Automated Trader Magazine Articles RSS News Feed

The way we shouldn't have been

2008-07-13 12:58:24

Editor’s note: Peek Ahead is our venue for blue-sky thinking, challenging conventional wisdom and out-and-out disagreeing over key industry issues.
If you would like to comment, or disagree, or send in some of your own blue-sky thinking, write to editor@automatedtrader.net. Where appropriate, contributions will be published on this page and/or on the website.

Automated Trader�s proprietary tradability metrics

Andy Webb — 2008-07-13 12:00:21

Automated Trader’s proprietary tradability metrics are environmental statistics intended to assist those building trading models/systems in determining which markets and timeframes are most favourably responsive to which generic types of model.

Dark Pool Delivers

Andy Webb talks to Tim Sargent, President and Co-founder of QSG — 2008-07-13 11:46:44

Quantitative Service Group’s (QSG) June research note on NYFIX Millennium trade execution has caused quite a stir in the industry. The research, which examined three months of detailed NYFIX execution data, will leave buyside traders who have long sought empirical evidence on the performance of dark pools praying that it is just the tip of the analytical iceberg. Andy Webb talks to Tim Sargent, President and Co-founder of QSG, about the report and its findings.

It�s decision time

William Essex — 2008-07-13 08:42:51

But is that the whole of the problem, that the decision-making process itself adds latency to data? Or are data volumes and the proliferation of trading venues outstripping data vendors’ capacity to deliver in real-enough time? William Essex investigates.

How do you differentiate your electronic execution services?

2008-07-13 08:01:32

While the recent proliferation of electronic execution services has presented the buyside with an impressive degree of choice, it has simultaneously landed the sellside with several challenges. How do you make your services stand out from the crowd? What are the main competitive differentiators from the buyside’s perspective? How best can they be delivered? Five leading sellside providers share their views.

Scalable participation algorithm

Toby Bayliss, Head of Electronic Execution Sales, Europe at Citi — 2008-07-13 07:14:10

Toby Bayliss, Head of Electronic Execution Sales, Europe at Citi outlines the use of a scalable participation algorithm to trade a substantial order in BP.

Only the versatile need apply

Mary McCave, LGIM�s senior equity dealer — 2008-07-13 03:50:06

Legal and General Investment Management (LGIM) has some £300bn in assets under management invested globally. Almost half of this is invested in equities. Mary McCave, LGIM’s senior equity dealer, discusses how LGIM’s trading desk stays on top of the trade.

The fuse is burning

Joe Wald, Managing Director and Co-Founder of EdgeTrade — 2008-07-13 03:33:20

As the momentum of change increases in European equity markets, some obvious similarities with US markets are emerging – but so also are some striking differences. Joe Wald, Managing Director and Co-Founder of EdgeTrade, a Knight Capital Group subsidiary, ponders these similarities and differences, while outlining some of what he anticipates for buyside traders in Europe.

Open Source for Auto/Algo?

By Graham Miller, CEO of Marketcetera — 2008-07-13 02:51:05

Open source software has made huge strides in terms of credibility in recent years. So is now the time to consider it for auto/algo trading? Graham Miller, CEO of Marketcetera, definitely thinks so.

Showtime!

2008-07-13 02:45:44

Automated Trader has been on the move recently. As visitors to automatedtrader.net will know, we were in Dubai for the first Trade Tech Middle East, and before that, we were in New York for SIFMA and London for IDX. Here, we take the opportunity to celebrate three of the main events in what has been a busy Summer for the industry.

Algorithmic Trading: What do I really need to do?

By Dr Paul Lynch, managing partner of PE Lynch LLP — 2008-07-13 02:23:58

Some bright spark is suggesting that your organisation needs to build its own execution algorithms. They loudly point out all the advantages your competitors have gained by doing this. But what is actually involved in embarking on such a project? Dr Paul Lynch, managing partner of PE Lynch LLP, spells it all out.

Machine versus Man versus Machine?

William Essex — 2008-07-12 07:05:57

What’s the sense in trading the traders? William Essex closes our discussion of commodities with a look at the changing behaviour of the markets themselves. Might the “electronic effect”, and within that a distinct “algo effect”, itself become a factor in a commodity-trading strategy?

