Algorithmic trading - Overview. Views expressed herein are personal views of the author
|
|
- Darrell Williams
- 8 years ago
- Views:
Transcription
1 Algorithmic trading - Overview Views expressed herein are personal views of the author
2 Scenario 1 You are a fund manager and have Rs 500 Crores in hand (USD 83 million) to be invested. You have a highly talented research team which has selected 10 stock for you to invest. Question: How would you decide which broker to choose? And why? 2
3 Considerations for selection Reputation Market Pulse Efficiency of Bank office Research Execution? 3
4 Objectives (execution) Price optimization Avoid market disruptions Avoid un-necessary attention 4
5 Scenario 2 You have limited sum of money. You intend to take minimal risk. You observe there is always a difference in price between two exchanges for same security. Further, there is a difference between spot and futures prices. Question: What should you do? What risk do you face in doing so? 5
6 Leading corporations will be distinguished by their intelligent management of risk. Speed can also help manage risk! 6
7 Definition Algorithmic trading, also called automated trading, black-box trading, or algo trading, is the use of electronic platforms for entering trading orders with an algorithm which executes preprogrammed trading instructions accounting for a variety of variables such as timing, price, and volume Algorithmic trading is widely used by investment banks, pension funds, mutual funds, and other buy-side (investor-driven) institutional traders, to divide large trades into several smaller trades to manage market impact and risk. 7
8 Algorithmic Trading Strategies Algorithms can be broadly categorized into the following two categories Algorithms for Execution These programs execute stock market trades in such a manner best suited for purchase or sale of positions Two of the common execution algorithms are the VWAP & TWAP Trading Algorithms These algorithms actively try to make money. They track historical relationships between securities, assets or markets and then exploit minor deviations for quick gains. Examples: Arbitrage, bid-offer & Technical analysis Algorithms 8
9 TWAP Time Weighted Average Price This strategy simply breaks up a large order into equal parts and then dribbles buy or sell orders into the market evenly over the trading session This is also referred to as "iceberging This ensures that the price at which the investor buys or sells is not distorted by momentary blips in the market 9
10 VWAP Volume Weighted Average Price Calculated by weighting a stock s price quotes through the trading session with volumes traded at each price Algorithm s objective is to execute the order at a price that is as close as possible to this weighted average If the price of a buy trade is lower than the VWAP, it is a good trade and bad if the price is higher than the VWAP There can be variants in this algo 10
11 Arbitrage Algorithms These algorithms earn a spread from trading on anomalies between securities, trading venues or asset classes For example, simple arbitrage algorithms may earn a spread by buying a stock at Rs. X on the BSE and selling it at Rs. X+0.10 on the NSE The transactions have to be executed at rapid sucession 11
12 Technical analysis These are commonly used by technical analysts to identify a reversal in trends They then piggyback on it at an early stage to benefit from the momentum Track technical indicators such as the 50 or 200-day moving averages or relative strength index, to bet on stocks on the verge of breaking out or breaking down 12
13 High Frequency Trading Programs initiate orders based on information that is received electronically, before human traders are capable of processing the information they observe Highly quantitative Positions are held for seconds Sensitive to latency and processing speed May involve Co-Location to save time Mostly employed by large firms Examples: Market making, News based trading 13
