out what the latest developments are and what's getting practitioners excited about the future.
Sentiment Alpha is an investment management firm that generates quantitative trading strategies from sentiment analysis techniques combined with large-scale media data - including sources such as Twitter, blogs, news and broadcast. CEO Jae Hong Kil tells Automated Trader about the firm's foundations and his hopes for the future.
Dutch pride: a trading nation weighs its options
It's hardly surprising that technologically advanced trading took off in one of the world's first modern economies. A historic spirit of industrial entrepreneurialism and merchant capitalism, backed by a sophisticated financial sector means that the Netherlands is home to pioneering trading firms that have a long reach into global markets. But it's not all budding tulips. Observers of incoming European legislation warn that smaller players could be left behind as a consequence of regulation.
The Netherlands is home to one of the world's leading technology research centres on quantum computing. Amid rumours Renaissance Technologies* is hiring from just such departments, Automated Trader decided to check in and see where the technology is at and what it implies for markets.
Gernot Heitzinger is CEO at SMN, a CTA based in Vienna, Austria, operating for some 19 years. Heitzinger tells AT about his quant convictions, diversification in the current market environment, and why he's cynical about forecasts.
In the early 2000s, Bruno Pannetier had a great idea for structured products. Instead of working with static baskets, he would define systematic rules for dynamic strategies. Pannetier tells Automated Trader how that idea has evolved.
Dr. Strangecoin or: How I learned to stop worrying and love the blockchain
Who is trying to shape the future of bitcoin infrastructure adoption? Augustin Eden reports.
Going with the flow
Flow Traders is one of the Netherlands' major success stories, with a valuation of some Eur1.5 billion after its IPO earlier this year. Automated Trader talks to co-CEOs Dennis Dijkstra and Sjoerd Rietberg about being a global ETP liquidity provider with a Dutch home base, and life since the IPO.
Andreas Clenow is CIO of Zurich-based ACIES Asset Management ($300+ million AuM), and author of 'Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies'. Why would he give up the super secret sauce in a tell-all? Automated Trader finds out.
Cancelled IOC orders reveal information about potential liquidity in options market
Deutsche Borse's new analytic, the 'Eurex IOC Liquidity Indicator for Options' creates potential for improved price discovery and offers new signalling opportunities.
Peek ahead - To Catch a Spoofer
The first response to Peek Ahead's inquiries after the flash crash trader arrest was: "What a load of bollocks." As it turned out, that pretty much summed up the industry's viewpoint.
JWG regulatory trading digest
The G20's 2009 Pittsburgh plan, which was designed by world leaders to ensure that another global financial crisis would be avoided, has recently had its fifth birthday. Five years on, despite the over 50,000 pages of regulation that we have seen published since 2009, regulators across the globe still have a long way to go to finish implementing the full plan.
While high frequency trading levels in Europe and US seem to have plateaued, the converse is true for developing markets. At the same time, there is a shift in priorities, namely that it is no longer simply about scraping off microseconds. And while India's economy, along with investment interest, seems set for growth, its markets are adapting and preparing. Anna Reitman and Priyanjana Bengani report.
Best of the Blogs
Gary Stone and John Gardner of Bloomberg Tradebook on buy side challenges in US equity and index options.
The FIA has been tracking monthly SEF volumes for over a year now. Automated Trader speaks to Will Acworth, senior vice president, about what story the figures are telling.
Dealing with Swaps
Swap execution facilities have been somewhat of a slow burner. Even now as they pick up steam, a request-for-quote system remains the popular choice. But a regulatory preference for central limit order book trading means that exchange-like structures will gain prominence as the swaps market place evolves both in the US and Europe. It could also mean a ramp-up in buy side seeking viable hedging alternatives. Anna Reitman reports on how it's all playing out for market participants.
For venues and vendors, the new architecture gets competitive juices flowing
While so much of the focus on the new postcrisis infrastructure has been about how market participants can adapt, the changes represent enormous challenges and opportunities for other types of firms as well. For both venues and vendors, the new architecture has led to fierce competition.