Volatile but fundamentally floored?

David Nahmanovici — 2008-07-12 06:14:03

We continue our coverage of commodities with one man’s analysis of the long-term case for investment. David Nahmanovici delivered his analysis at IDX in London, back in June. We were in the audience.

Commodities on the menu

Dr. Robert Brady — 2008-07-12 02:20:21

Hard and soft, edible and not-so-edible commodities have been a hot topic recently. But what substance is there behind the sizzle? Automated Trader has been looking into the current commodity boom, and asking, are these markets ripe for automation, and if so, what are their trading characteristics and their long-term potential for automated alpha generation?

In the first of our series of linked articles on this theme, Dr. Robert Brady, CTO of Brady PLC analyses the current use and likely future evolution of automated trading in commodities markets. This is, as Dr. Brady observes, a whole asset class in transition. Some of its trading practices are arcane, but some put it right up on the screen alongside already heavily auto-traded markets such as FX and stock indices. Shouldn’t you be getting a feed on commodities?

A basket of abstractions

William Essex talks to Schalk Myburgh — 2008-07-12 00:46:34

First person in the Q3 issue is South Africa-based subscriber Schalk Myburgh, Business Analyst, Nedbank Equity Capital Markets, who shares his experience of automated and algorithmic trading on the Johannesburg Stock Exchange with editor William Essex.

Just a lot of hot air?

2008-06-10 02:58:13

Why, in the era of webinars, wikipedia and www.automatedtrader.net, do people still go to conferences?

Morgan�s Mission

Daemon Bear, Kristian West — 2008-06-10 02:58:13

As one of the world�s largest fund managers, JPMorgan Asset Management�s trading operations increasingly resemble those of an agency broker. Daemon Bear, Head of Equity Trading, and Kristian West, Head of Trading Strategy, who recently joined from Barclays Capital, explain the tools and processes employed by the firm in pursuit of best execution.

Ready for Take-off?

2008-06-10 02:58:13

Are today’s order and execution management systems capable of guiding buy-side dealers through an increasingly complex trading environment or will new hybrid solutions emerge? AT asks leading providers to share their views.

The Multi-Venue FX Algo

Ian Smith & Cameron Mouat — 2008-06-10 02:58:13

Ian Smith, Director, and Cameron Mouat, Head of AES FX Trading, Credit Suisse, provide an example of how execution algorithms capture liquidity across multiple trading venues in the foreign exchange market.

Picking up the Pace

Chris Hall — 2008-06-10 02:58:13

The idiosyncrasies of the fixed income market have made it a laggard in the adoption of automated and algorithmic trading, but the soul searching that followed the sub-prime crisis may accelerate uptake, reports Chris Hall.

This Issue's Round-up of AT's Proprietary Alphability Metrics

Andy Webb — 2008-06-10 02:58:13

Automated Trader's proprietary tradability metrics are environmental statistics intended to assist those building trading models/systems in determining which markets and timeframes are most favourably responsive to which generic types of model.

MiFID Descends across Europe

Chris Hall — 2008-06-10 02:58:13

Six months after its launch, the Markets in Financial Instruments Directive (MiFID) has begun to stimulate greater competition between trade execution venues, but the fragmentation of liquidity and trade reporting has also caused confusion among buy-side institutions. Chris Hall reports.

Mr Immediate

Steve Radez — 2008-06-10 02:58:13

Steve Radez, CEO of Essex Radez, has a strong claim to be the world�s first automated trader. Together with Essex Radez�s CTO, John Muelhausen, he explains how technology and automation have been constant themes in a three-decade trading career.

Small Cap, Big Challenge

Don White, Head of US Equity Product Development at Bloomberg Tradebook — 2008-06-10 02:58:13

Small and mid cap trade execution is a tough nut to crack. Long �dry� periods, with occasional unexpected patches of liquidity, call for a very different execution style from large caps. Don White, Head of US Equity Product Development at Bloomberg Tradebook, explains how flexible high touch tools can be combined with conventional algos to provide a �mid touch� solution that may produce enhanced small/mid cap execution performance.