14 Events Black Monday 1987 October 19, 1987 markets fell 22%! beginning of circuit mechanism 2010 Flash crash DJIA dropped 9% and recovered 6% in fifteen minutes Insider trading (Sep 2013) directional trades within 2 milliseconds after Fed announcements in Chicago futures markets. Speed of light would take 7 milliseconds to reach Chicago. 14
15 Controls & Risk Management Pre-execution checks (order level checks) Price filters Volume filters Circuit filters Market volume checks Maximum value of orders Automated execution checks (avoid loops) Realtime checks 15
16 Controls & Risk Management Perform a thorough UAT of algos before implementation Restrict access to systems. Algo parameters and limits should only be changed by uninterested groups with management approval Need to balance false alerts limits should be balances 16
17 Indian environment Indian regulators require: Mock testing Auditor certification Periodic audits (change management, online risk management, risk parameters, data feeds) 17
18 There may be just one thing riskier than too much risk Too little 18
19 19 Thank you
FESE Input to the Commission High Frequency Trading
FESE AISBL Avenue de Cortenbergh, 52 B-1000 Brussels VAT: BE0878.308.670 Tel.: +32 2 551 01 80 Fax : +32 2 512 49 05 FESE Input to the Commission High Frequency Trading Brussels, 23 February 2010 General
More informationELECTRONIC TRADING GLOSSARY
ELECTRONIC TRADING GLOSSARY Algorithms: A series of specific steps used to complete a task. Many firms use them to execute trades with computers. Algorithmic Trading: The practice of using computer software
More informationHigh Frequency Trading Background and Current Regulatory Discussion
2. DVFA Banken Forum Frankfurt 20. Juni 2012 High Frequency Trading Background and Current Regulatory Discussion Prof. Dr. Peter Gomber Chair of Business Administration, especially e-finance E-Finance
More informationHigh Frequency Trading Volumes Continue to Increase Throughout the World
High Frequency Trading Volumes Continue to Increase Throughout the World High Frequency Trading (HFT) can be defined as any automated trading strategy where investment decisions are driven by quantitative
More information1 DAY MANAGEMENT DEVELOPMENT PROGRAM ON "Systematic Trading Strategies
1 DAY MANAGEMENT DEVELOPMENT PROGRAM ON "Systematic Trading Strategies P R O G R A M M E SYSTEMATIC TRADING STRATEGIES Program for Brokers / Retail Clients / Day Traders / Positional Traders OVERVIEW The
More information2DAY EXECUTIVE WORKSHOP ON ALGORITHMIC TRADING
NSE Management Development Programme Series 2015-16 2DAY EXECUTIVE WORKSHOP ON An initiative under P R O G R A M M E OVERVIEW Technology has revolutionized the way financial markets function and the way
More informationSenate Economics Legislation Committee ANSWERS TO QUESTIONS ON NOTICE
Department/Agency: ASIC Question: BET 93-97 Topic: ASIC Complaints Reference: written - 03 June 2015 Senator: Lambie, Jacqui Question: 93. Given your extensive experience can you please detail what role
More informationWhite Paper Electronic Trading- Algorithmic & High Frequency Trading. PENINSULA STRATEGY, Namir Hamid
White Paper Electronic Trading- Algorithmic & High Frequency Trading PENINSULA STRATEGY, Namir Hamid AUG 2011 Table Of Contents EXECUTIVE SUMMARY...3 Overview... 3 Background... 3 HIGH FREQUENCY ALGORITHMIC
More informationThe Future of Algorithmic Trading
The Future of Algorithmic Trading Apama Track Dan Hubscher, Principal Product Marketing Manager, Progress Apama Progress Exchange Brasil 2009 Progress Exchange Brasil 2009 21 de Outubro São Paulo Brasil
More informationG100 VIEWS HIGH FREQUENCY TRADING. Group of 100
G100 VIEWS ON HIGH FREQUENCY TRADING DECEMBER 2012 -1- Over the last few years there has been a marked increase in media and regulatory scrutiny of high frequency trading ("HFT") in Australia. HFT, a subset