Post-crisis plumbing: Fitting the new architecture
The financial industry has embarked on an intense construction project, building the market infrastructure of the future as CSDs, CCPs and trade repositories take on core roles in the post-crisis era. What does the new plumbing mean for the development of automated systems? Adam Cox takes a look.
Miranda Ademaj was born in Kosovo at a time when an undeclared war was ravaging the area. Her parents fled with three children in tow to Germany, leaving everything behind and only uncertainty ahead. She has since worked as a fashion model and in investment banking while finishing an economics degree; took time off to travel the world; and co-founded fund of hedge funds, Skenderbeg Alternative Investments. We ask her about risk and return, and the very different kind of modelling she does today.
Katy Kaminski considers herself a divergent risk taker. And though this meant that she tried many different things, ultimately, she pursued her love of mathematics on a path to quantitative finance. Now, she researches divergence and convergence, and applies it to financial markets as a director of research at Campbell & Company, a US-based CTA that's been around over 40 years. We talk to Kaminski about theory, strategy and tech.
DCAM best practice: Identifiers and instrument ID
The capital markets sector is bedevilled by US v Europe v Asia regulatory differences. Lack of a common entity identification scheme (i.e. global LEIs), as well as common instrument ID scheme (i.e. for tagging collateralised debt obligations CDOs, Exchange-traded funds ETFs, etc) is a problem that the EDM Council is trying to address by encouraging adoption of its benchmarking 'how to' Data Management Capability Assessment Model (DCAM).
The Data Deluge
A data deluge is hitting capital markets as new surveillance, trade reporting, regulation and market practices come to fruition. Neil Ainger asks if firms can handle the huge volumes of data, intra-day collateral, repository and other forms of data now required on global financial markets.
Spotlight on CCP risk
Regulators around the world are increasingly looking to central counterparty (CCP) clearing houses as a way to mitigate counterparty risk in the market. But is this just the next too-big-to-fail in the making?
Regulatory changes and shifts in technology requirements have delivered collateral management to the front office.
Peek Ahead: Surprise! It's the central bank
Central banks are full of surprises. Remember when Switzerland's central bank unpegged the franc from the euro? You might have seen a little news story about it here and there. The euro and USD plunged almost 30% against the franc immediately after, causing chaos in FX markets around the world.
Best of the Blogs - AI, machine learning, data mining, and big data
Artificial intelligence, machine learning, data mining and big data seem to get thrown around in everything from business intelligence to financial services. Artificial intelligence is used where machine learning should be and machine learning is often confused with data mining. In this post Justin Cahoon, co-founder and COO of Inovance, aims to clarify these buzzwords, explore how they apply to trading and then explore an ideal subcategory of data mining for traders.
Praising the Modern Markets
Quantlab set up shop as a long-short statistical arbitrage hedge fund in 1998. Regulatory changes such as decimalisation in the early 2000s adversely impacted the firm's implementation costs and new execution strategies had to be found. That exploration led to Quantlab becoming one of the top HFT firms in the US.
Fixed income on E
Word on the street is that fixed income is lock-step behind FX and equities in terms of algorithmic trading. But there are some major hurdles along the way. Automated Trader takes a look.
Hedging EM? Think Gold.
Attractive returns across emerging markets (EM) for most of the last decade - supported by economic growth -appealed to many investors. While the long-term view on EM is still positive, economic weakness in some EM regions and increased volatility in most EM currencies has increased the importance of sound portfolio risk-management strategies. Our analysis shows that gold can be a cost effective EM-currency hedge, helping investors reduce portfolio losses during periods of heightened risk.
Automated Trader talks to Pavel Vidov, head of trading at Intrast
Automated Trader talks to Pavel Vidov, head of trading for Russian proprietary trading firm Intrast, founded in 1992.
Automated Trader talks to Bruno Trigo, head of electronic trading at XP Investimentos
Automated Trader talks to head of electronic trading, Bruno Trigo, at XP Investimentos, a broker and market maker on the Brazilian exchange.