Optimising Market Data for Buy-Side Automated Trading

Valerie Bannert-Thurner — 2008-06-10 02:58:13

The next generation of buy-side trading models is driving new requirements for market data. Buy-side firms use market data in a variety of different ways and for different purposes, but how � asks Valerie Bannert-Thurner, Managing Director of Skyler Technology Europe � can they make the most of the market data available to drive their automated trading decisions?

Data Distribution Challenges for Next Generation Applications

Angelo Corsaro — 2008-06-10 02:58:13

Angelo Corsaro, Product Marketing Manager, PrismTech Corp., outlines the advantages of a new middleware � data distribution service (DDS) � over messaging technologies currently deployed to support automated and algorithmic trading.

Machine Learning + Regime Switching = Profitability?

Ernest Chan — 2008-06-10 02:58:13

The concept of regimes � such as bull and bear markets � is elemental to financial markets. The desire to predict regime switches, commonly known as turning points, is similarly elemental. Ernest Chan, CEO of E. P. Chan & Associates, examines a possible technique for this most demanding of tasks.

Transition Management: Best Execution through Algorithmic Trading

Joseph Sidibe — 2008-06-17 07:58:16

The ability to restructure investment portfolios with minimal cost, risk or information leakage is a critical skill in today�s competitive fund management industry. Joseph Sidibe, Vice President, Execution Sales Desk, EMEA, Merrill Lynch, explains how use of algorithmic trading techniques can help ensure best execution in transaction management.

Do Black Swans Swim in Dark Pools?

2008-06-10 02:58:13

The continued rise of dark liquidity and the development of more sophisticated execution algorithms could increase regulatory obligations on brokers and/or exchanges, according to Mary Lou Von Kaenel, Managing Director, Management Consulting, Jordan & Jordan, and Greg Malatestinic, Senior Software Engineer, Jordan & Jordan.

Proximity Hosting: Plug�n�Trade or Pay�n�Wait?

Mark Thornberry — 2008-06-10 02:58:13

Proximity and trading application hosting have been some of the fastest growing areas in the evolution of automated and algorithmic trading. Mark Thornberry, Managing Director at RTS Realtime Systems, London, discusses some of the main considerations for traders evaluating its various flavours.

Finding the Correct Path Through Market Turbulence

Jon Carp — 2008-06-17 07:58:34

Recent months have seen financial markets experience more turbulence than perhaps ever before. Market corrections, war in the Middle East, sub-prime crisis, bulls and bears not sure which they are, and more recently the return of the 'big style' rogue trader have caused more volatility, I would suggest, than most have ever experienced.

The Blame Game

2008-06-10 02:58:13

When things go wrong, the reflex reaction is to apportion blame. When things go wrong in the financial markets, who will the regulators be pointing their fingers at?

Cream Rising

2008-06-10 02:58:13

BlackCat Trading Technologies� Matthew Breakwell and John Reeve explain their distinctive approach to building a quantitative trading platform and outline their plans for exploiting it.

A Singular Vision

2008-06-10 02:58:13

Its recent merger with the CBOT saw CME Group expand further the range of asset classes available on its Globex platform. Deputy CIO Kevin Kometer looks at the diverse challenges ahead.

Hard and Fast?

2008-06-10 02:58:13

Hardware and networking infrastructures should be the building blocks of any market participant�s algorithmic and automated trading capabilities. AT asks leading providers to share their views on the latest techniques and technologies.

Rising to the Cross-Asset Challenge

2008-06-10 02:58:13

How are automated traders exploiting cross- and multi-asset trading opportunities and how are suppliers supporting increased demand? These topics and more were discussed by our panel at the FIA�s Expo 2007, Chicago.

This Issue's Round-up of AT's Proprietary Alphability Metrics

2008-06-10 02:58:13

Trend and Reversal Alphability data for stock index and bond futures and top/bottom five Dow stocks.

Buy Side Flocks to FX

Chris Hall — 2008-06-10 02:58:13

Auto and algo trading techniques are being deployed by a wide range of buy-side firms in the increasingly crowded, but not always transparent, waters of the FX market. Chris Hall reports.

The Liquidity Seeker

Chris McConville — 2008-06-10 02:58:13

Chris McConville, Executive Director, Equities at UBS Investment Bank, narrates the typical use of a liquidity-seeking algorithm to trade a fictitious investment trust.