More informationUntil recently, the majority of
Identifying the real value of algorithms in a fragmented market Charlie Susi* Until recently, the majority of algorithmic trading strategies used in the global marketplace have been created to address
More informationValdi for Equity Trading High performance trading solutions for global markets
Valdi for Equity Trading High performance trading solutions for global markets EDA Orders SunGard s VALDI: SOLUTIONS FOR Equity Trading Traders on electronic markets face enormous challenges in maintaining
More informationSetting the Scene. FIX the Enabler & Electronic Trading
Setting the Scene FIX the Enabler & Electronic Trading Topics Overview of FIX and connectivity Direct Market Access Algorithmic Trading Dark Pools and Smart Order Routing 2 10,000+ firms use FIX globally
More informationInvestors Exchange (IEX) Building A Market that Works for Investors. September 9, 2015
Investors Exchange (IEX) Building A Market that Works for Investors September 9, 2015 FLASH BOYS: A WALL STREET REVOLT 2015 IEX Group, Inc. and its subsidiaries, including Investors Exchange LLC and IEX
More informationTECHNICAL ANALYSIS & SYSTEMATIC TECHNICAL TRADING (Chart and Non-Chart Based) IS A ONE DAY EXECUTIVE WORKSHOP
TECHNICAL ANALYSIS & SYSTEMATIC TECHNICAL TRADING (Chart and Non-Chart Based) IS A ONE DAY EXECUTIVE WORKSHOP P R O G R A M M E TECHNICAL ANALYSIS & SYSTEMATIC TECHNICAL TRADING (Chart and Non-Chart Based)
More information2-DAY MANAGEMENT DEVELOPMENT PROGRAM ALGORITHMIC TRADING
2-DAY MANAGEMENT DEVELOPMENT PROGRAM on ALGORITHMIC TRADING P R O G R A M M E OVERVIEW Technology has revolutionized the way financial markets function and the way financial assets are traded. Technology
More informationFrom Traditional Floor Trading to Electronic High Frequency Trading (HFT) Market Implications and Regulatory Aspects Prof. Dr. Hans Peter Burghof
From Traditional Floor Trading to Electronic High Frequency Trading (HFT) Market Implications and Regulatory Aspects Prof. Dr. Hans Peter Burghof Universität Hohenheim Institut für Financial Management
More informationAlgo Flagging How to meet the regulatory requirements? Member communication on Algo Flagging according to the German HFT Act
Algo Flagging How to meet the regulatory requirements? Member communication on Algo Flagging according to the German HFT Act Version 1.2 March 2014 1 Agenda 1. Motivation 2. Legal background 3. Guidelines
More informationOptimal trading? In what sense?
Optimal trading? In what sense? Market Microstructure in Practice 3/3 Charles-Albert Lehalle Senior Research Advisor, Capital Fund Management, Paris April 2015, Printed the April 13, 2015 CA Lehalle 1
More informationAn introduction to measuring trading costs - TCA
An introduction to measuring trading costs - TCA Ofir Gefen, Head of Research & Execution Consulting ITG Asia Pacific 2011 Investment Technology Group, Inc. All rights reserved. Not to be reproduced or
More informationTransaction Cost Analysis and Best Execution
ATMonitor Commentary July 2011 Issue Transaction Cost Analysis and Best Execution 10 things you wanted to know about TCA but hesitated to ask Foreword This is not an academic paper on theoretical discussions
More information¼ããÀ ããè¾ã ¹ãÆãä ã¼ãîãä ã ããõà ãäìããä ã½ã¾ã ºããñ Ã
Discussion paper on Co-location / Proximity hosting facility offered by the stock exchanges Objective To seek public comments on a possible solution to provide greater equality and fairness in order handling
More informationIndiaNivesh Securities Pvt. Ltd. M-Nivesh Mobile Trading Application
IndiaNivesh Securities Pvt. Ltd. M-Nivesh Mobile Trading Application 1 st June, 2015 Version 1.1.0.0 1 Introduction M-Nivesh Mobile Application gives the Investor Clients of the Brokerage House the convenience
More informationHigh-frequency trading: towards capital market efficiency, or a step too far?
