The Gateway to Algorithmic and Automated Trading

Automated Trader Magazine Issue 21 Q2 2011

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Several firsts this month, and a second. To deal with the second first, we go straight on with part two of our Buyside Beat discussion on model development and longevity on page 32, while the Sellside Round Table – the first of our firsts – gets together for the first time on page 76 to settle our questions about algo execution in the FX markets. Not sure why the sellside gets furniture while the buyside has to stay out on the beat, but if you’re working on trading ideas and models with a view to moving a little currency around, I can tell you right away – you’ll have no problems with timing. Your instincts have led you to the right magazine at the right time.

Not exactly a first, but while we’re talking about FX, I’d like to draw your attention to page 26. Shayla Walmsley has been off on her travels again, and she returns with this excellent piece on the challenges (and opportunities) presented by non-convertible currencies. “Trading tomorrow’s majors”, Shayla has called her piece, and not just because she’s been to China and talked about the renminbi’s eventual convertibility – it takes more than one currency to make a pair, and there are quite a number of other challenging (and opportunity-packed] non-convertibles around. [Do you mind if I just slip in a quick mention of David Dungay’s cover story on page 20? I know it’s MiFID, and we all know how much fun it is to read about the European legislative process, but it’s important. No, really.]

Another first – and I am truly delighted to be associated with this one – is the unmasking of a member of Andy Webb’s Wrecking Crew on page 66. The Wrecking Crew provides our regular software reviews, and – perhaps this is something to do with their caring, sensitive, sledgehammer-driven approach to stress testing – their names are usually kept out of it. But this month, I can reveal – Dr Yang Wang, Head of R&D, Financial Software Engineering, member in good standing of the Wrecking Crew, who presents a fascinating account of his experiences using the eSignal, CQG and STS APIs. (We sent Andy down to the corner shop for a bigger wrench, but he’ll be back next month.)

You’ll find Dalton H Mota on page 6. Dalton is a Brazil-based trader and researcher (he’s head of the research consultancy Asymmetrica) who also teaches executive- finance classes. By trading real money, Dalton explains, he becomes a better researcher, and vice-versa. We talk to him mainly about the trading-real-money part. On page 90, Robert Almgren, President, and Christian Hauff, CEO of Quantitative Brokers, illustrate the use of an agency algorithm to take a long position in CME Eurodollar futures, while on page 40 – returning to FX for this page’s big finish – we present Andy Schnappberger of 24FX.

What can we say about Mr Schnappberger? Just this. He considers a total return since launch of 900% to be “not that amazing”. And he’s looking for partners to launch a fund.

We got to him first, okay?

William Essex

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