All the News that�s Fit to Trade

Chris Hall — 2008-06-10 02:58:13

News has been moving financial markets since before Julius Reuter released his first pigeon. Chris Hall asks whether machine-readable news will give traders an edge.

Do Your Testing Methods Deliver?

Barry Thompson & Dave Lauer — 2008-06-10 02:58:13

Much of the underperformance of messaging systems can be attributed to inadequate measuring tools and testing conditions, according to Barry Thompson, Founder and CTO, and Dave Lauer, Senior Systems Engineer, Tervela.

New Horizons for Complex Event Processing

Daniel Chait — 2008-06-10 02:58:13

Daniel Chait, Managing Director, Lab49, asserts that CEP has a wide range of applications beyond algo/auto trading.

Adapting Algorithms to Realities of Asian Markets

Usman Malik — 2008-06-10 02:58:13

If execution algorithms are to be adopted widely in the Asian markets, both providers and users must be aware of the unique characteristics of trading in the region, says Dr Usman Malik of P. E. Lynch LLP.

The Role of Advanced Models in Performance Boosting

David Aronson — 2008-06-10 02:58:13

In the second part of a two-part article, David Aronson, President of Hood River Research, examines the modelling techniques used in arriving at a valuable predictor set for boosting �raw� trading model performance.

The Middle East: A Region Rich in Opportunity

Gary King — 2008-06-10 02:58:13

Gary King, Chief Executive Officer, Dubai Mercantile Exchange, explains why trading firms should look beyond Asia for new investment opportunities to a region whose financial markets are primed for an expansion in algorithmic and automated trading.

What's in Focus for 2007 Beyond MiFID and the Exchanges

Brad Hunt — 2008-06-10 02:58:13

MiFID has been a key focus for many months now,given both the tactical and strategic impact it will have on the buy and sell-side,and market microstructure in particular. There is no doubt the MiFID themes play largely in our plans,but they are not the only things in focus for Goldman Sachs in 2007.

Every trader needs an algorithm

Richard Balarkus — 2008-06-10 02:58:13

New breeds of aggressive algos are being designed for active DMA traders, whilst changes in market structure are making algos essential.

Building and maintaining an algorithmic trading tool

Owain Self — 2008-06-10 02:58:13

As the use of algorithmic trading tools has become more widespread, clients� expectations have similarly increased. Owain Self of UBS highlights the important considerations when developing and supporting a credible algorithmic trading tool and what it takes to maintain that credibility in a constantly changing market.

Quantitative Approach with a Human Touch

Brian Schwieger — 2008-06-10 02:58:13

As electronic trading continues to gain ground, one of the casualties has been the reduction of personal contact. While things like data, quantitative calculations, speed to market, etc, have become essential parts of this new trading frontier, the demand for the exchange of ideas and better understanding of the market place has never been greater. What are the tools available? How do they work? How can you get the best out of them?

Algo transitions

Chris Jackson — 2008-06-10 02:58:13

Portfolio transitions are very different from conventional asset management, but the judicious use of algorithms can still be hugely beneficial. Chris Jackson, Director, Execution Sales, Merrill Lynch International explains the nuances of using algorithms as part of transition management.

Survival of the Fastest

Andrew Pryer — 2008-06-10 02:58:13

In historical terms,the speed and movement of sensitive data can clearly be seen to have delivered execution advantages. Looking back nearly 200 years, Nathan Rothschild proved the benefit of having the quickest communications system in Europe in 1815 by knowing prior to the British government the outcome of the Battle of Waterloo.The communication and anticipation of market momentum continued to develop from the first stock ticker launched on the NYSE in 1867,through Louis Bachelier�s thesis on market movement predictability at the turn of the 20th Century to the dawn of the electronic era and the development of Instinet�s DOT system. The current environment,with its proliferation of order management systems and execution management systems supported by numerous instantaneous execution choices, underlines the success of market entry strategies based on timing.

Algorithms Where do we (and you) go from here?

Jon Carp — 2008-06-10 02:58:13

A whole industry has developed around algorithmic trading. Connferences, exhibitions, publications carrying articles (not dissimilar to this one) and advertising are but a few of the activities that are providing employment and profits for many. On top of this,one must consider the costs to sell-side providers of employing project and programme managers,developers, programmers, connectivity specialists,integrators,systems, trading and support teams.Not forgetting,of course,sales people and marketing budgets needed to make the potential client base aware that the broker or bank in question is in the 'game'.