Agenda Advancing economics in business High-frequency trading High-frequency trading: towards capital market efficiency, or a step too far? The growth in high-frequency trading has been a significant development
More information2 DAY EXECUTIVE WORKSHOP ON ALGORITHMIC TRADING
NSE Management Development Programme Series 2015-16 2 DAY EXECUTIVE WORKSHOP ON ALGORITHMIC TRADING An initiative under P R O G R A M M E OVERVIEW Technology has revolutionized the way financial markets
More informationRE: File No. S7-08-09; Proposed Amendments to Regulation SHO
Elizabeth M. Murphy, Secretary Securities and Exchange Commission 100 F Street NE Washington, DC 205491090 RE: File No. S7-08-09; Proposed Amendments to Regulation SHO Dear Ms. Murphy: Lime Brokerage LLC
More informationValdi. Equity Trading
Valdi Equity Trading Valdi EDA Orders VALDI SOLUTIONS FOR EQUITY TRADING Traders on electronic markets face enormous challenges in maintaining and growing their profitability. The drive for greater efficiency
More informationAlgorithmic trading Equilibrium, efficiency & stability
Algorithmic trading Equilibrium, efficiency & stability Presentation prepared for the conference Market Microstructure: Confronting many viewpoints Institut Louis Bachelier Décembre 2010 Bruno Biais Toulouse
More informationHIGH VELOCITY VOLUME COMPLEXITY. Addressing the challenges of Big Data in FX
HIGH VELOCITY VOLUME COMPLEXITY Addressing the challenges of Big Data in FX The big data challenges that face traders in foreign exchange are the sheer volume of trading, amount of data and number of execution
More informationTrade Execution Analysis Generated by Markit
Trade Execution Analysis Generated by Markit Global Liquidity Partners Execution Peer Review 2nd Quarter 2015 Contents S VT POV Report Summary Summarizes the trade execution document and illustrates the
More informationalgorithmic & program trading services
algorithmic & program trading services Featuring the Abel/Noser Signature Algorithm Series Institutional Agency Execution and Trade Analytics algorithmic & program trading services * Abel/Noser has offered
More informationBernard S. Donefer Distinguished Lecturer Baruch College, CUNY bernard.donefer@baruch.cuny.edu
Bernard S. Donefer Distinguished Lecturer Baruch College, CUNY bernard.donefer@baruch.cuny.edu Principal, Conatum Consulting LLC www.conatum.com donefer@conatum.com 2008 Bernard S. Donefer. All rights
More informationAlgorithmic and advanced orders in SaxoTrader
Algorithmic and advanced orders in SaxoTrader Summary This document describes the algorithmic and advanced orders types functionality in the new Trade Ticket in SaxoTrader. This functionality allows the
More informationHigh frequency trading
High frequency trading Bruno Biais (Toulouse School of Economics) Presentation prepared for the European Institute of Financial Regulation Paris, Sept 2011 Outline 1) Description 2) Motivation for HFT
More informationFinancial Markets and Institutions Abridged 10 th Edition
Financial Markets and Institutions Abridged 10 th Edition by Jeff Madura 1 12 Market Microstructure and Strategies Chapter Objectives describe the common types of stock transactions explain how stock transactions
More informationEQUITY RISK CONTROLS. FPL Risk Management Committee
EQUITY RISK CONTROLS FPL Risk Management Committee TABLE OF CONTENTS Objective...3 Overview...3 The Client/Broker Relationship...4 Benefits of Risk Controls...4 Typical Workflow...5 Implementation of Risk
More informationSpike Trading: Spot FX Vs Futures
You should be aware of all the risks associated with foreign exchange and futures trading. There is a substantial risk of loss in foreign exchange and futures trading. Past performance is not indicative
More informationAlgorithmic Presentation to European Central Bank. Jean-Marc Orlando, EFX Global Head BNP PARIBAS
Algorithmic Presentation to European Central Bank Jean-Marc Orlando, EFX Global Head BNP PARIBAS 1 What s all the BUZZ about Algorithmic Trading /efx? 2 Why is Algorithmic Trading Exploding in the industry?
More informationEquities Dealing, Brokerage and Market Making
Equities Dealing, Brokerage and Market Making SEEK MORE Fully informed and ready to trade A whole world of information affects the equity markets economic data, global political events, company news and
More informationThere is a shortening time cycle in the
Nicholas Pratt Everything is getting faster, it seems. And the faster things get, the shorter they last. Whether this relatively unrefined truism can be applied to FX algorithmic trading remains a moot
More informationHandbook for finding the right FX Broker
Handbook for finding the right FX Broker With currency trading becoming even more popular, the number of brokers is growing at a rapid rate. What should one look at when deciding which broker to open an
More informationORDER EXECUTION POLICY
ORDER EXECUTION POLICY Saxo Capital Markets UK Limited is authorised and regulated by the Financial Conduct Authority, Firm Reference Number 551422. Registered address: 26th Floor, 40 Bank Street, Canary
More informationToxic Equity Trading Order Flow on Wall Street
Toxic Equity Trading Order Flow on Wall Street INTRODUCTION The Real Force Behind the Explosion in Volume and Volatility By Sal L. Arnuk and Joseph Saluzzi A Themis Trading LLC White Paper Retail and institutional
More informationTo develop and deploy mission critical software products and solutions for the securities and related financial services sector.
