Top stories

FirstBPM partners Kx Systems to deliver high performance data analytics platform

Sep 18, 2014

Palo Alto, CA – Kx Systems, a leader in high-performance database and time-series analytics, today announced it has signed an OEM partnership with FirstBPM, a global provider of business process management integration software. As part of the deal, FirstBPM will deploy kdb+ to greatly enhance the speed and performance of its data analytics processes.

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GFT releases Big Data Study

Sep 17, 2014

Stuttgart – GFT, one of the world’s leading IT solutions providers for the financial services industry, today published a study examining the ’big data’ challenges facing the corporate, retail, institutional and insurance financial services sectors. Overall, the study finds that managing, marshalling and improving the overall quality of their enterprise and customer data and meeting ever-increasing regulatory requirements are top priorities for financial services firms.

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REDI Expands Boston Presence

Sep 17, 2014

BOSTON — REDI Holdings LLC (“REDI”), the independent, industry-backed provider of the REDIPlus® execution management system (EMS), today announced the strengthening of its sales, account management and development capabilities in the New England region with the hiring of Sean Graham and Roseann Hoffman Woodford, two seasoned equity trading professionals, and Jeremy Warburg, a veteran buy-side software developer.

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Latest Blog Posts

What I did not do

Christian Voigt, Fidessa

Sep 19, 2014
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When I got into work this morning, I decided not to return a missed call, not to review a document, not to read a report, not to ask some colleagues for advice, not to fill in my timesheet for last month, not to think about further job training and, most importantly, not to join an internal weekly meeting which was covering a topic not relevant to me. Instead I decided to write this blog first. If you thought that my introduction was rather long winded, you will not be pleased to hear that your algo audit trails could look exactly like that too, if ESMA’s current proposal for record-keeping makes it into the final Level 2 text of MiFID II. ESMA suggests that audit trails should include all market data messages relevant when “algorithms make a decision to submit or not submit an order”. This unfortunate wording suggests that firms not only have to store market data when the algo decides to act (add, amend, cancel order), but also when the algo makes the decision not to do anything. How this could be relevant is beyond me, as I don’t see why doing nothing could harm the market. But I certainly do know that algos can decide to do nothing many times a second, thus easily increasing the size of your audit trail by a huge factor. We will have to wait to see what ESMA finally decide on that point. In the meantime, I am not going to get a coffee or a tea, not going to read my emails and not going to schedule that meeting nor worry about the next piece of regulation coming. Instead, I think I might just go and buy some shares in a hard disk producer, just in case!
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El mañana is here

Anne Plested, Fidessa

Sep 16, 2014
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Last week I was in the beautiful city of Madrid, where besides analysing the impact of upcoming MiFID II regulation, I’ve been catching up on the Spanish Market Reforms. The upcoming changes, aka La Reforma, promise to align the Spanish market with European peers and improve competitiveness. Spain’s clearing, settlement and registry system overhaul is being tackled in 2 phases, currently underway with the introduction of a central counterparty (CCP) for equities during 2015 followed by the inclusion of fixed income and Target2Securities (T2S) by early 2017. Which all points to a very large helping of market change in Spain over the next 2 years, even before they get to MiFID II which will have to be implemented before January 2017!
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ETF ALGORITHMIC TRADING VS. BLOCK TRADING (PART 3)

Jingle Liu

Sep 15, 2014
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  FIGURE 1. Notched Box-Whisker plot that shows trade costs of algorithmic execution (blue) and block trading (red) of ETFs for various order sizes (measured as percentage of ADV). We statistically compared the ETF trade costs of implementation shortfall strategy with that of block trading which was deemed as an effective way to execute large chunk of shares. Block trade here was defined as single trade with prints of more than 10000 shares. We gathered all the ETF block prints from public market feeds of US equity market from 1/1/2013 to 12/31/2013. The trade cost distributions of trading algorithm and blocks for various order size groups are compared and shown in Figure 1. The cost distributions of block trading (labeled in red) are much tighter than those of algorithmic trading (labeled in blue) for the entire order size group. For orders with size of smaller 1% of ADV, median trade cost of algorithmic trading is lower than that of block trading while for orders with size of larger than 1% of ADV, block trading shows lower median cost. These results suggest that when traders have relatively large ETF orders, one should consider leveraging block trading platform to source liquidity to achieve optimal execution. The rule of thumb to trade ETF optimally is summarized in Table 1. Table 1 Methods for lower median cost for different order sizes: Order Size/ADV Optimal method to achieve lower median cost [0%, 1%] Algorithmic Trading [1%, ∞] Block Trading   This blog is the third installment about ETF trading that is excerpted from a Journal of Trading paper published by our quantitative research team. The full white paper can be downloaded here.  
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Interview

Discussing Risk Data Strategy: An Interview with Philip Chamberlain

Sep 04, 2014
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Risk data is an area that has been largely overlooked for many years. Today the situation is different and the area is facing increasing regulatory scrutiny, as Systemically Important Financial Institutions (SIFIs) rush to comply with the Basel 239 Principles for Effective Risk Data Aggregation and Risk Reporting. An enterprise’s success depends on its ability to analyze risk data efficiently and effectively, in ways that uncover both risks and opportunities. Being able to extract and escalate critical risk information is nearly impossible without a robust risk management framework supported by a strong technology infrastructure.

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ATMonitor talks to ITG's Ian Domowitz about Best Execution

Jul 17, 2014
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Ian Domowitz, Managing Director of ITG and CEO of ITG Solutions Network, talks to ATMonitor about transparency in terms of institutional trading and how Best Execution can be achieved across different asset classes.

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ATMonitor talks to ITG's Ian Domowitz about Big Data and TCA

Jul 09, 2014
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Ian Domowitz, CEO of ITG Solutions Network, talks to ATMonitor about the problems surrounding Big Data in terms of real-time TCA. Domowitz discusses the main issues including the volume, the variety and the velocity of the data.

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Survey

Execution Management Systems Survey 2014

THE TRADE invites you to participate in the EMS Survey for 2014, now in its second year running. If you are trading electronically, we would appreciate your input on the use of EMS systems, which features you consider important and how you rate their current capabilities.To express our thanks, all participants are eligible for a free one-month online subscription to thetradenews.com. Please click here to participate.

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Research

Streaming Analytics to Run Electronic Trading Systems in the Now

Corvil

Jul 22, 2014
Streaming Analytics to Run Electronic Trading Systems in the Now

Electronic trading firms use information technology to automate business operations at every stage of the trading​ ​process, from dissemination of news and market data, to order processing and forwarding, to trade execution and clearing. Automation makes these operations faster and more efficient, reducing trading costs and delays. It also makes firms more dependent on the performance and reliability of IT Operations, and creates challenges for application and network performance management.

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Video showcase

Corvil working with RSJ

Corvil Watch Michal Sanak, CIO, RSJ Algorithmic Trading discuss working with Corvil. read more

Corvil working with Tradition

Corvil Watch Yann L'Huillier, CIO, Tradition and Alex Krovina, CTO, Tradition discuss working with Corvil. read more

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