Keeping up with the pace of change

Tim Wildenberg,Head of Direct Execution Services Europe,UBS — 2008-06-10 02:58:13

Today�s buyside dealers are making more complex decisions about execution than ever before � and they are expected to justify their choices to their firms and their clients.With the introduction of the Markets in Financial Instruments Directive (MiFID) approaching,the options available to the buyside are set to expand further � along with a trader�s need to demonstrate that he or she is exercising their discretion appropriately.

The Need for Speed

Tony Walker, head of DMA — 2008-06-10 02:58:13

How have we arrived in a world where every millisecond counts? The following comment may provide some insight: "The trading world is not a generous one. The first person to the market and execute doesn�t leave behind opportunities. Because speed determines the winners and losers��" (The TABB group LLC, Trading at the Speed of Light).

In MiFID we Trust

2008-06-10 02:58:13

This issue of AT coincides with another attempt by Europe to become a little bit more like America. No, not Tony Blair�s hopes of being elected President of Europe just in time to see Bill and Hillary move back into the White House. Rather, that slightly less foolhardy European Union initiative, MiFID (Markets in Financial Instruments Directive), which aims � as one of the pillars of a single European investment market � to allow Europeans to shop around between rival trading venues to get the best price for their favourite stocks and shares.

Plimsoll Takes the Plunge

Tom Parry — 2008-06-10 02:58:13

To offer greater diversification to investors, US-based Plimsoll Capital introduced Armada, a portfolio of automated strategies. Tom Parry, Director of Algorithmic Trading, tells AT how the FX-focused asset manager built the platform on which Armada now sails.

First-mover Advantage?

Peter Randall — 2008-06-17 07:42:39

Already offering cheaper, quicker pricing on French, German, Dutch and UK equities, Chi-X is the first tangible evidence of the challenge to Europe�s stock exchanges unleashed by MiFID. Director Peter Randall talks to AT about the forces driving liquidity fragmentation and the implications for algorithmic trading.

Speed to Market

2008-06-10 02:58:13

How is the latest technology accelerating the development and implementation of algorithms and automated trading systems? AT asks leading solutions providers to share their views.

αlphability

Andy Webb — 2008-06-10 02:58:13

Automated Trader’s new tradability metrics were launched in the Q3 edition of the magazine and have triggered an exceptional response from readers. Andy Webb addresses some of the requests, observations and suggestions that have been made.

Taming the Tiger

Michael Donahue — 2008-06-10 02:58:13

Michael Donahue, managing director of TransMarket Group�s Singapore operations, tells AT how the firm is meeting the challenges of automated trading in the diverse and fast-changing Asian financial markets.

Baptism by Fire

Chris Hall — 2008-06-10 02:58:13

Extreme volatility in the equity markets made August a testing month for both users of execution algorithms and automated trading strategies. Leading players explain the lessons for the future to Chris Hall.

The Smart Money

Chris Hall — 2008-06-10 02:58:13

As MiFID opens the door to competition between equity trading venues in Europe, Chris Hall looks at how algorithmic trading will adapt to the new era of fragmented liquidity.

Get a Grid!

Mike Stoltz — 2008-06-10 02:58:13

In the Q3 issue�s Technology Forum, our panel of experts agreed that grid computing had not yet been fully harnessed to support automated trading. So Automated Trader asked Mike Stoltz, VP, Architecture and Strategy, Financial Services at Gemstone Systems, Inc, to explain how grid computing might support a theoretical automated trading strategy.

Open Platform

Tom Heffernen — 2008-06-10 02:58:13

When a US options prop shop built a new fast-track strategy development platform, its business model changed overnight. Tom Heffernan, Director, Global Marketing, Last Atlantis Capital Management, explains why the alternative asset manager encourages emerging trading firms to leverage its technology to perfect their own models.

Using Trading Dynamics to Boost Strategy Performance

David Aronson — 2008-06-10 02:58:13

In the first part of a two-part article, David Aronson, President of Hood River Research, introduces the concept of performance boosting strategies and explains the selection process for their predictor inputs.

