All posts by Trading Technologies

The Internship

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LinkedIn
interns at lincoln park zoo
Our summer 2014 interns (L to R): Ian Torres, Purav Shah,
Stephen Herring, Everett Hu, John Lefkovitz, Joshua Alley.
We recently concluded our first official summer internship program. While we’ve had students interning with us in the past, we wanted to make this summer a more formal (and fun!) experience.

Our internship program goals are similar to the TT University Program, which provides free access to our trading platforms, APIs and expertise to more than 50 universities around the world. The main goal of the University Program is to educate and mentor the next generation of financial leaders by donating our expertise and technology to universities worldwide. Whether the students are studying finance, computer science, engineering and/or economics, we want them to understand how to use trading software in a safe, efficient way.

The goal of the paid internship program is to provide top students on summer break the opportunity to contribute enhancements that make our software even better, which in the process helps them become more advanced programmers and developers, and to enhance their understanding of the financial markets.

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Innovation Spurs More Innovation

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LinkedIn
Informatica recognized TT as an
Innovation Award Finalist in the
Embedded Applications category.

Last week Informatica hosted its annual customer conference, aptly named Informatica World 2014, where TT was recognized as an Innovation Award Finalist. I was lucky enough to attend the conference and accept the award on behalf of TT.

Although these types of vendor-sponsored awards are typically just marketing exercises for all involved, this was a different experience in my opinion. After speaking with various groups within Informatica, including their marketing team, as well as other conference attendees, it was obvious there was a genuine interest in and recognition of the innovation going into the development of TT’s recently unveiled next-generation trading platform.

I didn’t expect people to be very interested in us because we’re not a giant global enterprise like the typical Informatica customer. Informatica provides data integration software and services to a client roster that includes some of the most widely recognized companies in the world. Their products include the Ultra Messaging (UM) product suite, which we’re using in the new TT platform. In retrospect though, I guess the response shouldn’t have been so surprising since the conference was heavily focused on cloud and big data. In particular, many discussions focused on the challenges of getting real-time data into cloud-based data warehouses; we faced similar challenges when designing the new platform.

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Geographical Arbitrage

By:
LinkedIn

Have you ever wanted to buy something in one location to sell it in another location at a higher price? Imagine buying gold on CME only to turn around and sell it on TOCOM at a higher price. This type of trade is known as geographical arbitrage.

While there is risk in every trade, geographical arbitrage is relatively low risk. The faster you can execute and the more alike the underlying products, the better the arb. Gold as an underlying makes for an almost perfect hedge, as the gold quality is identical. This is not true for most other commodities.

One major factor here is the two products are priced in different currencies. A currency conversion is required, and this conversion value is not static like some other conversion factors used for spreading. For example, in this spread, I will use a static conversion of 1 kilogram equal to approximately 32.15 troy ounces. This value will not change during my arb, but the dollar-to-yen ratio will.

Let’s begin by calculating how to set up this trade. I will convert the yen-to-dollar using 6J on CME and grams to troy ounces. Below is a table that shows this conversion to get TOCOM gold priced in U.S. dollars and troy ounces.


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The Adventure of the Missing Algos

By:
LinkedIn

I was amused by the recent flurry of media releases proclaiming the adoption of algorithmic trading in derivatives markets. Pay no attention to the man behind the curtain, could this be important new information that somehow leads us to enlightened trading? Or is it the case there is nothing more deceptive than an obvious fact? The latter are the words of one well-known sleuth, whose Watson would likely retort, “No kidding, Sherlock,” or something roughly comparable.

The infamous Sherlock Holmes

Avoiding the temptation to offer my own breaking insights, such as The Internet is here to stay! and Mobile communications expected to take off!, I will instead stay the high road, eschewing mirthful gratification for the sake of propriety. As our sleuth would advise, if you eliminate all other factors, the one which remains must be the truth: while other vendors are merely talking about algo trading in derivatives, Trading Technologies has been delivering for several years. I am therefore tickled pink that other vendors are now “discovering” this space. The algos are not missing, they are here. In production. Today.

One of TT’s first algorithmic solutions was our hosted Autospreader® Strategy Engine (SE), which is a very-low-latency computational server for executing synthetic spread algorithms such as calendar rolls, synthetic strips, butterflies and condors. Recent enhancements to this system include intuitive rule building for customized handling of pre- and post-trade hedging, as well as conditional participation and synthetic sniper spreads.

The Autospreader SE product is complemented by TT’s Synthetic Strategy Engine, another proximity-hosted server that provides a suite of algorithmic order types, including synthetic icebergs, TWAP, POV and triggered algos such as stops and if-touched orders.

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Common Spreads and the Uncommonly Cool Custom Formula

By:
LinkedIn

One of the most interesting aspects of supporting a product like TT’s Autospreader® is the fact that users continue to find new ways to use it, especially as market conditions change. While it would be impossible for me to talk about the countless number of unique strategies that are created for specific markets,  I can give you a good idea of how Autospreader can be applied by looking at how it’s used to execute some common arbitrage spreads.

My intention is not to portray these strategies as potential sources of profit, but to portray them as stepping stones to further innovation. I hope that these examples will “get your wheels turning.” Even if you’re already familiar with these spreads, this blog can serve as a good review of Autospreader.
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