Automated Trader Magazine Issue 07 October 2007
At a time when TABB Group is reporting greater use of algorithms in the foreign exchange market (News, page 4), it is timely that our cover story features an FX-focused alternative asset manager, Plimsoll Capital. Thomas Parry, Director of Algorithmic Trading, provides a detailed insight into how the firm built, tested and rolled out the automated models that support Plimsoll’s Armada strategy (page 76).
Our other case studies profile two firms that started life as Chicagobased proprietary trading operations, but subsequently pursued very different paths. TransMarket Group is now a global business that has faced up to the challenges and opportunities of establishing an automated trading presence across Asia (page 50). In contrast, Last Atlantis Capital Management stayed in the US and built a model development platform that it has opened to partner funds to offer a wider range of investment strategies to clients (page 22).
Readers would expect Automated Trader to cover issues of speed in trading fairly extensively, but in Technology Forum our experts consider ways in which technology is accelerating development cycles and deployment lead times (page 60). And in our Leader column, John Goeller, Chair, FPL, Algorithmic Trading Working Group, explains how a new FIX initiative could eliminate the inefficient communications between brokers and vendors that currently delays delivery of algorithms to clients (page 14).
This quarter also marks the introduction of an important piece of investment services regulation in Europe, the Markets in Financial Instruments Directive. Our ‘The Smart Money’ feature (page 34) looks at how smart-order routing technology will help algorithmic traders navigate the new liquidity pools that are already beginning to form. And this issue’s Exchange Views features an interview with Peter Randall of Chi-X, the first alternative automated trading system to challenge the incumbent European exchanges (page 68).
On the technical side, Alphability responds to reader requests for illustrative price data on leading US stocks (page 56), and Hood River Research’s David Aronson suggests a method for boosting model performance (page 18). In this issue’s Technology Workshop, Mike Stoltz of GemStone explains how grid computing can be used to support a global synthetic pairs operation (page 30).
Chris Hall - Editor Issue 07
- Fast Forward for Algorithmic TradingAlgorithmic trading is on the brink of a new era of standardisation that will accelerate time to market, according to John Goeller, Chair, FPL Algorithmic Trading Working Group and Director of Portfolio and Automated Trading, Merrill Lynch.
- Using Trading Dynamics to Boost Strategy PerformanceIn the first part of a two-part article, David Aronson, President of Hood River Research, introduces the concept of performance boosting strategies and explains the selection process for their predictor inputs.
- Open PlatformWhen a US options prop shop built a new fast-track strategy development platform, its business model changed overnight. Tom Heffernan, Director, Global Marketing, Last Atlantis Capital Management, explains why the alternative asset manager encourages emerging trading firms to leverage its technology to perfect their own models.
- Get a Grid!In the Q3 issue’s Technology Forum, our panel of experts agreed that grid computing had not yet been fully harnessed to support automated trading. So Automated Trader asked Mike Stoltz, VP, Architecture and Strategy, Financial Services at Gemstone Systems, Inc, to explain how grid computing might support a theoretical automated trading strategy.
- The Smart MoneyAs MiFID opens the door to competition between equity trading venues in Europe, Chris Hall looks at how algorithmic trading will adapt to the new era of fragmented liquidity.
- Baptism by FireExtreme volatility in the equity markets made August a testing month for both users of execution algorithms and automated trading strategies. Leading players explain the lessons for the future to Chris Hall.
- Taming the TigerMichael Donahue, managing director of TransMarket Group’s Singapore operations, tells AT how the firm is meeting the challenges of automated trading in the diverse and fast-changing Asian financial markets.
Automated Trader’s new tradability metrics were launched in the Q3 edition of the magazine and have triggered an exceptional response from readers. Andy Webb addresses some of the requests, observations and suggestions that have been made.
- Speed to MarketHow is the latest technology accelerating the development and implementation of algorithms and automated trading systems? AT asks leading solutions providers to share their views.
- First-mover Advantage?Already offering cheaper, quicker pricing on French, German, Dutch and UK equities, Chi-X is the first tangible evidence of the challenge to Europe’s stock exchanges unleashed by MiFID. Director Peter Randall talks to AT about the forces driving liquidity fragmentation and the implications for algorithmic trading.
- Plimsoll Takes the PlungeTo offer greater diversification to investors, US-based Plimsoll Capital introduced Armada, a portfolio of automated strategies. Tom Parry, Director of Algorithmic Trading, tells AT how the FX-focused asset manager built the platform on which Armada now sails.
- In MiFID we TrustThis issue of AT coincides with another attempt by Europe to become a little bit more like America. No, not Tony Blair’s hopes of being elected President of Europe just in time to see Bill and Hillary move back into the White House. Rather, that slightly less foolhardy European Union initiative, MiFID (Markets in Financial Instruments Directive), which aims – as one of the pillars of a single European investment market – to allow Europeans to shop around between rival trading venues to get the best price for their favourite stocks and shares.
- The Need for SpeedHow have we arrived in a world where every millisecond counts? The following comment may provide some insight: "The trading world is not a generous one. The first person to the market and execute doesn’t leave behind opportunities. Because speed determines the winners and losers……" (The TABB group LLC, Trading at the Speed of Light).
- Keeping up with the pace of changeToday’s buyside dealers are making more complex decisions about execution than ever before – and they are expected to justify their choices to their firms and their clients.With the introduction of the Markets in Financial Instruments Directive (MiFID) approaching,the options available to the buyside are set to expand further – along with a trader’s need to demonstrate that he or she is exercising their discretion appropriately.