Automated Trader Magazine Issue 10 Q3 2008
We were out in force this Summer, with teams covering IDX in London, SIFMA in New York and the first TradeTech Middle East in Dubai. You’ll find a seasonal celebration, and no doubt some familiar faces, in our coverage beginning here . Our report on one of the sessions at IDX, a presentation by David Nahmanovici, manager for commodity investment solutions at Barclays Capital, forms part of our extended Cover Story on commodities this month ( find that report here ). Commodities, even the ones you wouldn’t eat for breakfast, have been a flavour of the year so far, and we are also delighted to welcome Dr Robert Brady, CTO of Brady PLC, to our pages. Dr Brady’s investigation into the current use and likely future evolution of automated trading in commodities markets begins here .
You’ll find Joe Wald, Managing Director and Co-Founder of EdgeTrade, a Knight Capital Group Subsidiary, contemplating what the future holds for buy-side traders in Europe over here , while over here , Dr Paul Lynch, Managing Partner of PE Lynch LLP provides some timely advice for those of us wondering whether we’ve got what it takes and how we’d build it if we hadn’t. If open-source software is part of the answer to that one, consult Graham Miller, CEO of Marketcetera, here . There’s a fascinating interview with Mary McCave , senior equity dealer at Legal & General Investment Management, and we have a particularly distinguished panel for our Tech Forum this month. So how exactly do you differentiate your electronic execution services?
And if there’s strength in numbers, well, we’ve got them too. Our Founder and CEO, Andy Webb, has spent much of the last month down in the lab with the door locked, working on the ongoing upgrade to Automated Trader’s proprietary Alphability tradability metrics. You’ll find the first fruits of his labours by clicking here .
It’s a busy issue. Enjoy it.
Editor Issue 10
- A basket of abstractionsFirst 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.
- Commodities on the menu
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?
- Volatile but fundamentally floored?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.
- Machine versus Man versus Machine?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?
- Algorithmic Trading: What do I really need to do?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.
- Showtime!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.
- Open Source for Auto/Algo?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.
- The fuse is burningAs 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.
- Only the versatile need applyLegal 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.
- Scalable participation algorithmToby Bayliss, Head of Electronic Execution Sales, Europe at Citi outlines the use of a scalable participation algorithm to trade a substantial order in BP.
- How do you differentiate your electronic execution services?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.
- It's decision timeBut 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.
- Dark Pool DeliversQuantitative 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.
- Automated Trader's proprietary tradability metricsAutomated 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.
- The way we shouldn't have beenEditor’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 firstname.lastname@example.org. Where appropriate, contributions will be published on this page and/or on the website.