The Gateway to Algorithmic and Automated Trading

Automated Trader Magazine Issue 15 Q4 2009

Thanks first of all to Frank Sinatra, Bill Braman, David Allen, Eugenio Perez and Usman Malik. The late Mr Sinatra sang us a line for a cover, and then Messrs. Braman, Allen and Perez agreed to tell us in detail about how they did it their way. The two features (First Person on page 5 and our main cover story, Me and My Machine, on page 20) are straight transcripts of the interviews on which they’re based. When you’re on the receiving end of high-level insight of that quality – well, you let them tell it their way. They’re our buy-side veterans for the month, and if you think you’d like to survive in this industry for a few more years, our advice is: get reading. [Bill Braman also features in our news pages this month – page 11. Don’t miss Bill’s latest move.]

And Usman Malik. You know those moments when you’re reminded exactly what it is about the day job that you find so interesting? Turn to page 36 for Dr Malik’s truly fascinating piece on exploiting SOR products within algorithmic trading strategies in ways that don’t impact negatively on the price-improvement/fee-reduction equation. This is important material, and although there are times when the editorial office does look rather as suggested by our cartoonist, Sarah Howells, on page 34, this month it has been full of team members silently reading and taking notes. Mick Hittesdorf writes on post-crisis system design on page 50 (backtesting with that historical data?), and yes, that is Shawn McAllister, Chief Architect at Solace Systems, discussing the latest in wide-area bridging techniques on page 60.

You’ll find an indignant rebuttal of a lot of nonsense on page 44. This industry has been misunderstood, maligned and sometimes even scapegoated in recent months, and David Dungay’s opening salvo sets the record straight. David, our newest recruit, will be taking on the lead editorial role at, but here on the print side, we’re conspiring to keep him for as long as possible. The ebullient Mr Dungay gets to grips with the European trading environment on page 57.

Just space to mention this month’s Anatomy of an Algo. It’s a work- through of a volatility trade executed using an advanced option execution algorithm. Don’t miss it – page 75.

It’s all yours. Enjoy it

William Essex

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