For this edition of our 5 Questions blog series, we talked with Todd Leigh, a former trader who has made a career out of developing algos with ADL, our visual programming interface for algo design. ADL, which is integrated in the TT® platform, allows traders to design, test and deploy trading algorithms without writing a single line of code.
Todd began his career in the mid-2000s as a proprietary trader at Marex Spectron in London. He went on to run a global macro investment fund in Australia, then founded Quantum Futures, a provider of futures execution algorithms, in the U.S. in 2015. Todd also advises TT clients on bespoke execution solutions and integrated automation through his ADL Tools initiative. With offices in Los Angeles and Australia, Todd travels extensively throughout the U.S., UK, Europe and Canada to support his clients and their trading endeavors.
What is the core business of ADL Tools and why did you start the firm? What opportunity did you see at the beginning, and how does that compare to what you see now?
Todd: ADL Tools is a consultancy service specializing in bespoke execution algorithm design in ADL for Trading Technologies’ platforms. We work with execution desks, CTAs, market makers, prop firms and individual traders globally developing sophisticated execution tools, pushed and multi-play algorithms.
When TT integrated ADL into the X_TRADER® platform in 2011, it created a very unique opportunity—the ability for traders to incorporate customized automation into their execution strategies without having to undertake large-scale development—while seamlessly retaining control over and visibility of all of the associated algorithmic order flow through X_TRADER’s user interface. This enabled proactive traders to further exploit their edges while staying within the TT user experience they were already so familiar with. In hindsight, this may seem like quite a rudimentary step, but at the time, it was very innovative.
The TT platform has since taken this innovation to new heights. The platform offers much lower latencies and enhanced automation integration, providing proactive traders with this same competitive edge in today’s markets.
We’re constantly working with our clients to push the boundaries of what the ADL visual programming language is capable of and leverage the real-time execution efficiencies it can provide throughout the TT platform. It’s an exciting time to be utilizing technology in financial markets.
How did you learn to use ADL, and what do you recommend to others who are learning to build algos using ADL?
Todd: At the time, I was a trader wanting to bridge the automation gap and had been exploring various pathways, including learning MATLAB and Python. I found both languages very useful for quantification, but felt out of my depth using them for anything execution-related.
I was very familiar with TT, and when you integrated ADL into the X_TRADER platform, it was exactly what I was looking for—a dedicated automation solution geared towards traders without extensive coding experience.
I was fortunate to gain the support of veteran traders who had been using ADL since its inception at TickIt Trading Systems. I completed the native ADL tutorials several times, explored every post in the ADL forums and dedicated twelve months to pushing the boundaries of what I could envisage/create with the language.
I loved the challenge and the process so much that I started building algorithms for fellow traders, then, before long, my newfound skillset evolved into my entire professional focus.
In terms of recommendations:
- The native ADL tutorials do a great job of introducing the foundations of the language.
- The ADL forums are very helpful when starting to approach more complex problems. I found numerous posts helped inspire new ideas as to what was possible.
- A strong background in trading is definitely very helpful as it naturally informs what kinds of strategies/execution tools may be worth building to enhance an edge.
Ultimately, an execution algorithm is only as good as the trading logic embedded within it.
Can you give a broad view on the different types of algos you develop? Are they round-trip life-of-trade algos? Algos for order entry? Algos for order management?
Todd: All of the above! However, these days I prefer to focus on building larger-scale solutions for institutional participants, leveraging the various integrated automation features within the TT platform. As an example, I often develop CTA and/or market making algorithms using ADL, have the client deploy them via Autotrader™, and manage the full suite of deployed instances and their various user-defined input variables in real time through a custom Excel UI.
We develop benchmark execution algorithms for bank/FCM execution desks and their clientele, systematic strategies for CTAs, grey-box automation solutions for institutional market makers and sophisticated execution tools for point-and-click traders.
The exciting thing about automating execution is we can take any traditionally manual execution process and approach it in a much more sophisticated, efficient and intentional way—whether it be an order entry, order management, round-trip life-of-trade or multiple-round-trip life-of-strategy execution process.
Is the world of algo strategies expanding, or are your customers routinely asking for similar algo strategies?
Todd: Over the last decade, the world of benchmark execution strategies like arrival price, VWAPs and TWAPs has gained prominence in futures markets, setting the standard for how institutional business is executed, while transaction cost analysis (TCA) has evolved the way execution performance is evaluated.
On the other hand, customized execution strategies continue to expand rapidly as market participants develop bespoke algorithms to cater to niche aspects of their trading process. For example, CTAs often have difficulty achieving their theoretical models’ pricing in practice. Reducing the slippage between their actual execution and their models’ theoretical pricing often requires an intentional, unique and strategy-specific approach.
Even with very general order types, clients almost always want to customize some part of the process, giving them greater control over their workflow and helping to better maintain their specific edge.
I’m continually devising new ways to approach complex problems, which keeps me fully engaged in my work and is one of the main reasons I love what I do.
What kind of edge does ADL provide algo developers and traders?
Todd: ADL is a phenomenal tool for enhancing execution. The language facilitates quick-to-market solutions by allowing a developer or trader to focus entirely on the execution strategy itself, and leave all of the connectivity, co-location and greater infrastructure concerns to TT.
Deploying ADL algorithms within the TT environment enables the trader to execute at algorithmic speeds, intentionally with all of the discretionary controls of manual execution.
The TT platform’s enhanced automation integration features have made incorporating ADL algorithms into the execution process even more seamless, efficient and beneficial.