1 Omnesys Profile Vision To develop and deploy mission critical software products and solutions for the securities and related financial services sector. Offices at Bangalore, Mangalore, Kolkatta, Delhi
More informationHigh-frequency trading, flash crashes & regulation Prof. Philip Treleaven
High-frequency trading, flash crashes & regulation Prof. Philip Treleaven Director, UCL Centre for Financial Computing UCL Professor of Computing www.financialcomputing.org p.treleaven@ucl.ac.uk Normal
More informationAn objective look at high-frequency trading and dark pools May 6, 2015
www.pwc.com/us/investorresourceinstitute An objective look at high-frequency trading and dark pools May 6, 2015 An objective look at high-frequency trading and dark pools High-frequency trading has been
More information1 DAY MANAGEMENT DEVELOPMENT PROGRAM ON "DEMYSTIFYING OPTION TRADING AND STRATEGIES
1 DAY MANAGEMENT DEVELOPMENT PROGRAM ON "DEMYSTIFYING OPTION TRADING AND STRATEGIES 1 DAY MANAGEMENT DEVELOPMENT PROGRAM ON "DEMYSTIFYING OPTION TRADING AND STRATEGIES P R O G R A M M E OVERVIEW The 1
More informationVALDI FOR DERIVATIVES TRADING High performance trading solutions for global markets
VALDI FOR DERIVATIVES TRADING High performance trading solutions for global markets EDA Orders SUNGARD S VALDI: SOLUTIONS FOR DERIVATIVES TRADING New contracts and markets continue to emerge in an extremely
More informationa. CME Has Conducted an Initial Review of Detailed Trading Records
TESTIMONY OF TERRENCE A. DUFFY EXECUTIVE CHAIRMAN CME GROUP INC. BEFORE THE Subcommittee on Capital Markets, Insurance and Government Sponsored Enterprises of the HOUSE COMMITTEE ON FINANCIAL SERVICES
More informationOnline Share Trading Currency Futures
Online Share Trading Currency Futures pic Currency Futures Introduction Currency futures contracts can be hard-working additions to any investor s or trader s portfolio. They provide a way to hedge the
More informationOnline Share Trading Currency Futures
Online Share Trading Currency Futures Wealth warning: Trading Currency Futures can offer significant returns BUT also subject you to significant losses if the market moves against your position. You may,
More informationSoutheastern s Perspective on Market Structure and High-Frequency Trading April 11, 2014
Southeastern s Perspective on Market Structure and High-Frequency Trading April 11, 2014 Since 1975, Southeastern has invested in strong businesses, run by good people, priced at deep discounts to our
More informationFactors Affecting Option Prices
Factors Affecting Option Prices 1. The current stock price S 0. 2. The option strike price K. 3. The time to expiration T. 4. The volatility of the stock price σ. 5. The risk-free interest rate r. 6. The
More informationFuture of the Trading Platform
Future of the Trading Platform Associate General Manager Capital Market Services Narayanan V Introduction The stage is set for some major changes in trading in the years to come. One glimpse at the trading
More information¼ããÀ ããè¾ã ¹ãÆãä ã¼ãîãä ã ããõà ãäìããä ã½ã¾ã ºããñ Ã
CIRCULAR CIR/MRD/DP/24/2013 August 19, 2013 To, All Stock Exchanges. Dear Sir / Madam, Subject: Testing of software used in or related to Trading and Risk Management SEBI vide circular SEBI/MRD/Policy/SE/15864/2003
More informationFX Trading and Technology Trends 2012
FX Trading and Technology Trends 2012 FX algorithms for trade execution are on the rise and here to stay. With the rapid growth of electronic trading and proliferation of trading platforms, multi-bank
More informationFINANCIER. An apparent paradox may have emerged in market making: bid-ask spreads. Equity market microstructure and the challenges of regulating HFT
REPRINT FINANCIER WORLDWIDE JANUARY 2015 FINANCIER BANKING & FINANCE Equity market microstructure and the challenges of regulating HFT PAUL HINTON AND MICHAEL I. CRAGG THE BRATTLE GROUP An apparent paradox
More information2. How is a fund manager motivated to behave with this type of renumeration package?
