ALGORITHMIC FX TRADING
>>>
algorithms they do not have to build these ultra- sophisticated subroutines themselves.”
Another area that Tomson Reuters is moving forward on is the use of news within the algorithmic trading space. “We realise that news is an extremely important part of any firm’s algorithmic trading systems and Tomson Reuters has extremely fast algorithmic news feeds that use metadata to track sentiment, novelty, relevance and other qualitative properties,”says Horowitz. “Right now we are looking at how we can deliver digital news services through our Dealing Aggregator algorithmic trading engine and it is something we expect to be able to deliver to our clients relatively shortly.”
Step up in complexity Joey Horowitz “Speed of execution or minimising
market impact are normally provided by most good algorithms but that ability to decide whether to use the standard algorithm is where opportunistic algorithms really come into their own.”
the buy-side and to get the full trade safely. It really becomes a balancing act for the traders and they are relying on their algorithms to help them achieve that balance.”
And while there are areas within the FX market where there is a mass of data to deal with, there are also certain FX trading strategies, such as those involving illiquid currency pairs where the new generation of opportunistic algorithms can really help firms meet their trading objectives, says Horowitz. “Tis is a huge area for us and one where built-in opportunistic algorithms can really play a significant role in easing the workload for other algorithms. I look on the derived FX cross market as one using sub-algorithms that are themselves opportunistic algorithms. However, rather than being viewed as an opportunistic algorithm, I see such features becoming an out-of- the-box part of the software delivered to our customers so that when building their own opportunistic
110 | april 2011 e-FOREX
“People like to think that everything is an algorithm and an OCO order or a trailing stop order is an algorithm to some extent,” says Tom Murphy, US Head of Derivatives Sales, at Bloomberg Tradebook. “But a third generation algorithm offers capabilities that are not readily transferable within the FX market. It is a more advanced way of trading and another step up in complexity.”
Murphy says that Bloomberg Tradebook has developed a series of algorithms which it believes exploit these third generation capabilities as well as the full functionality of Bloomberg’s trading terminals. “We have a fully anonymous central counterparty (CCP) trading model that prevents information leakage and when it is coupled with our market news and data network allows us to deliver algorithms that can achieve that balance between market impact and the speed of execution,” says Murphy.
Traders can factor in economic events such as interest rate announcements or unemployment figures into their algorithmic strategies, says Murphy. “Users can preload an order with certain parameters based on that news release – for example, if unemployment is less than 9% then buy euros at a price no lower than x and no higher than y. Te way that Tradebook is structured means that the preloaded decisions are stored within the system and the announcements are typically embargoed. Once that embargo is lifted, the algorithm will see if the preloaded conditions are met and then act accordingly and this is all done on our server. It does not involve APIs where information is sent back and forth, so we think this is a great offering because it uses all the things that makes Bloomberg distinctive.”
Page 1 |
Page 2 |
Page 3 |
Page 4 |
Page 5 |
Page 6 |
Page 7 |
Page 8 |
Page 9 |
Page 10 |
Page 11 |
Page 12 |
Page 13 |
Page 14 |
Page 15 |
Page 16 |
Page 17 |
Page 18 |
Page 19 |
Page 20 |
Page 21 |
Page 22 |
Page 23 |
Page 24 |
Page 25 |
Page 26 |
Page 27 |
Page 28 |
Page 29 |
Page 30 |
Page 31 |
Page 32 |
Page 33 |
Page 34 |
Page 35 |
Page 36 |
Page 37 |
Page 38 |
Page 39 |
Page 40 |
Page 41 |
Page 42 |
Page 43 |
Page 44 |
Page 45 |
Page 46 |
Page 47 |
Page 48 |
Page 49 |
Page 50 |
Page 51 |
Page 52 |
Page 53 |
Page 54 |
Page 55 |
Page 56 |
Page 57 |
Page 58 |
Page 59 |
Page 60 |
Page 61 |
Page 62 |
Page 63 |
Page 64 |
Page 65 |
Page 66 |
Page 67 |
Page 68 |
Page 69 |
Page 70 |
Page 71 |
Page 72 |
Page 73 |
Page 74 |
Page 75 |
Page 76 |
Page 77 |
Page 78 |
Page 79 |
Page 80 |
Page 81 |
Page 82 |
Page 83 |
Page 84 |
Page 85 |
Page 86 |
Page 87 |
Page 88 |
Page 89 |
Page 90 |
Page 91 |
Page 92 |
Page 93 |
Page 94 |
Page 95 |
Page 96 |
Page 97 |
Page 98 |
Page 99 |
Page 100 |
Page 101 |
Page 102 |
Page 103 |
Page 104 |
Page 105 |
Page 106 |
Page 107 |
Page 108 |
Page 109 |
Page 110 |
Page 111 |
Page 112 |
Page 113 |
Page 114 |
Page 115 |
Page 116 |
Page 117 |
Page 118 |
Page 119 |
Page 120 |
Page 121 |
Page 122 |
Page 123 |
Page 124 |
Page 125 |
Page 126 |
Page 127 |
Page 128 |
Page 129 |
Page 130 |
Page 131 |
Page 132 |
Page 133 |
Page 134 |
Page 135 |
Page 136 |
Page 137 |
Page 138 |
Page 139 |
Page 140 |
Page 141 |
Page 142 |
Page 143 |
Page 144 |
Page 145 |
Page 146 |
Page 147 |
Page 148 |
Page 149 |
Page 150 |
Page 151 |
Page 152 |
Page 153 |
Page 154 |
Page 155 |
Page 156 |
Page 157 |
Page 158 |
Page 159 |
Page 160 |
Page 161 |
Page 162 |
Page 163 |
Page 164 |
Page 165 |
Page 166 |
Page 167 |
Page 168 |
Page 169 |
Page 170 |
Page 171 |
Page 172 |
Page 173 |
Page 174 |
Page 175 |
Page 176 |
Page 177 |
Page 178 |
Page 179 |
Page 180 |
Page 181 |
Page 182 |
Page 183 |
Page 184 |
Page 185 |
Page 186 |
Page 187 |
Page 188