The Gateway to Algorithmic and Automated Trading

Automated Trader Magazine Issue 06 July 2007

Exchanges have always played a fundamental role in the growth of algorithmic and automated trading. Now, the ability of exchanges to facilitate programme-based trading is critical to their own growth. So it’s no surprise to find exchanges taking a prominent role in this issue of Automated Trader.

In a new regular feature, Alphability (page 56), Andy Webb has compiled metrics and statistics from a number of major exchanges with the aim of helping model builders quickly identify the market/time frame characteristics most suited to their model types.

Also with an eye on optimising model performance, on page 18, Thom Hartle of CQG explores the use of order book data by automated trading systems, while Jorin Daleanes and Steffen Gemuenden of RTS Realtime Systems Group (page 24) assert the importance of backtesting in bringing effective models to market at short notice. Speed is at the heart of Usman Malik’s dissection of the causes of latency (page 30) as well as this issue’s Tech Forum, in which leading solutions providers debate application latency (page 60).

In this issue’s features, ‘A global round trip’ (page 50) looks at how exchanges around the world are investing to attract greater algo and auto volumes. Exchanges play a growing part in risk management in the futures market as auto traders switch to DMA, in ‘Catch me if you can’ on page 34. And leading US options exchanges report the impact of the SEC’s plans for decimalisation in ‘Pennies from heaven’ (page 42).

Two exchanges give their perspectives on how algo and auto traders are shaping their future plans. In this issue’s leader, CME’s Neal Brady explains how derivatives exchanges are adapting to new demands (page 14), while Jukka Ruuska outlines the Nordic Exchange’s plans to handle higher automated order flows (page 68). As a counterpoint, our cover story (page 76) explains how the rejection of a revolutionary matching engine by futures exchanges led Vladan Jovanovic to turn Communicating Ltd into a pioneering and highly profitable automated trading operation.

Chris Hall - Editor Issue 06

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