It's been almost 15 years since the original BRIC grouping was minted, referring to Brazil, Russia, India and China, with South Africa getting tacked on in 2010. Much has changed in the world since then, and though the regions push forward with cooperative arrangements among themselves, there is a big question mark over the relevance of these emerging markets as a group. Automated Trader tries to stitch together the macro and micro realities.
QuantCore: Little fund in Big China
Martin Lockstrom is a Swedish national operating a quant fund out of Shanghai - a choice he made with his family after falling in love with the country from his days as an academic in the region. Automated Trader talks to him about the opportunities and technical realities of starting a little fund in big China.
The Hong Kong Shanghai Stock Connect is a significant step forward for Chinese markets, and a move in a larger strategy for China to open up its capital account and to internationalise its currency, the renminbi, writes Peter Barker.
JWG regulatory trading digest - The end of the beginning: conclusions from Paris
This month, ESMA hosted a broad cross-section of market participants for a final 'hearing' on the MiFID II technical standards they will send to Brussels for approval this summer. Of course, many attendees were surprised to find that, while they were en route to Paris, another 355 pages of MiFID II technical standards consultation were issued for comment by 20 March.
MTS BondsPro API: Opening New Doors
MTS Markets International Inc. is the US subsidiary of the MTS Group. In the US corporate bond space they manage an ATS called BondsPro (formerly known as Bonds.com). While a screen-based version of MTS BondsPro has been available for some time, a more recent innovation has been the introduction of an API. Aly Kassam, CEO of Quantitative Support Services, and Andy Webb, founder of Automated Trader magazine, took it for a spin.
Market Surveillance, it's a Matter of Risk Management
Technology is making a sweeping transformation in trading styles from the accelerating use of algorithms. The increased automation overlaid on a complex market structure provides fertile ground to a broad spectrum of market manipulation and abusive behaviors. This has set the stage for increasing regulatory oversight where the burden of proof rests with market participants to demonstrate control over their trading activity. Surveillance consequently becomes a matter of risk management.
The digital currency (r)evolution
If bitcoin is the BitTorrent of cryptocurrencies, what's going to be the Spotify?
Major trading venues have historically championed the idea of a level playing field, but critics say the pitch can be decidedly uneven these days. Adam Cox reports on an intensifying debate over whether markets are indeed fair, and what that debate could lead to.
Orchestral manoeuvres in the dark
New research findings suggest that US trading rules may be providing dark venues a regulatory advantage over traditional stock exchanges by allowing some traders to circumvent time priority. There's also some cynicism over whether the need to hide large block trades is overhyped amid calls for implementation of a "Trade At Rule". Europe, meanwhile, has its own dynamic, with major exchanges like the LSE starting buy side-only order types in its dark pool. Peter Barker reports.
Brazil: Cleared for take off
The heart of Latin America skipped a beat this year as Brazil, the world's seventh-largest economy, fell into recession. But the financial system that underpins the beleaguered economy is undergoing changes which could help bolster growth. Sophie Lewisohn reports.
JWG regulatory trading digest
According to data compiled by the Wall Street Journal, Reuters and The Huffington Post, since 2009, tier one banks have paid at least $128 billion to regulators in the US and Europe. Here at JWG we decided to do our own research into these astronomical figures, and we discovered that this, in fact, only tells part of the story. When we factor in the associated costs connected with these fines, such as legal fees and losses made by firms from the forced sale of assets, the price tag for the industry increases substantially to total well over $260 billion globally in the 2009 to 2014 period
HFT democratisation was a big buzz-phrase a few years ago, and today high frequency technology is spreading across asset classes and geographies, and from signal generating algos to execution. meanwhile, there's talk that quantitative trading is next in line to be "democratised" and people are wondering whether there are any lessons to learn from the HFT experience. Anna Reitman reports.