MØA 155 PROBLEM SET: Options Exercise 1. Arbitrage [2] In the discussions of some of the models in this course, we relied on the following type of argument: If two investment strategies have the same payoff
More informationA STUDY ON EQUITY SHARE PRICE VOLATILITY OF SELECTED PRIVATE BANKS IN (NSE) STOCK EXCHANGE
IMPACT: International Journal of Research in Applied, Natural and Social Sciences (IMPACT: IJRANSS) ISSN(E): 2321-8851; ISSN(P): 2347-4580 Vol. 3, Issue 7, Jul 2015, 87-96 Impact Journals A STUDY ON EQUITY
More informationAlgorithmic Trading, High-Frequency Trading and Colocation: What does it mean to Emerging Market?
Algorithmic Trading, High-Frequency Trading and Colocation: What does it mean to Emerging Market? Ashok Jhunjhunwala, IIT Madras ashok@tenet.res.in HFTs are being pushed out of the more established markets,
More informationHow To Trade On An On Line Trading Platform
CFD Trading You can lose more than your initial investment when trading CFDs A ccendo Markets is a market leader in financial trading services*, providing awardwinning on-line and telephone broking services
More informationThe Fallout from Flash Boys
Michael Lewis novel Liar s Poker is required reading for any aspiring trader. The entertaining novel follows his career at Salomon Brothers and also the role that firm played in creating mortgage bonds
More informationIntroduction... 4 A look at Binary Options... 5. Who Trades Binary Options?... 5. Binary Option Brokers... 5 Individual Investors...
Table of Contents Introduction... 4 A look at Binary Options... 5 Who Trades Binary Options?... 5 Binary Option Brokers... 5 Individual Investors... 5 Benefits of Trading Binary Options... 6 Binary Option
More informationThe Impact of High Frequency Trading on the Canadian Market
The Impact of High Frequency Trading on the Canadian Market July 22, 2009 Quantitative Execution Services (416) 359-5743 qes@bmo.com Doug Clark (416) 359-4151 doug.clark@bmo.com Rizwan Awan, CFA (416)
More informationBINARY OPTION TRADING. Lesson #1
BINARY OPTION TRADING Lesson #1 1 Table of Contents Forward. 3 Introduction to Binary Option... 4 Benefits of Trading Binary Options. 5-6 Binary Option Basics 7 Types of Binary Option. 8-10 Unique OptionBit
More informationTechnology Strategy for The Nigerian Capital Market. Ade Bajomo Executive Director Market Operations and Technology The Nigerian Stock Exchange
Technology Strategy for The Nigerian Capital Market Ade Bajomo Executive Director Market Operations and Technology The Nigerian Stock Exchange September 2013 CONTENTS 1 Introduction Why Change? 2 Industry
More informationAn Unconventional View of Trading Volume
An Unconventional View of Trading Volume With all the talk about the decline in trading volume (over 30% on a year- over- year basis for most of the third quarter) you would think that no one is playing
More informationThe InstaQuote Solution
The InstaQuote Solution 1 ...a powerful strategic technology asset for today s traders Celadon Financial Group InstaQuote Solution Simple User Interface - Powerful Technology Easy to deploy and simple
More informationHigh-frequency trading
Economics & politics Research Briefing February 7, 2011 High-frequency trading Better than its reputation? Over the past years, high-frequency trading has progressively gained a foothold in financial markets,
More informationMarket Making and Liquidity Provision in Modern Markets
Canada STA 2015 Market Making and Liquidity Provision in Modern Markets Phil Mackintosh 2 What am I going to talk about? Why are Modern Markets Important? Trading is now physics at the speed of light Jan
More informationDerivative Users Traders of derivatives can be categorized as hedgers, speculators, or arbitrageurs.
