Latest Blog Posts

RegAT – round 2

Henri Pegeron, Fidessa

Jun 22, 2016
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Regulation AT forges ahead, this time with a Round 2 panel convened on June 10th at which the CFTC focused the discussion on five major sticking points: 1. Amendments to the proposed definition of direct electronic access (DEA) 2. Quantitative measures to establish the population of persons 3. Alternatives to require each person defined as an “AT Person” to implement and utilize pre-trade risk controls 4. AT Persons’ compliance with requirements under RegAT when using third-party algorithms or systems 5. read more

At last, it’s time to industrialise the back office

John O’Hara, Taskize

Jun 21, 2016
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Standardisation and automation are the logical response to problems of scale and complexity. If a simple task needs doing a couple of times a year, you have little incentive to improve the process. If a complex task has to be executed every few hours, minutes or even seconds, you soon look for ways to systematise the management of the task, to get it done quickly and efficiency. This principle has driven progress from the industrial revolution to the era of the production line to today’s trading rooms, where order and execution management systems have evolved to cope with vastly increased transaction volumes across multiple asset classes and counterparties. read more

Data lakes vs data streams: which is better?

Guy Warren, ITRS Group

Jun 20, 2016
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Data lakes and data streams: two of the hottest data buzzwords du jour and as likely as any pair to spark an argument between data scientists backing one or the other. But which really is better? Firstly, what are these lakes and streams? A data lake is still a fairly new concept that refers to the storage of a large amount of unstructured and semi structured data. It addresses the need to store data in a more agile method compared to traditional databases and data warehouses, where a rigid data structure and data definition is required. read more

Regulatory algebra

Christian Voigt, Fidessa

Jun 10, 2016

Algorithmic trading and market access are under increased pressure from regulators everywhere, adding new layers of complexity in the quest for a single, global, normalised trading experience. Buy-sides often use Sponsored Access (SA), Direct Market Access (DMA) or Direct Electronic Access (DEA) via brokers across different regions. With MiFID II and RegAT each defining those terms, differences in meaning can quickly escalate from a simple semantic annoyance to a more serious compliance and business issue. read more

Pair Trading: It’s Complicated – Part III: This is not your standard algorithm

Mike Baradas, Bloomberg Tradebook

May 24, 2016

Implementing multi-asset and cross-asset algorithms presents substantial workflow challenges for many institutions.  Bloomberg Tradebook’s PAIR Multi-Asset platform provides a comprehensive solution to electronically integrate with OMS’s and EMS’s in the marketplace. In our previous posts, Part 1 and Part 2, we illustrated the mechanics of cross-asset and pair algorithms.  While a broad range of institutional investors are trading multiple asset classes in cross-asset strategies, a good number of them are challenged with certifying the algorithms into their standard OMS and EMS workflows. read more

Bumpy road ahead?

Steve Grob, Fidessa

May 20, 2016

Interesting story in the FT today about IEX and its application to become a fully-fledged exchange. At issue is IEX’s so-called ’speed bump’ that will slow down the HFT ‘boy racers’ and so make markets safer again. Naysayers claim that the inclusion of a speed bump is contrary to the rule that investors should have “immediate” access to the best liquidity. The SEC counters that anything that is sub-millisecond (such as in this case) is, in effect, “immediate”. read more

Apple shows the way for trading systems

Steve Grob, Fidessa

May 12, 2016

Interesting to read that Apple is reportedly deciding when, not if, to cancel music downloads from iTunes.  The idea, of course, is to move everyone over to its Apple Music streaming service.  This got me thinking about the whole “access to” versus “ownership of” debate and how it applies to our industry.  As a committed audiophile, the Apple story filled me with horror as I thought about how I have curated my music collection over the years and, more importantly, the sound quality of streaming services compared to playing them through my dual DAC player. read more

Sizing Up: The New Trade on the Block

Kapil Phadnis

May 09, 2016

From the onset of Regulation NMS in the U.S., much of the market focus has been on assessing average trade values and sizes. Average trade sizes are widely used to measure proliferation of algorithmic trading and electronic market makers. The connotation when using this measure is that the volume is being chopped into smaller units and institutional investors seeking large executions are being disadvantaged. Market makers drive smaller trade sizes since it is less risky for them to buy and sell smaller units by capturing as much spread as possible each time they trade. read more