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
- MiFID: A catalyst for changing the trading landscape
Jon Carp, Head of Alternative Execution Sales Europe at C A Cheuvreux looks at the specific implications of MiFID for the buyside and sellside in terms of smart order routing and algorithms.
- Event processing in the world of electronic and algorithmic tradingEvent processing is a set of concepts and accompanying technologies that have been building momentum in the world of finance over the past few years. These ideas and technologies are rapidly changing the way in which automated trading systems and related parts of electronic trading systems are built and run. As with any new concept or technology, a glut of confusing “market speak” often arises from vendors promising to save the world. Chris Donnan, who works in equity derivatives trading technology at a top Wall Street firm, provides a translation.
- Distributed automationWhile automated trading is now relatively commonplace, Rickey Cheung has been one of a few to take the process a step further. In addition to his own proprietary trading, he also redistributes trading signals to automated trading clients around the world. AT talks to Cheung about his methods and technology.
- High frequency data analysisAs the requirements for storing, manipulating and deriving intelligence from ever larger data sets continue to expand, techniques and technology have to keep pace. Brian Sentance, CEO of Xenomorph, outlines some of the prerequisites.
- Autotrading CTAsGiven the number of CTAs with systematic rather than discretionary trading styles, CTAs as a breed would seem naturals for automated trading. But as Kim Hunter finds out, while they have been keen adopters of the technology, there are still plenty of leopards out there with the same old spots.
- Algorithmic trading: fact or fiction?The rise in the popularity of algorithmic trading has been accompanied by a commensurate increase in the amount of marketing material that relates to algorithmic trading. Unfortunately a significant proportion of this material has a tendency to confuse rather than inform. Dr Usman Malik, of algorithmic trading specialists P.E. Lynch LLP, debunks nine popular algomyths.
- ICAP + EBS = Joined up dataThe explosion in automated and algorithmic trading has been accompanied by a huge thirst for data - market participants want data, lots of data. And they want a broader range of it - the days of providing just traded prices are long gone. Today’s market wants volume, historical order book depth, and order message traffic – the works. AT takes a look at how EBS and ICAP’s latest historical data packages measure up.
- Market data connectivityWith: - David Hann, general manager for EMEA at Interactive Data Real-Time Services - Gregory Smith, CEO at Cicada Corporation - Mark Akass, CTO at BT Radianz - Alasdair Moore, global head of sales at Fixnetix - Guy Tagliavia, president and CEO at Infodyne Corporation
- Empirical execution: Aspect CapitalAspect Capital has a long pedigree as a systematic money manager. As such, it has been well placed to make a logical progression to automated and algorithmic trading. AT talks to Rob Wakefield, Aspect’s chief operating officer, about the firm’s recent activities in these areas and its empirical approach to order execution and algorithms.
- Latency: The Hands-on ApproachObviously here at AT we get a lot of press releases along the lines of “XXX announces the launch of latency busting YYY data feed/network/event processing engine that can process 10 billion messages/data points per nanosecond”.
- Liquidity sensing and smart order routingRegulation in both the US and Europe is having a significant impact on smart order routing in relation to best execution and venue selection. An important part of the routing process revolves around the sensing of hidden liquidity.
- Algo transitionsPortfolio transitions are very different from conventional asset management, but the judicious use of algorithms can still be hugely beneficial. Chris Jackson, Director, Execution Sales, Merrill Lynch International explains the nuances of using algorithms as part of transition management.