I read this:

A man in a hot air balloon is lost. He sees a man on the ground and reduces height to speak to him.

“Excuse me, can you tell me where I am?”

“You’re in a hot air balloon hovering thirty feet above this field,” comes the reply.

“You must work in Information Technology,” says the balloonist.

“I do,” says the man, “How did you know?”

“Well,” says the balloonist, “Everything you told me is technically correct, but it’s no use to anyone.”

“You must be in business,” says the man.

“I am,” says the balloonist, “How did you know?”

“Well,” says the man, “You don’t know where you are, you don’t know where you’re going, but you expect me to be able to help. You’re in the same position you were before we met, but now it’s my fault.”

Here

Love it.

-Chris

You can leave a response, or trackback from your own site.

After a week of playing with Coral 8 – I am in love. Short post – it is simple – go download Coral 8 and be impressed today Polished, fast, complete, excellent product vision and implementation, mature, ready for the real world, they thought of all the important ‘enterprisey’ stuff. Great client tools. Simple – yet complete… What else – oh yeah – it is cool!
-Chris

You can leave a response, or trackback from your own site.

It is another hot topic – cross asset auto-trading. Along with the MiFID (Markets in Financial Instruments Directive) and Reg NMS, super topics of the current environment, there are few ‘bigger deals’ in the world of big finance. In my pouring over the backissues on the Fix Global site – I found another good paper on Multi-asset trading. In case you did not know – it is all about automated trading. I was speaking to a friend Friday night who writes about automated and algorithmic trading for one of the Institutional Investor publications. We were both talking about statistics we’ve heard/ read, the state of the art and world according to auto-trading. Boy is it an excited time to be working amidst the technology war on wall street, along the road to exponentially increasing amounts of rapid automated trading!

This paper talks about something I have been waiting for for some time. Custom multi-asset, roll your own, on the fly cross asset product synthesis. It looks something like:

• I have some risk profile I want to create.
• I want 1 part fx cash, 2 parts near expire option, 1 part fx.
• I plug in my underlyers…
• Blamo -my own custom structured ‘new product’
• Now I trade these things as if it were a ‘real’ instrument traded at an exchange
• My EMS systems manage the execution etc.

These ’strategies’ are what currently happens in some places, but they are still not so ‘formalized’ as to be easy to do, par for the course and ‘the norm’. Trading is complex for sure, and there are still plenty of integration issues that make the advanced version of the above vision – still not here yet… Soon enough!!!

-Chris

You can leave a response, or trackback from your own site.

This month’s Wall Street and Technology came with a nice add on print – the 2006 Traders Glod Book (*Marc tell your neighbor – nice work*). They spoke to several directors of trading desks around the world and asked IT related questions and more. In general – fascinating…

One of the interesting areas was asking how they are using algorithms, whose they are using, on what instruments, do they develop their own, etc. As it goes, there are several ‘pet algorithms’ that seem to me mentioned by everyone. Not surprisingly the old standard VWAP is still the norm, everyone uses it. Implementation Shortfall, and TWAP are the other standards that are used in lots of places.

There is a good overview of what exactly these algorithms are. I found this great paper that gives a clear explanation of the different algos, their usages and general characteristics. I have used VWAP for several trading systems in the past – it is par for the course you could say. TWAP (Time weighted average price, as opposed to VWAPs Volume … ) is related but the Shortfall and First Arrival Price algorithms were new to me.
I will also say that CSFB’s AES algorithm set gets an honorable mention as it was noted by several people. The big players all seem to have offerings – I am curious to see how they all pan out.

Something that I find interesting also is that these are all ‘what price’ algorithms, not ‘what order’ algorithms. All of these algorithms assume you want to be in the market – they are about getting the right price. They are more like execution algorithms. This is why they are used all over the place sort of interchangeably. You say ‘I have an order that I want – go get it’. The algorithms then goes to do it’s thing and get you the ‘correct’ price without giving away the notion that you are selling/ buying N tradeables in the market. This is of course mandatory, useful etc. All of my ‘algorithmic trading’ experience has been in the ‘what order’ space, with some ‘what price’ component. The ‘what order’ part got a lot more attention, but I could see how as a non-institution I and my clients in the past have been more cavalier about just executing a trade. As an institution, you cannot do that- you can’t dump 2 billion into the market in 1 shot .

-There are my musings for this evening-

Chris

You can leave a response, or trackback from your own site.

In the most recent issue of Auotomated Trader Magazine there is a  great article about the LSE (London Stock Exchange) and their trading infrastructure infrastructure. It is almost unheard of for ‘finance’ to turn to Microsoft’s .net on the server – but the LSE has apparently adopted .net and windows ! Excellent read. Interestingly – they said that Microsoft’s stong desire to ‘get into’ the finance area like this gave them an excellent relationship with MS. Their system is not released yet – but it shold be soon enough. They mentioned they should start with 50% more capacity than their historically highest volume day. They also said that they could add capacity overnight should their needs vastly increase – as we all imagine it will.

Kudos to the LSE for going MS – guts! I hope it works out for them.
-Chris

You can leave a response, or trackback from your own site.