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Automated Trader Magazine Issue 19 Q4 2010

We were faced with an unusual practical problem this month. Our regular First Person feature (page 5), which is reliably in-depth, informative, and if you want my opinion, frankly fascinating, is also – usually – short. It fits in before our round-up of the Latest News (page 19), and I’ve heard it described as the “kick-starter” for the issue. It’s a – as I say, usually – short interview with a key figure in the industry whose views and/or experience ... well, let’s just say they’re worth putting up at the front end. First Person packs a punch.

This issue’s First Person is Bernard Orenstein, and our man in Mr Orenstein’s office, asking the in-depth questions, is Larry Levy. Now, Larry has many fine qualities. He’s a(n automated) trading veteran, a long-term contributor to this magazine, and in some ways a mentor figure to the younger folk in the office. But Larry’s professional integrity can take an inconvenient turn sometimes: when he hears something interesting, Larry keeps on asking follow-up questions until he’s got the whole story and more. I was expecting a short interview. I got – a lot. This month’s First Person runs all the way from page 5 to page 17. , and I think you’ll understand why we’ve given so much space to a single feature.

Mike Khorrami of Kiski Group also gets a sizeable chunk of space this month, for his Me and My Machine (page 48) interview with Marc H Malek of Conquest Capital Group, and again, we’ve solved the ‘length problem’ by ignoring it: far too much substance there to leave any of it for later – you can also see the interview on Automated Trader TV, and there’s a barcode on the feature to make that easy. [Speaking of barcodes, the lower of the two on the left gives you Bob Giffords in conversation with Stuart Heath, Head of Eurex and Deutsche Borse’s London office, about safety measures to protect trading firms during times of extreme volatility. You can read Bob’s take on the SEC/CFTC flash-crash report here , while the Giffords view on correlation may be found here ]

If you’ve ever dipped anything into a dark pool, do read Paul Lynch's article on what can go – expensively – wrong, and if you’re up for an automated trade in cash bonds, you’ll find another enlightening – and long – interview here . We’re also long on the technicalities this month: FPGAs on page 84 ; a preview of the DMZ AlgoEngine on page 111 ; VaR on page 62 ; and of course our regular Anatomy of an Algo on page 94.

And timekeeping, of course. How can you measure latency, or keep track of anything, if your internal clocks are wrong? Victor Yodaiken is on page 66 .


William Essex


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