The Gateway to Algorithmic and Automated Trading

Automated Trader Magazine Issue 05 April 2007

Technology markets have always been notorious for their jargon. Cryptic abbreviations, buzzwords and jargon – you name it; they’ll confuse you with it. Unfortunately, the technology associated with automated and algorithmic trading is no exception, with event processing being a particularly culpable area. We thought we’d better do something about this, so Chris Donnan has kindly obliged with a practitioner’s viewpoint of event stream processing on page 18. As with his well-received article on optimisation in our January issue, Chris has again displayed his happy knack of spelling things out in plain English.

A similar talent for demystification can be found on page 42, where Usman Malik takes some of the popular mantras about algorithmic trading you regularly hear about (well we do) and systematically debunks them. Since Usman spends his working life building execution algorithms, it’s illuminating to hear how reality at the sharp end differs from the hyperbole.

In view of the magazine’s title we’re obviously always interested in talking to people who have an unusual angle on automated trading. Rickey Cheung on page 24 is a case in point; he automates his own prop trading, but also automates the distribution of signals generated by his trading models to clients around the globe. Also on the automated trading front, we thought it would be interesting to see what those CTAs who have migrated from systematic to automated trading were getting up to. So we sent Kim Hunter to find out in our feature “Autotrading CTAs” on page 34.

Data and data management are obviously a major element in auto/algo trading and in this issue we’ve taken a look at it from three perspectives. On page 28, Brian Sentance examines some of the generic requirements for storing, retrieving and manipulating large high frequency datasets. On page 60 we review two such historical datasets from EBS and ICAP, while on page 62 our Tech Forum participants debate the hows and whys of shunting that data around.

Finally, our cover story profiles Aspect Capital. Aspect has a well-established pedigree in systematic trading, but in the past year or so has branched out into algorithmic trading. As you might expect from a hedge fund manager awash with quant skills, Aspect has decided to build not buy. Rob Wakefield, Aspect’s COO tells all (well sort of ) on page 76.

Andy Webb - Editor Issue 05

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