Alpha in the machine
Marco Fasoli started using artificial intelligence and machine learning systems while completing a PhD in natural sciences at Cambridge University. He went on to become a co-founder of Titian Global Investments, applying advanced predictive technologies to financial markets as the firm's managing partner. And he's since acquired another title: co-founder of QuantBridge, a joint venture between Titian and Thayer Brook aiming to become a strategic hub for quant talent. Automated Trader talks to Fasoli about the systems that guide QuantBridge's trading decisions and finds out about his future plans for technology development, which he believes could cause a major shake-up in the retail investor space
Fiddling with figures
When an academic paper equated backtest overfitting with financial charlatanism, there was little surprise from the trading community. Investment managers want to prove profitable trading strategies, but do they ignore the evidence? Priyanjana Bengani reports on the discord as well as industry leaders who are playing the right tune.
Sal Arnuk started electronic trading some 20 years ago at Instinet, where he met Joe Saluzzi. The pair have since started their own brokerage, Themis Trading, and become big voices in the market structure debate - attracting praise and criticism alike for taking a stance against increasing complexity in the equities markets.
Anonymous insiders love to gossip
Has there ever been a story with more anonymous sources than the recent leaks about Goldman's bid to oust Instant Bloomberg?
Turning the vol up on trading FX
When it comes to equities, it seems fairly easy to define a beta for the market. Typically, we might think of S&P500, as a good approximation for what a typical equity investor's return might be. Indeed, there are many passive investors who follow funds which directly replicate S&P500. For bonds, we can do something similar if we pick an index such as Barclays Global Aggregate bond index.
Riding the momentum. Trials and joys of setting up a systematic trading shop
Since starting in the securities industry almost 20 years ago, Lars Wind has seen a number of crises come and go - the Asian crisis, dot.com bust and the global financial crisis notably. He's worked all over the world developing bespoke strategies, ultimately coming to London to start up his own fund QLO Capital.
Germany leads, EU follows?
Germany's HFT Act has had implications for how the European Union is managing legislation. Intended to provide trade surveillance and identification of light speed traders, the legislation faced a bumpy ride initially. As financial markets watchdog ESMA crafts the MiFID II reforms, the industry is responding to attempts at harmonisation, putting the mechanics of the Act front and centre. Rochelle Toplensky examines the evolving landscape.
Consistently Fast Java: a Business Real-Time Reality
While Java has plenty of virtues, jitter has been a long-term blot on its reputation. However, this is an issue specifically targeted by Azul Systems' Zing Java Virtual Machine (JVM). As Gil Tene CTO of Azul Systems explains, solving this problem means that business real-time Java performance is now genuinely comparable to languages such as C++. Add in memory layout refinements that Azul is proposing for Java's next version, and the case for using it in latency-sensitive trading applications becomes compelling.
The Rise of the Asian Superbroker
As the global banks grapple with tides of regulation, fines and a myriad of other post-crisis issues, local Asian institutions are tooling up and stepping in to fill the gaps. The "Asian superbroker" is emerging and catching up with the big guys.
Kinks in the wire: Asean integration
Asean integration approaches next year, but a fully linked-up financial system will be several years in the making. Sophie Lewisohn hears about new initiatives between exchanges and what still needs to happen for trading to take off.
Spotlight on: Cyber security
Cyber security is one of the hottest topics in market surveillance, but what is the threat to the automated trading community? Experts and authorities are warning the financial industry to prepare for a reality of persistent cyber threats. Historically motivated by theft, there is also an emerging and alarming political dimension to cyber crime.
State of Surveillance
What does watching the global markets mean for regulators and traders in the 21st century?
JWG regulatory trading digest
Record fines have been dominating the headlines in the US, as the federal government appears to have finally hit the brakes on Dodd-Frank rulemaking. In July, BNP Paribas reached an $8.97 billion settlement with the US Justice Department (that also took it out of the market for 12 months) for breaching sanctions on Sudan, Iran and Cuba. However this was subsequently dwarfed in August as Bank of America agreed to pay a cross-jurisdictional record fine of $16-17 billion for mortgage related misconduct in the run up to the financial crisis.
