Automated Trader Magazine Issue 20 Q1 2011
I’m going to let him loose one of these days. Take a quick look at page 71. Second column, paragraph beginning ‘Unfortunately’. Our revered founder enjoyed reviewing Deltix’s QuantOffice so much that he wants to spend the editorial budget on live trading. Read that paragraph in full, and you will understand why I am unavailable for full and frank discussions until further notice. Read the whole review, and you will understand why we aim to return to Deltix later in the year. Andy calls his team – comprising staff members and co-opted (anonymous) volunteers from the industry – the ‘wrecking crew’. My thanks to Deltix for keeping them quiet this month.
My thanks also to Dmitry Bourtov, CEO of Unimarket Corp, John Reeve, CTO and head of trading at BlackCat Capital, Miles Kumaresan, principal and head of trading of Algonetix, Fred Pederson, business development manager at Vincorex, Thomas Parry, FX trader at Algotecture and Dr Peter Wiesing, founder and CEO of Global Arbitrage Group, for agreeing to join us this month as the founding members of our new Buyside Beat panel. The idea of the panel is to deliver a comprehensive insight into buyside thinking on some of the key issues facing our industry today – like making money, for example. It will appear regularly from now on, and if you turn to page 18, I think you will agree with me that we’ve got off to a good start.
Don’t miss this month’s Me and My Machine (page 26). Brian Tehako is an ideas man with an impressive track record, and with his TnT Group, he is transforming his vision into a very interesting reality. Osman Latif, our First Person this month (page 6) is another trader to watch, and we’ve caught him just as he weighs up a “break-out” into new markets. Mr Latif is a martial artist as well as a trader, and, ah, it seemed appropriate to let Larry Levy handle that discussion. It was, as regular readers will know from Larry’s past work, most definitely full and frank. [Larry returned safely, and we’ll be hearing from him again next month.]
On a personal note, I enjoyed the drama of this month’s Anatomy of an Algo (page 84), in which Paul Bentley, vice-president in EMEA Algorithmic Products at Citigroup Global Markets, describes the use of an intelligent algorithm to pick up a high percentage of average daily volume in an illiquid small-cap stock, without impacting the market. A good read. And we welcome two new contributors this month. Shayla Walmsley (page 36) goes in search of execution algorithms for illiquid commodities, while Sherree DeCovny (page 66) continues our quest for seamless, glitch-free systems integration.
After all, nothing’s impossible in this business.
- Enough with the Footsie!
Is it break-out time for Osman Latif? After building up a track record by trading FTSE100 futures, the film buff, martial artist and former technical analyst behind K2 London is ready to bring his model to new markets. Larry Levy went to meet him.
- What do the traders say?
We present the first instalment of a two-part opener to our new regular feature, ‘Buyside Beat’. In the weeks running up to the publication of the Q1 issue, David Dungay spoke to a number of traders and other buysiders about the key challenges they face in the quest for alpha. Discussions ranged over model development and deployment, HFT, IT investment, and the practicalities of trading in today’s markets. Those discussions continue, and we’ll bring you more in future issues, but for now – here’s what the traders are saying in Q1.
- The Automated Trader Interview
Founded in January 2010 by Brian Tehako, TnT Group specialises in intra-day trading of futures products “in a macro-economic style” that innovates by combining automation with a conventional prop shop. Driven by the belief that communication is key to success, TnT Group is open to ideas from traders, and, as Larry Levy discovers, represents a compelling argument that HFT is not the only future.
- Algo no-go?
Are there algos that can deliver the goods in those corners of the market where the rarest and most illiquid commodities are traded? Shayla Walmsley discusses the execution challenges in a trading environment where, if there were still pits, they would be full of armchairs.
- Options and Equities: All Together Now
One consequence of increasing market fragmentation has been the continual challenge of combining a holistic view with a holistic execution environment that includes all the right tools. While this fragmentation effect now applies across many market segments, it is particularly acute in US equities and equity options. Most solutions currently available here can at best only deliver a partial solution. Gary Stone, Chief Strategy Officer at Bloomberg Tradebook, takes a look at what’s needed to deliver the complete package - and how to get it.
- VolX: Realising Volatility
The Volatility Exchange (VolX®) bears little resemblance to a conventional exchange and is probably best thought of as being a virtual exchange. Its realised volatility contracts can be based upon products already listed on any existing exchange or trading platform to provide a new market complex of uncorrelated instruments. Automated Trader’s founder Andy Webb recently caught up with Robert Krause, the exchange’s CEO, and Chief Business Development Officer Charles Barwis, to find out more.
- Slow down and smell the ash cloud
Last year’s ‘signature event’ was not the flash crash but the volcano eruption. This year, we’ve had apparently internet-led regime change in the Middle East that has destabilised the entire region, while a single ‘whistle-blower’ seems to have dumped most of the US government’s secret correspondence in the Wikileaks inbox. Oh, and the floods that devastated an Australian state have been followed by a cyclone. Is the world trying to tell us something? William Essex wonders whether ever-lower latency and ever-greater capacity are really what we need right now.
Effective systems integration – now there’s an idea! For those of us accustomed to the more conventional approach of plugging everything together, switching it all on, and then watching the various components refuse to talk to each other, Sherree de Covny rounds up industry best practice on systems development and testing.
- Deltix QuantOffice: Low Latency Productivity
If we’ve heard it once from readers, we’ve heard it a hundred times. “How do I develop and deploy my bigger/better/smarter/sophisticated trading models quickly and efficiently?” Andy Webb, Automated Trader’s Founder, takes a look at one possibility - Deltix QuantOffice.
- Welcome to the Dry Side
Paul Bentley, vice-president in EMEA Algorithmic Products at Citigroup Global Markets, describes the use of an intelligent algorithm that accesses all available liquidity to execute an order that is a high percentage of average daily volume, in an illiquid small cap stock, without impact.