OPTIONS THEORY Introduction The Financial Manager must be knowledgeable about derivatives in order to manage the price risk inherent in financial transactions. Price risk refers to the possibility of loss
More informationAnalysis of High-frequency Trading at Tokyo Stock Exchange
This article was translated by the author and reprinted from the June 2014 issue of the Securities Analysts Journal with the permission of the Securities Analysts Association of Japan (SAAJ). Analysis
More informationThe Case For Passive Investing!
The Case For Passive Investing! Aswath Damodaran Aswath Damodaran! 1! The Mechanics of Indexing! Fully indexed fund: An index fund attempts to replicate a market index. It is relatively simple to create,
More informationKarvy Stock Broking Limited. Mobile App User Manual
Karvy Stock Broking Limited Mobile App User Manual 1. Introduction KARVY Mobile Application gives the Investor Clients of the Brokerage House the convenience of secure and real time access to quotes and
More informationOverview. Integrated Front-mid-back office as well as standalone Front office or Back-office solution or Trading Channels
Securities Trading The adoption of technology is rapidly changing the dynamics of the brokerage industry. The increasing use of smartphones and tablets represent a transformation in the way in which investors
More informationTRADING STRATEGIES 2011. Urs Rutschmann, COO Tbricks
TRADING STRATEGIES 2011 Urs Rutschmann, COO Tbricks SEMANTIC CHALLENGE High Frequency Trading Low latency trading Algorithmic trading Strategy trading Systematic trading Speed Arbitrage Statistical Arbitrage
More informationInvesting In Volatility
Investing In Volatility By: Anish Parvataneni, CFA Portfolio Manager LJM Partners Ltd. LJM Partners, Ltd. is issuing a series a white papers on the subject of investing in volatility as an asset class.
More informationStock Broker System Audit Framework. Audit Process
Stock Broker System Audit Framework Audit Process 1. System Audit of stock brokers should be conducted with the following periodicity a. Annual system audit is prescribed for stock brokers who satisfy
More informationUS Futures Trading 2012: Buy-Side Demands in an Evolving Marketplace
US Futures Trading 2012: Buy-Side Demands in an Evolving Marketplace February 2012 Executive Summary Author: Matthew Simon Futures markets are about to become a lot more competitive. As buy-side portfolio
More informationHessisches Ministerium für Wirtschaft, Energie, Verkehr und Landesentwicklung Az.
Hessisches Ministerium für Wirtschaft, Energie, Verkehr und Landesentwicklung Az. Guidelines to the adherence to the requirement of the labelling of trading algorithms ( 16 sub-para. 2 no. 3 Exchange Act
More informationThe Why, What and How of Best Execution by Tina Mitchell and Krista Zipfel
The Why, What and How of Best Execution by Tina Mitchell and Krista Zipfel 1. The Why Investment advisers, large or small, are fiduciaries and have an ongoing duty to clients to ensure that the needs of
More informationThe matching engine for US Treasury Futures Spreads (CME).
Melanie Cristi August 2, 211 Page 1 US Treasury Futures Roll Microstructure Basics 1 Introduction The Treasury futures roll occurs quarterly with the March, June, September, and December delivery cycle
More informationSpeeding trade analytics
Reuters Tick Capture Engine Past, present and precise, tick-by-tick. Whether you are looking to capture and analyze streaming real-time and historical market data for algorithmic execution, bring tested
More informationCME Group Exchanges and Their Functionality
TESTIMONY OF TERRENCE A. DUFFY EXECUTIVE CHAIRMAN CME GROUP INC. BEFORE THE Subcommittee on Capital Markets, Insurance and Government Sponsored Enterprises of the HOUSE COMMITTEE ON FINANCIAL SERVICES
More informationDeveloping Algo Trading Applications with SmartQuant Framework The Getting Started Guide. 24.02.2014 SmartQuant Ltd Dr. Anton B.
Developing Algo Trading Applications with SmartQuant Framework The Getting Started Guide 24.02.2014 SmartQuant Ltd Dr. Anton B. Fokin Introduction... 3 Prerequisites... 3 Installing SmartQuant Framework...
