InfoReach – The New HiFREQ Strategy Testing Framework Allows InfoReach Clients to Evaluate Performance and Validate the Behavior of Trading Strategies
Larry Tabb – It is certainly not a good idea to only route orders to markets that pay the highest rebate or charge the lowest fee, but this is difficult to regulate. Firms are generally governed by best-execution policy, which in the US focuses on obtaining a price for the client order that is at, or better than, the best bid or offer in the market.
Monica Summerville – A common approach to data architecture in financial services has been to utilize a data technology stack comprising a collection of approaches – for example, historic data in a relational database, recent data in a columnar database, and real-time data in some sort of event processing software engine. To obtain a consolidated view, connections must be made directly to various systems; an approach that gets increasingly complex over time.
Larry Tabb – Algo wheels help buy-side firms automate their algorithmic workflow and rationalize their usage of broker algorithms. The wheel not only simplifies the difficulty of allocating order flow to a specific broker, it also helps the buy-side trader ascertain the quality of the broker’s algos given differing liquidity patterns and trading situations. … When used for best execution a broker wheel pits similar algorithms against each other using A/B-type testing strategies. … Normalizing disparate algorithms to measure performance and ensure best execution are the algo wheel’s killer application. … But algo wheels don’t guarantee best execution by themselves. … As algo wheels gain traction, TABB Group sees buy-side firms supporting two different types of tools. The first set includes more generic algorithms that fit into an algo wheel, which will be used for more traditional VWAP, TWAP, IS, or dark accumulation strategies; and the second set contains those more customized algos that will be tailored to specific situations. … Increasingly, the buy-side trader’s job will be focused on ascertaining the appropriateness of using a wheel, and those times when a more specific and customized tool will provide a better outcome.
Sean Sullivan – How prevalent is it? A study conducted by research consultancy Opimas predicted that by 2020, 20% of buy-side firms with more than $50 billion AUM will outsource some portion of their trading operations.
Juan Diego Martín – The truth is that while there is no perfect policy when it comes to mobile usage on the trading floor, there is technology that can at least shed some much-needed light on this modern day grey area of risk for financial institutions.