Automated Trader Magazine Issue 16 Q1 2010
Good start, don’t you think? Marcio Castro kicked off this month’s cover-story interview by telling us that BM&FBOVESPA actually like high-frequency traders. Not only that, but they give them discounts and focus tightly on access and distribution. Turn to page 18 to find out more about an exchange where the general air of realism – we could call it enthusiasm – seems to be matched only by the standard of the technology. We still hear a lot about supposedly “emerging” markets, but if you’ve been following any of the coverage of HFT recently, you might want to set aside all that old-fashioned “emerging versus developed” talk, and divide markets instead between those where you’d be taken seriously, and those where the politicians don’t know what they’re talking about – but feel free to legislate anyway.
If you haven’t set it aside already, of course. Bob Giffords, chairman of February’s InVantage HIFREQ TRADE conference, weighs into the HFT debate by quoting – well, just about everybody – in his feature on the risks, likely rewards, potential regulatory impacts and possible futures of HFT, page 45, while on page 50, FTEN’s Valerie Bannert-Thurner looks at market-making in a fragmented trading environment. Our CEO, John Howard, talks to Philip Stoltzfus and Scott Ganis of Thayer Brook Partners on page 32, while on page 65, Kevin Covington, ITRS, puts the case for not allowing downtime at all.
Then we get to take the earplugs out. Our Founder, Andy Webb, got his hands on the Accelereyes Jacket application a little while back, and frankly, we’re very, very glad to be bringing you his report (page 54, with an extended version at www.automatedtrader.net ). Maybe we’ll get some quiet at last. It’s fast, apparently. Very fast. Very, very fast. Yes, Andy, you did mention that it’s fast. Embarrassingly fast? Yes, you said that too. Now we just have to get it back off him to put in the Technology Cupboard.
Back at the trading desk, President Obama set the parameters – yes, Andy, I know, fast – for a truly fascinating Anatomy of an Algo this month. How would you work a bank stock in the aftermath of a major presidential announcement on the future of the US banking industry? Page 75.
And if you’ve tried to get onto an aeroplane recently, try page 42.
Interesting times, eh?
- Now what?
If you’re stuck for an idea, buy one. Simon Tizard is Executive Director of Trade Ideas Limited (TIL), where the product is exactly as specified on the corporate letterhead. Automated Trader editor William Essex went to find out how well the ideas business has been coping in these troubled times.
- Integrated Automation
When discussing automated and algorithmic trading, it is all too easy to fall into the trap of only thinking in the context of established markets. In reality, many emerging market exchanges are already popular trading venues for Automated Trader’s readers, with BM&FBOVESPA being a case in point. Andy Webb, Automated Trader’s Founder, caught up with Marcio Castro, IT – Trading Systems Director at BM&FBOVESPA, in his São Paulo office to discuss the exchange’s perspective on auto/algo trading.
- The eyes have it
...but Shaun Downey’s determined to get it back. Here’s one way to protect your best opportunities from the competition.
- The Automated Trader Interview
Maintaining performance during volatility regime change has always been a key challenge for investment managers, but never more so than over the last couple of years. Automated Trader’s CEO, John Howard, spoke to Philip Stoltzfus and Scott Ganis of Thayer Brook Partners about their systematic approach to maintaining returns as volatility becomes a moving target.
- High stakes ahead
The recent furore over high frequency trading, so ably anatomised by David Dungay in "Flash Ban Wallop" in our Q4 2009 issue, has put the matter squarely under the spotlight. So what better time to ask a panel of the industry’s leading experts to separate the fact from the fiction? We asked Bob Giffords, independent banking and technology analyst and chairman of February’s InVantage HIFREQ TRADE conference in London, to lead the discussion.
- Make it fast, make it wide!
As markets continue to fragment, and not only in Europe, the traditional specialist market maker, tied to one exchange, has ceased to be valuable. Such a player cannot ‘make’ a significant market. But a new breed of funds is stepping in to make markets across exchanges, regions and asset classes. Valerie Bannert-Thurner charts the rise of the new breed of market maker.
- MATLAB's Racing Jacket
For those conducting intensive calculations on large data sets, recent advances in GPU computing have been little short of a revelation; no more waiting days for results, or having to invest in your own giant cluster or supercomputer. On that basis, GPU computing seems a natural fit with quants’ favourite MATLAB, which probably explains why the people at Accelereyes dreamt up their Jacket application for GPU-enabling MATLAB. Andy Webb takes it for a gallop round the Automated Trader track.
- The Day of the MiFIDs
Such was the success of the first Markets in Financial Instruments Directive (MiFID), that they’re preparing a second to tighten up the areas in which the real world failed to align itself with the regulatory vision. The regulators are determined that the real world will not fail again, and here, David Dungay examines the scale of the task that confronts them. How much work still needs to be done, and how will Europe’s visionaries enforce happiness and harmonious trading upon us now and for evermore?
- Get your fix in first!
Here’s an idea. Eliminate downtime before it happens. But can it be done? Kevin Covington, Deputy CEO of ITRS, argues that in a fast-moving competitive environment it has to be done. But how?
- Intelligent Workflow - Paired
All the workflow issues associated with trading double when you’re trading pairs. While it’s possible to deal with some of these with intelligent software design, the challenge is to streamline the workflow without removing so much discretion that the human trader cannot deliver alpha. Gary Stone, Director of Trading Research and Strategy at Bloomberg Tradebook, explains how to strike the right balance.
- Barclays Mix'n'Match
Toby Bayliss and Andy White, at Sanford C. Bernstein, illustrate the use of multiple complementary algorithms to work a substantial hypothetical buy order in Barclays in the immediate aftermath of the US president’s announcement of his vision for the banking industry.
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
- IT lovers
There’s something moving in the IT Department. And what’s that eerie music? Kill the lights and let’s split up.