More informationSTATEMENT OF GARY GENSLER CHAIRMAN, COMMODITY FUTURES TRADING COMMISSION BEFORE THE. May 20, 2010
STATEMENT OF GARY GENSLER CHAIRMAN, COMMODITY FUTURES TRADING COMMISSION BEFORE THE SENATE COMMITTEE ON BANKING, HOUSING, AND URBAN AFFAIRS SUBCOMMITTEE ON SECURITIES, INSURANCE, AND INVESTMENT May 20,
More informationSAXO BANK S BEST EXECUTION POLICY
SAXO BANK S BEST EXECUTION POLICY THE SPECIALIST IN TRADING AND INVESTMENT Page 1 of 8 Page 1 of 8 1 INTRODUCTION 1.1 This policy is issued pursuant to, and in compliance with, EU Directive 2004/39/EC
More informationMarket Microstructure: An Interactive Exercise
Market Microstructure: An Interactive Exercise Jeff Donaldson, University of Tampa Donald Flagg, University of Tampa ABSTRACT Although a lecture on microstructure serves to initiate the inspiration of
More informationConditional and complex orders
Conditional and complex orders Securities Trading: Principles and Procedures Chapter 12 Algorithms (Algos) Less complex More complex Qualified orders IOC, FOK, etc. Conditional orders Stop, pegged, discretionary,
More informationCFTC Technology Advisory Committee Sub-Committee on Automated and High Frequency Trading Working Group 1 Participants
CFTC Technology Advisory Committee Sub-Committee on Automated and High Frequency Trading Working Group 1 Participants Joan Manley, George Pullen CFTC Sean Castette Getco LLC Colin Clark NYSE Euronext Chris
More informationAlgorithmic Trading Present and Future in Korea
Algorithmic Trading Present and Future in Korea Sukju Hwang Nov. 15, 2013 Backgrounds Brief history of brokerage Algorithmic trading in Korea - 2003 FIX Adoption (Samsung Asset management) - 2003 FIX order
More informationCommodity Futures Trading Commission
Commodity Futures Trading Commission Office of Public Affairs Three Lafayette Centre 1155 21st Street, NW Washington, DC 20581 (202) 418-5080 www.cftc.gov Testimony Testimony of Chairman Gary Gensler,
More informationIntroduction to Trading
Introduction to Trading Certificate Programme The Introduction to Trading programme provides participants with market practice and hands on trading, which will immerse the delegate in the world of dealing.
More informationHow Do Broker-Dealers/Futures Commission Merchants Control the Risks of High Speed Trading?
How Do Broker-Dealers/Futures Commission Merchants Control the Risks of High Speed Trading? Carol Clark and Rajeev Ranjan* June 2012 *The opinions expressed in this paper are those of the authors and not
More informationAUTOMATED TRADING RULES
AUTOMATED TRADING RULES FEBRUARY 2012 CONTENTS INTRODUCTION 3 ENTERING ORDERS 3 DIVISION OF MARKET 4 TRADING SESSIONS 4 1. TYPES OF TRANSACTIONS 5 1.1 Limit Orders 1.2 Market Orders 1.2.1 Touchline 1.2.2
More informationHeightened Bond Liquidity Risk is the New Normal. Shushanik Papanyan Senior Economist BBVA Research USA
Heightened Bond Liquidity Risk is the New Normal Shushanik Papanyan Senior Economist BBVA Research USA Houston, TX September 10, 2015 The Signs of Weakened Liquidity The erosion of liquidity is more of
More informationForRelease: February i, 1988 (202) 254-8630
, NEWS RELEASE Release: 2864-88 ForRelease: February i, 1988 Contact: Kate Hathaway (202) 254-8630 Washingtom--The Commodity Futures Trading Commission released today the final staff report on stock index
More informationInvestor Presentation. Website: www.tarsiercm.com Phone: 202-256-9707 E-mail: frockwell@tarsiercm.com
Investor Presentation Website: www.tarsiercm.com Phone: 202-256-9707 E-mail: frockwell@tarsiercm.com Executive Summary Overview: The Tarsier Insider Buying Strategy is a large cap, long only, equity strategy
More information