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The Trading Mesh

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Electronic Trading Agreements for Quants

April 7, 2014 by Mauro Viskovic             

By Mauro ViskovicHedge fund advisory firms that use quantitative-based investment strategies need to be mindful of various issues prior to executing an electronic trading agreement with a brokerage firm.  Such agreements, if not carefully reviewed and negotiated, can detrimentally affect quant firms.  A primary matter to address when negotiating an electronic trading agreement is the protection of the advisor’s proprietary trading codes.  Certain provisions in a...

Algo identifiers galore

April 7, 2014 by Regulation Matters (Fidessa)   Comments (0)           

By Christian VoigtWith the German algo ID mandatory from 1st April, I was prompted to scan the latest MiFID II texts in this regard. Member states must require exchanges to be able to identify the different algorithms used for generating orders (Art. 51.6) which, on a high level, sounds just like the German HFT Act.
To make things even more complex, MiFIR requires investment firms to identify in their transaction reports the “computer algorithms [.…] responsible...

Are Comms Rooms Fit for Purpose?

April 7, 2014 by Volta   Comments (0)           

Discussions at this year’s Trade Tech conference are set to debate a wide range of subjects important to capital markets.  In addition to the inevitable debates around high frequency trading (HFT) or transaction cost analysis (TCA), we can anticipate discussion about reference data, socially-powered algorithms and multi-asset execution and order management systems. 
A common thread will be sheer volume of data that each of these practices either uses or...

Maybe markets are unfair, but are they rigged?

April 2, 2014 by Fidessa   Comments (0)           

This article was originally published at the Fidessa blog, and is reproduced here with permission. By Steve Grob
The publication of Michael Lewis’s new book Flash Boys has reignited the whole HFT/dark pool debate (actually, maybe it’s never really gone away). The point people seem to continually miss in this debate is the distinction between “unfair” and “rigged”.
To me the term rigged implies some malevolent conspiracy between...

What’s giving high-frequency traders the jitters?

April 1, 2014 by Supermicro   Comments (0)           

As the technological arms race for speed breaks new ground, Dev Tyagi of Supermicro UK argues that performance jitter is the latest challenge algo traders need to overcome to unlock future profits
Since the flash crash of 2010, few issues have been debated as fiercely as high frequency trading (HFT). Does it increase liquidity and lower the cost of trading, or does it drive price volatility? More than four years on from the crash, the same debate rumbles on. But from a technology...

Addressing the Challenges of Post-G20 Interest Rate Hedging

March 24, 2014 by The Trading Mesh   Comments (0)           

In this article, Mike O’Hara – in conversation with Hirander Misra, Andrew Chart and Philip Simons - looks at how the new Constant Maturity Swap future from GMEX aims to help firms continue to hedge their interest rate exposures cost effectively in the post-G20 landscape.
The reforms instigated by the G20 in the wake of the Global Financial Crisis have resulted in a number of structural changes to the world’s interest rate derivatives...

Transforming Quantitative Trading Applications With Persistent Flash Memory

March 20, 2014 by The Trading Mesh   Comments (0)           

In this article, Mike O’Hara looks at how the implementation of persistent flash memory is having a transformative effect on application performance at quantitative hedge funds, particularly where large amounts of data are analysed.
In the last fifteen years or so, the financial markets have seen a massive growth in the number of quantitative and systematic hedge funds, investment firms whose trading decisions are made solely on the basis of computational...

Taking on Systemic Risk with Automated Testing

March 18, 2014 by Jacob Northey   Comments (0)           

Systemic risk has become a very real threat to our global financial system given our reliance on a web of complex systems and relationships for managing trades. Playing into this issue is that brokers and exchanges often find it hard to predict how their systems will handle erroneous or unexpected requests from their counterparties. This is often because the current practices used by sell-sides to test new functionality prior to release are insufficient.
Many times these firms are in a rush to...

The Reactive Manifesto in Financial Markets – Trend or Fad?

March 14, 2014 by The Trading Mesh   Comments (0)           

In this article, Mike O’Hara, in conversation with Jonas Bonér, Greg Young, Martin Thompson and Jan Macháček – investigates the core principles behind the recently published The Reactive Manifesto, and its relevance to system design in today’s Financial Markets.

Anyone who has been closely involved in designing and building high-performance trading applications within the last ten years or so, will no doubt be familiar with the principles of...

The Twilight Zone

February 6, 2014 by Fidessa   Comments (0)           

This article was originally published at the Fidessa blog, and is reproduced here with permission. By Steve Grob
I came across the term ‘Twilight Pool’ for the first time this week. The basic idea is that it is essentially a dark pool that lights up certain pieces of information, or at certain times, in order to provide users with some idea of what is or isn’t lurking there. The advantage is that it enables participants to see if the type of liquidity...