Algorithmic Trading article

[SteveTownsend]

This is from Dr Dobbs Journal online. Of tangential interest to the tech-heads out there.

http://www.ddj.com/dept/ai/197801615;jsessionid=3TU1433J0ITDWQSNDLPCKHSCJUNN2JVN

 

[Andy Nguyen]

Thanks for the very interesting article, Steve

From the info I gather, UBS, Goldman and CS are moving increasing portion of their trades away from the exchanges and into their internal network. The percentage of trades their did over their internal network by now has been 12% and predicted to be 18% by 2010.

More internal trading, more algo trading, I imagine your group would see more action in this direction. Would you be able to share with us your experience with your group with regard to this very exciting trend ?
Thanks

 

[SteveTownsend]

Andy, I am currently attached to a research group rather than a trading desk.

When I was at Lava Trading, there was definitely a wish in equities trading to cross more trades internally than on an exchange.

Not sure how the introduction of Reg NMS affects this process. I would have thought any internal cross should have its price exposed on the exchange to comply with Reg NMS.

 

[Andy Nguyen]

Didn't know what Reg NMS was. Googled it and found this very informative article from
http://www.wallstreetandtech.com/showArticle.jhtml?articleID=59300920

Seems like this Reg NMS has affected both buy-side/sell-side on many market. Not sure how applicable the new rule is to the real market.

Thanks for the pointer, Steve.

 

[rholowczak]

Impications of RegNMS on internalization

Folks:
One implication of RegNMS on firms internalizing orders is that if they
cross an order internally at a price better than the displayed BBO of the
market, then they must make good on all of the current orders at the top
of the book at each market center.

As a consequence, keeping track of the state of the market at the time
a trade was executed is now a very important compliance issue. This is
one reason why you are seeing an increase in interest in real-time tick
databases (e.g., StreamBase, Vhayu, Kx, etc.)

Cheers,

Prof. H.

 

[Vlad]

This is from Dr Dobbs Journal online. Of tangential interest to the tech-heads out there.

Dr. Dobb's | Algorithmic Trading | March 9, 2007

First time I heard about CEP is from this article.
If you want to know more , there is a NY Java SIG event:
+------------------------------------------------+
Complex Event Processing (CEP)
using Esper, the Open-Source Java CEP
+------------------------------------------------+
What: Complex Event Processing using Esper
Who: Thomas Bernhardt - Founder and Project Lead of Esper
When: WEDNESDAY, May 30, 2007
6:00pm - 8:00pm
Where: Google Engineering Offices
76 Ninth Avenue (between 15th/16th St), 4th Floor
New York, NY 10011

You can register using the link on this page:
JavaSIG - This Month's Meeting

Looks like there is also a .NET version NEsper .

 

[Wallstyouth]

Reg NMS Implications for liquidity, both displayed and hidden:
--------------------------------------------------------------------------
Most flow will go through smart order routers that ping all intermediate price points across many venues.
Bids will therefore get hit regardless of if they're displayed or hidden.
Therefore, hidden orders will massively proliferate in both NYSE and Nasdaq names being placed on cheapest and most liquid venues.
Visible spreads will widen, 'real' spreads will be tighter than ever.
Less order information will fly around the Street. No one will know who's been buying, who's been selling, or how much anyone leaves.
As signaling is reduced, slippage will decrease on average.
Volume will increase tremendously.