Fast Forward for Algorithmic Trading

John Goeller — 2008-06-10 02:58:13

Algorithmic trading is on the brink of a new era of standardisation that will accelerate time to market, according to John Goeller, Chair, FPL Algorithmic Trading Working Group and Director of Portfolio and Automated Trading, Merrill Lynch.

Northern Exposure

2008-06-10 02:58:13

The rising level of algorithmic and automated trading is one of the key drivers behind a major technology and service overhaul at OMX�s Nordic Exchange. Jukka Ruuska, President, Nordic Marketplaces, OMX, provides a snapshot of the exchange�s plans for handling further growth.

Application Latency

2008-06-10 02:58:13

As growing competition places ever greater emphasis on the fine-tuning of automated and algorithmic trading programmes, AT asks leading solutions providers for their views on the tweaks that can minimise application latency and maximise performance. With: - Ary Khatchikian, president and chief technology officer, Portware - Amir Prescher, vice president, business development, Voltaire - Matt Meinel, global director, business development, 29West - Gena Ioffe, CEO, EGAR Technology - Ali Pichvai, managing director, Quod Financial - Jonas Lindqvist, head of system development, NeoNet - Yuriy Shterk, vice president, product development, CQG - Nimrod Gindi, business development manager, Mellanox Technologies

A Global Round Trip

2008-06-10 02:58:13

Exchanges around the world are investing in new technology and services to attract a greater share of algorithmic and automated trading volumes. Chris Hall takes a whirlwind tour of the exchanges that are pulling out the stops to bring much-needed sources of liquidity to local markets.

Pennies from Heaven?

2008-06-10 02:58:13

As the SEC�s six-month penny pilot scheme draws to a close in the US options market, Chris Hall reports on the initial impact on different market segments and asks whether decimalisation will open up the market for higher levels of automated and algorithmic trading.

Catch Me if You Can

2008-06-10 02:58:13

Automated traders whose strategies depend on speed are turning to �true� direct market access to avoid the latency burden of futures clearers� pre-trade risk management tools. Chris Hall looks at clearers� efforts to monitor trading risks without imposing unnecessary restraints on high-frequency clients.

The L Word

2008-06-10 02:58:13

It is widely considered as critical to the performance of an algorithm, but what do we actually mean by latency? Dr Usman Malik, of algorithmic trading specialists P.E. Lynch LLP, explains the main sources of latency and suggests some practical steps for minimising its impact.

Backtesting: Best practice principles for beating the market

2008-06-10 02:58:13

In an increasingly crowded market, traders need comprehensive, integrated backtesting capabilities to ensure their algorithms stay ahead of the competition. Jorin Daleanes, Sales and Account Manager, RTD Tango and Backtester, and Steffen Gemuenden, Co CEO, RTS Realtime Systems Group, lay out the key principles.

Using Order Book Data to Improve Automated Model Performance

2008-06-10 02:58:13

Automated traders now have access to unprecedented levels of market data. Thom Hartle, Director of Marketing, CQG, conducts a theoretical comparison between two trading systems to explore how order book data can be leveraged for optimal trade performance.

Algorithmic Traders & Their Impact on the Derivatives World

2008-06-10 02:58:13

Having revolutionised the equity markets, algorithmic trading is already reshaping the derivatives sector. Neal Brady, Director of Products and Services Technology, CME, looks at the technology and infrastructure changes that are fast attracting algorithmic traders to the futures and options markets.

Communicating Ltd: The Trader Stripped Bare

2008-06-10 02:58:13

Communicating Ltd�s path to becoming one of London�s most profitable trading operations started with a revolutionary matching engine that fitted on a floppy disk. Vladan Jovanovic, Managing Director, tells AT how a stripped-down approach to trading and technology has been a consistent factor behind Communicating�s success.

αlphability

2008-06-10 02:58:13

This issue of Automated Trader marks the launch of a new set of tradability statistics called Alphability. Andy Webb outlines some examples of their construction and their application as tools to expedite the development of automated and algorithmic trading models.