Trading that worx - Mike Beller, CTO of Tradeworx, talks about the ultra-highs and lows of trading and tech
Mike Beller hadn't expected to end up in financial services, having started in telecom early on in his career. Feeling that the research and analysis side of telecom was a bit of an echo chamber, Beller decided it was time for a switch. He eventually landed at Tradeworx, ultimately becoming CTO of the firm and its infrastructure affiliate, Thesys Technologies.
Big screens and little screens
Most high frequency traders probably don't know the name Scott Rudin, but perhaps they should. In Hollywood, Rudin is a very big deal. According to a flurry of press reports, Rudin and Sony Pictures have been looking to acquire the rights to 'Flash Boys' by Michael Lewis.
High Frequency Trading, Done Quickly
The Agora trading software libraries, by Energeia Associates Ltd, promise to bridge the gaps across low-level data, brokerage APIs and high-level modelling tools. If successful, this would spare higher-frequency traders the labour of dealing with data processing, order management and logging, freeing them up to focus on strategy and model performance instead. Andy Webb, Automated Trader's Founder, and the Wrecking Crew took a look at an alpha version of Agora to check if it does what it says on the tin.
A Question of Speed - The race to zero still attracts many entrants
Regulatory fear, fierce competition, rising costs - a host of arguments have been made for why the race to zero is a race not worth entering. Yet, technology vendors are still reporting demand for anything shaving off a microsecond here or there. Anna Reitman talks to the competitors staying in this race about keeping ahead of the curve.
The Paper Chase - Implications of a tough approach to trade transparency
The US had paved the way with the start of swaps market reporting as called for under Dodd-Frank. Yet even with the benefit of that experience, the introduction of OTC derivatives reporting in Europe is proving to be a formidable test for trading firms and for the regulators themselves. Rochelle Toplensky reports.
A Question of Control - Pre Trade Risk
In striking a balance between speed and safety, firms that have direct market access must confront a daunting set of challenges. In the aftermath of the Knight Capital trading disaster, there is also increasing talk of regulators deciding for those firms what's appropriate. Adam Cox reports on how the industry is re-evaluating pre-trade risk controls.
Anchors Away! How Johannesburg switched to the fast lane and what it means
Sophie Lewisohn talks to the local exchange, market participants and other industry players to find out what a new co-location centre means for the South African market. Will it herald an influx of low-latency traders, new strategies and more liquidity? Is this market set to leap ahead in springbok-like fashion?
Post-Trade Prosperity - One buy-side firm's experience FIXing its trade confirmation process
When many people think of Kansas, they tend to picture flat, rural landscapes and farmers -- in other words, hardly the sort of place you'd expect to find financial pioneers who are looking to change the nature of international trading processes. Scott Atwell, who looks after trading and connectivity for American Century Investments in Kansas City, tells Automated Trader's Adam Cox about the work he and other buy-side firms have been doing on post-trade processes and the benefits automation can bring.
Ferdinand's Legacy - The Alpine adventures of Pecora Capital
In the 1930s, an Italian immigrant-made-good named Ferdinand Pecora went up against some very powerful financial institutions. Having battled against the odds to obtain a law degree, he eventually became counsel to a US Senate committee, where he took on the most famous bankers of the day -- and came out on top. More than 80 years later, Aaron Smith was so inspired by the man's rags-to-reform story he named his fund Pecora Capital. From his Zurich office, he tells Adam Cox how he aims to emulate the firm's namesake using systematic trading techniques to duke it out against the big players in the FX market.
Anatomy of an Algo: Managing News Volatility
Trading a stock on the same day it delivers a major investment update almost inevitably involves having to deal with volatility. Eric Krueger, Head of Electronic and Program Distribution, EMEA and Merrell Hora, Head of Equities Algorithmic Product at Barclays show how it can be successfully accomplished if armed with the right execution tools.