Automated Trader Magazine Issue 44 Q1 2018
HIGH PERFORMANCE MARKET DATA INTERFACES
transitioning from legacy fix to the new streamlined simple binary encoding interface
DEPLOYING PRECISION TIME PROTOCOL
an exploration of common - and not so common - issues
TRANSACTION COST ANALYSIS WITH MATLAB
a way to overcome the challenges of creating a comprehensive tca framework
DAILY AND INTRA-DAY VOLUME PREDICTION
combining multiple models to create accurate forecasts for traded volumes
- Simple Binary Encoding for high performance market data interfacesThe FIX Trading Community realised that its message encoding was no longer fit-for-purpose for high-performance trading. It came up with the Simple Binary Encoding (SBE) standard to balance the needs of latency versus bandwidth utilisation. We look at how the market data interfaces at the CME Group were implemented with SBE.
- Measuring the absolute accuracy of 10GbE packet timestampingPrecise Ethernet timestamps are key to knowing exactly when a network event occurred. Metamako designed and implemented a rigorous test methodology to measure the absolute accuracy of a 10 Gigabit Ethernet packet capture and timestamping solution, confirming the importance of using accurate timestamps
- Hide-and-seek in the limit order bookDespite some disadvantages, hidden orders have become increasingly popular on the US stock exchanges. Archana and Chinmay Jain explore this hidden liquidity. Data from 2012-2015 shows that smaller stocks, more volatile stocks and less liquid stocks have higher levels of hidden liquidity.
- MiFID 2 double volume caps - the end of dark trading?A controversial rule in MiFID 2 is the double volume cap mechanism for dark pools. Recently, a quantitative study presented dramatic numbers on the percentage of stocks that would be suspended under the regime. We investigate if the efficient use of large-in-scale trading can help to mitigate the caps.
- How to align broker and customer interests and make exchanges more competitiveUS regulators are focused on conflicts of interest caused by maker-taker rebates. Is there a way to align broker and customer interests and still incentivise liquidity provision?
- Deploying PTP: Observations from the fieldPTP is increasingly popular for accurate time stamping and clock synchronisation across a network. When implementing PTP, problems can be hard to spot and even harder to diagnose. We look at some common - and some not so common - issues.
- Models for daily and intra-day volume predictionA practical approach to building an intuitive model for intra-session and all-day traded volumes. Multiple factors are combined in a straight-forward manner to give robust and usable results.
- MIFID II Clock Sync RequirementsJanuary 2018. MIFID II RTS 25 compliance begins. Five requirements. Seems simple enough, right? Not so fast ...
- Transaction Cost Analysis with MATLAB: Pre-Trade, Post-Trade, Optimisation and Cost CurvesComprehensive transaction cost analysis can become complex and overwhelming. One approach to simplify this task is to use a pre-defined model with parameters calibrated by a third-party provider using tools like MATLAB.