Less Smoke; More Mirrors

2008-06-10 02:58:13

Let�s start with a quick multiple-choice quiz. What are Cobra, Ambush, Arid, Nocturnal and Covert? A) The line-up for a heavy rock weekender? B) A new range of toiletries for adolescent boys? or C) A new five-part Iraq War saga by Andy McNab? The answer of course is D) all of the above. Oh, and they�re also the names of algorithms, too. Add in a few references to dark books and deep pools of liquidity and you begin to understand how staff at certain marketing departments (mis)spent their youth.

Liquidity sensing and smart order routing

2008-06-10 02:58:13

Regulation in both the US and Europe is having a significant impact on smart order routing in relation to best execution and venue selection. An important part of the routing process revolves around the sensing of hidden liquidity.

Latency: The Hands-on Approach

2008-06-10 02:58:13

Obviously here at AT we get a lot of press releases along the lines of �XXX announces the launch of latency busting YYY data feed/network/event processing engine that can process 10 billion messages/data points per nanosecond�.

Empirical execution: Aspect Capital

2008-06-10 02:58:13

Aspect Capital has a long pedigree as a systematic money manager. As such, it has been well placed to make a logical progression to automated and algorithmic trading. AT talks to Rob Wakefield, Aspect�s chief operating officer, about the firm�s recent activities in these areas and its empirical approach to order execution and algorithms.

Market data connectivity

2008-06-10 02:58:13

With: - David Hann, general manager for EMEA at Interactive Data Real-Time Services - Gregory Smith, CEO at Cicada Corporation - Mark Akass, CTO at BT Radianz - Alasdair Moore, global head of sales at Fixnetix - Guy Tagliavia, president and CEO at Infodyne Corporation

ICAP + EBS = Joined up data

2008-06-10 02:58:13

The explosion in automated and algorithmic trading has been accompanied by a huge thirst for data - market participants want data, lots of data. And they want a broader range of it - the days of providing just traded prices are long gone. Today�s market wants volume, historical order book depth, and order message traffic � the works. AT takes a look at how EBS and ICAP�s latest historical data packages measure up.

Algorithmic trading: fact or fiction?

2008-06-10 02:58:13

The rise in the popularity of algorithmic trading has been accompanied by a commensurate increase in the amount of marketing material that relates to algorithmic trading. Unfortunately a significant proportion of this material has a tendency to confuse rather than inform. Dr Usman Malik, of algorithmic trading specialists P.E. Lynch LLP, debunks nine popular algomyths.

Autotrading CTAs

2008-06-10 02:58:13

Given the number of CTAs with systematic rather than discretionary trading styles, CTAs as a breed would seem naturals for automated trading. But as Kim Hunter finds out, while they have been keen adopters of the technology, there are still plenty of leopards out there with the same old spots.

High frequency data analysis

2008-06-10 02:58:13

As the requirements for storing, manipulating and deriving intelligence from ever larger data sets continue to expand, techniques and technology have to keep pace. Brian Sentance, CEO of Xenomorph, outlines some of the prerequisites.

Distributed automation

2008-06-10 02:58:13

While automated trading is now relatively commonplace, Rickey Cheung has been one of a few to take the process a step further. In addition to his own proprietary trading, he also redistributes trading signals to automated trading clients around the world. AT talks to Cheung about his methods and technology.

Event processing in the world of electronic and algorithmic trading

2008-06-10 02:58:13

Event processing is a set of concepts and accompanying technologies that have been building momentum in the world of finance over the past few years. These ideas and technologies are rapidly changing the way in which automated trading systems and related parts of electronic trading systems are built and run. As with any new concept or technology, a glut of confusing �market speak� often arises from vendors promising to save the world. Chris Donnan, who works in equity derivatives trading technology at a top Wall Street firm, provides a translation.

MiFID: A catalyst for changing the trading landscape

2008-06-17 07:59:01

Jon Carp, Head of Alternative Execution Sales Europe at C A Cheuvreux looks at the specific implications of MiFID for the buyside and sellside in terms of smart order routing and algorithms.

Hedge Fund Back Offices - Sinking or Swimming in the Algo Flood?

2008-06-10 02:58:13

Hedge funds have been a major factor in the growth of algorithmic trading, but how are they and their prime brokers responding to the impact that algorithmic and automated trading have had on the back office?

