Automated Trader Magazine Issue 13 Q2 2009
Smile, please. The team at Bluecrest Capital made 43.35% on the BlueTrend fund and 8.81% on the BlueMatrix fund over 2008, and if you take a look at the interview on page 36, you’ll ﬁ nd out how they did that and how they’re addressing the challenges of 2009 as well. Go from there to our cover story on page 20, and you’ll discover that the proper handling of transaction cost analysis (TCA) can be a proﬁ table activity in itself. Or perhaps you might start on page 26, where Helen Sanders shines a light on new techniques for trading proﬁ tably in dark pools. These are interesting times, no doubt about that, but for a lot of our readers and contributors, they’re turning out to be proﬁ table too.
Or at least – they’ll be proﬁ table for as long as the technology does what it’s supposed to do. If you’ve ever pressed the big red trading button and been rewarded with an error message – or worse, a plume of smoke from the jumble of wires down behind the desk – you’ll appreciate Rob Ciampa’s guidance on how to proof your trading infrastructure against out-of-the-market risk on page 56. Ben Van Vliet and Phil Perkins offer seven suggestions on how to stay successful once you’ve made it big on page 44, while David Yip plays with some higher-speed chips on page 81.
We’re off to Canada on page 65, to take a close look at a market that seems to have gone automated, gone competitive and gone fragmented all at once, and there’s Joe Wald’s anatomy of a fascinating case of double algo use on page 84. Then it’s time to settle down in the comfortable chair and work your way through Andy Webb’s rigorous hands-on software review of MATLAB’s potential for model development, page 68.
Oh, and don’t miss Paris. Page 5 – much busier show than a lot of us expected.
Enjoy the issue.
- One week in Paris…
Trade Tech 2009 kicked off in Paris just as this issue of Automated Trader was due to go to press. With reports coming in of a recession-defying show featuring lots of new product launches, we took the decision to hold these front pages open for a selection of the top stories from France.
- Give us an A!
Scribes and soothsayers have been analysing trades since the first cargo of spices was unloaded from the first camel train. But would their work have been any easier if they’d had laptops?
William Essex looks for simplicity in the evolving complexity of pre-, post-, and above all during-trade analysis.
- When ghosts go fishing
Dark pools have been part of the trading experience, on both sides of the pond, since fragmentation began. But do we have a clear idea of how to deal with them? We do now. Helen Sanders emerges from the shadows with news of the latest bright ideas.
- Viewpoint: Miranda Mizen, TABB Group
“When it comes to dark liquidity, there is much at stake. TABB Group estimates that the European equity volume traded in crossing networks (MTFs) and broker dark pools will increase from 3% in 2008 to 11% in 2010 as more buy-side traders connect, liquidity seeking algorithms and matching logic is improved, and agency trading takes over the baton from risk capital. While lit venues can add dark orders and functions, these are the venues with the widest participation and therefore the least trust.”
- The Automated Trader Interview
Success at Bluecrest Capital is a team effort, says president Leda Braga. With the company’s two funds, BlueTrend and BlueMatrix, up by 43.35% and 8.81% respectively over 2008, we think that says a lot about the quality of the teamwork there. Automated Trader’s publisher, John Howard, went to meet three key members of the Bluecrest team.
- Going the alpha mile
So you’ve beaten the competition. Great. Now, have you thought about how you’re going to stay ahead?
Phil Perkins and Ben Van Vliet have seven suggestions for high fliers with a fear of falling.
- When failure is not an option
How do you prevent systemic failures in high-performance trading infrastructures? We called in Rob Ciampa, Vice President, Product Management at Tervela.
- Black box in the Bloomberg box
Amid all the talk of ultra high frequency trading and black boxes, automation tools for human traders are often overlooked. Yet such tools can hugely enhance productivity and profitability. Gary Stone, Director of Trading Research and Strategy and Brian Coffaro, Manager of Derivatives Development at Bloomberg Tradebook, explain how and why.
- Leapfrog economics?
Canada’s adoption of automated trading has been sudden and fast, and the transformation isn’t over yet. Demand is “skyrocketing” for advanced trading solutions, and there’s fierce competition between established and new trading venues. Have Canada’s markets leapfrogged whole stages of evolution, and if so, what’s in it for the rest of us?
William Essex went to find out.
- Serious numbers
MATLAB, produced by The MathWorks, has a twenty-five year pedigree in technical computing across multiple industries ranging from industrial automation to earth sciences. The product also has a long-standing presence in financial services across numerous disciplines. However, recent growth in automated and algorithmic trading has seen an increasing number of market participants exploring MATLAB’s potential. Andy Webb joins them.
- Chan's encounter
We’ve met Ernest P Chan before, back in the Q2 2008 issue, when he wrote about combining machine learning and regime switching to achieve profitability. Here, he tells us the story of an encounter with MATLAB that has transformed his order execution. Do you know how to use MATLAB as an automated execution system?
- Games programmers play
One day, memories will be made of this. David Yip investigates the use of high-speed gaming GPUs to replace today’s CPUs for high-speed processing.
- Dual Algo Drama
Joe Wald, Managing Director at Knight Capital Group and Co-Founder of EdgeTrade, outlines the use of a next generation algorithm that links Benchmark and Smart Order Execution strategies to sell a large position in General Electric
Alphability are Automated Trader’s proprietary tradability metrics. They 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. For more information on Alphability, please see page 56 of the Q3 2007 edition of Automated Trader or visit http://www.automatedtrader.net/Alphability.xhtm
- Shimmy shimmy shakedown
Get ready for the TBtbTAP!