The Gateway to Algorithmic and Automated Trading

Automated Trader Magazine Issue 33 Q2 2014

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Mahatma Gandhi, one can safely say, would probably not have been much of a fan of high frequency trading. After all, this was the man who famously said: “There is more to life than increasing its speed.” But the need for speed has been a feature of markets since they first began, and regardless of whether you’re thinking in terms of days or nanoseconds, no one wants unnecessary latency. So at a time when some in the market have been talking about how the so-called “race to zero” is a mug’s game, we decided it was time to take stock.

In this Q2/Q3 edition, we look at the latency theme from two perspectives. In ‘A question of control’ (page 20), we examine the challenge of effective pre-trade risk controls. After so many high-profile trading mishaps, this has been a massive concern for the industry. But how do you balance safety with swiftness?

In ‘A question of speed’ (page 28), Anna Reitman looks at demand for low latency tools and systems and finds that regardless of the pressures, there are still plenty out there who will pay top-dollar to shave a few slivers of a second off their round trips.

In keeping with the low latency issue, we examine the trading scene in South Africa (page 36), where the stock exchange has begun offering colocation. Sophie Lewisohn speaks to the exchange, some of the local traders and a range of others to investigate the implications for the market.

Another issue where we felt it was time to take stock: transaction reporting. More than a year has passed since the US began requiring reporting of swap transactions, and Europe has now followed suit with its own requirements under EMIR. So did the US experience make a difference for Europe? Rochelle Toplensky spoke to a range of regulation experts to find out (page 46).

First Person (page 12), our regular discussion with a small buy-side firm, features Aaron Smith, the head of Pecora Capital. In addition to learning about the history of Ferdinand Pecora, we gain insight into Smith’s approach to going up against far bigger players in the forex market.

In Me and My Machine (page 42), we hear from Scott Atwell of American Century Investments. Atwell has been closely involved with FIX Trading Community on improving post-trade processes.

In Software Review (page 52), AT Founder Andy Webb and the Wrecking Crew check out the Agora trading software libraries, which are meant to bridge the gap between low-level data and brokerage APIs and high-level modelling tools.

Finally, Peek Ahead looks at the ‘Flash Boys’ affair. You’ve heard about the book by Michael Lewis. Are you ready for the movie?

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