The Boys from Balchug

2008-06-10 02:58:13

Dmitry Bourtov runs the US-based hedge fund Solaris, as well as heading a group at the Moscow offices of data vendor CQG that combines the activities of a quant shop and a specialist financial software developer. Bourtov talks to AT about the process by which he and his team design and manage a fleet of automated trading models across hundreds of markets around the globe.

FPGA's - Parallel Perfection?

2008-06-10 02:58:13

FPGAs (Field Programmable Gate Arrays) may not be new technology, but as the data crunching race in automated/algorithmic trading continues to intensify, could they be an idea whose time has finally come? AT talks to Alistair MacArthur, Senior Research Engineer at Celoxica, who discusses current FPGA technology and outlines its potential for tasks such as parsing algorithmic news feeds.

Hedge Funds and Multi Asset Algorithmic Trading - Perfect Partners?

2008-06-10 02:58:13

The exponential growth of the hedge fund sector has been a major feature of capital markets over the past few years. Another more recent hot topic has been algorithmic trading across multiple asset classes. Matt Simon, Analyst at the TABB Group considers whether a union between the two could be a marriage made in heaven.

My Machine: The AT Interview - Algo Reality

2008-06-10 02:58:13

Investment management firm T. Rowe Price, headquartered in Baltimore, Maryland, has more than USD300bn under management. The company has a global presence and in common with other major asset managers uses execution algorithms in its various locations. AT talks to Clive Williams, head of European Equity Trading at T. Rowe Price�s London office about his desk�s experience with and expectations of algorithmic trading.

Strategies: Waiting for the Iceberg

2008-06-10 02:58:13

Algorithmic trading has radically changed trading patterns in capital markets. Transaction volumes have increased and in the equities markets in particular, individual transaction sizes have plummeted. Debbie Williams, Group Vice President of the Capital Markets and Risk Management Practices at Financial Insights examines the implications of this for risk management and how market participants are (or aren�t) responding to the challenge.

AT Round Table: Pre-trade analytics - expectations and reality

2008-06-10 02:58:13

Pre-trade analytics have become an integral part of the workflow for algorithmic traders. We asked four major sellside banks for their views on some of the current and emerging themes in analytics. With: - Chris Biscoe, Head of US Ecommerce, Barclays Capital - Mike Duff, executive director, UBS - Andrew Freyre-Sanders, Head of Algorithmic Trading for EMEA and Asia, JP Morgan - Timothy Reilly, Co-Head of Alternative Execution at Citibank, Citigroup Global Equities

Technology Workshop: Java - Your High-Frequency Friend

2007-02-08 12:27:43

An article in the April issue of AT (�You�re using what?!�) questioned the suitability of Java for high frequency automated trading. Matt Schruben, Principal Consultant, Random Walk Computing and Jim Levey, Director of Marketing, Random Walk Computing provide a different perspective.

Exchange Views: ISE - Automation Inspiration

2007-02-08 12:10:31

In April of this year, the International Securities Exchange announced that it would be entering the equities market through the launch of the ISE Stock Exchange. AT talks to David Krell, President and Chief Executive Officer of the ISE about this initiative and how it will fit with the exchange�s existing automated trading activity in stock options.

Case Study: ABP - � la carte algo

2007-02-07 17:55:15

With an invested capital of 190bn euros, Stichting Pensioenfonds ABP - the pension fund for employees in the service of the Dutch government and educational sector - is the second largest pension fund in the world. The fund has been scaling up its equity exposure in recent years, from 14% of assets in 1995, to more than 30% today. AT talks to Juan-Carlos Rhodes, senior trader at ABP, about how the organisation is making use of algorithmic and DMA technology in its equity trading.

Strategies: Building a Better Bear Trap

2007-02-07 17:29:42

One of the most critical elements in algorithmic trading lies in accurately modelling trading costs, yet this still remains a rather inexact science. While certain cost elements are relatively stable and/or easy to predict, others are not. As a result, models for estimating trading costs have tended to be reasonably predictive when viewed across a very large sample of trades, but decidedly indifferent performers on individual ones. This has in turn made the task of minimising these costs through the selection, tuning and scheduling of appropriate execution algorithms difficult. Dan diBartolomeo, president of Northfield Information Services, discusses the current limitations and suggests some additional elements that can be used to improve forecasting of trading costs and trade scheduling.