The Algorithmic Trading Podcast

Thomas Chippas Welcome to this special edition of The Algorithmic Trading Podcast, brought to you by Voices in Business,nbsp;focusing on Low Latency. As the subject of latency has come up repeatedly in this series of interviews, we decided to ask Thomas Chippas, Deutsche Bank's Head of Autobahn Equity, North America back onto the show for a deeper dive into the topic. In this conversation with Greg Grimer and Mike O'Hara of Voices in Business, Thomas discusses why low latency is so important, some of the causes and types of latency, issues with measuring and monitoring it andnbsp;some of the ways it can be reduced. Show notes for this episode: 00:08 - Introduction 01:24 - Some background and history 02:18 - At what point did latency become an issue? 04:01 - The diverse business drivers for reducing latency 07:36 - Orders versus market data 08:40 - The exponential growth of option data 09:26 - Managing real-time position risk 10:38 - Dangers of quote mitigation 11:32 - Causes and types of latency, #38; where it is introduced 15:32 - Piecemeal versus big-bang approach to reducing latency 18:22 - Measuring and monitoring latency 21:44 - Visualisation tools #38; heat maps 22:14 - Consistency #38; reliability versus outright speed 23:29 - FIX, FAST #38; other industry standards 25:55 - Proximity hosting and co-location 29:25 - What Telco #38; network providers are doing 30:57 - Do latency reduction initiatives justify the cost? 31:45 - Potential operational risks inherent in low-latency strategies 34:48 - End of interview and wrap-up We welcome all feedback, so please leave a comment here on the website, call us to leave an audio comment on +44 (0) 20 7193 1295, or send a message to algo@voicesinbusiness.com. Listen Now: To listen to the podcast right now, click on the player icon below (may require registration).

Brian Fagen - Frank TroiseWelcome to episode six of The Algorithmic Trading Podcast, brought to you by Voices in Business and sponsored by Sybase.nbsp;On today's show, we feature an interview with Brian Fagen and Frank Troise of Lehman Brothers Inc.Brian Fagen joined Lehman Brothers, the global investment bank, in June 2006, as Managing Director #38; Head of Electronic Sales. In this position, Mr. Fagen is responsible for leading the Firm's efforts in the electronic brokerage business. He works closely with sales product managers to deliver a platform to the Firm's clients worldwide. Additionally, Mr. Fagen is also the Head of Program Trading Sales.Frank Troise is a Managing director and the Head of US. Equities Electronic Product Management. His responsibilities include product management for the electronic trading of equities and listed options. Products supplied by Lehman Brothers in this area include: RealTick EMS, algorithmic trading, crossing and electronic liquidity tools, and the distribution of pre- and post-trade analytical tools.In this interview, Brian and Frank discussnbsp;Algorithmic Tradingnbsp;with Greg Grimer of Voices in Business and Sinan Baskan, Senior Product manager at Sybase.Show Notes for this episode:00:00 - Introduction00:55 - Brian's background01:16 - Frank's background01:42 - How the USnbsp;algo tradingnbsp;environment differs to Europe04:10 - Who are the primary users ofnbsp;algo trading strategies?04:29 - How aggressive are the hedge funds in this area?06:28 - Trading styles and the search for arbitrage opportunities07:26 - Growth in the customization of algo trading strategies11:15 - Provisioning of data around development and customization11:51 - Which customers require customized algorithms?12:23 - Management of risk on customer positions13:54 - Thin client dashboards and analytical data services15:20 - Where are the technology bottlenecks?17:54 - Extracting Alpha20:15 -nbsp;Granularity of data22:30 - Growth of data and Moore's Law23:34 - Pricing power in terms of commissions25:37 - Growth in asset classes other than equities28:45 - End of interview and wrap-upClick here for a full transcript of this episode.We welcome all feedback, so please leave a comment here on the website, call us to leave an audio commentnbsp;on +44 (0) 20 7193 1295, ornbsp;send a message to algo@voicesinbusiness.com.Listen Now:To listen to the podcast right now, click on the player icon below (may require registration).

Welcome to episode five of The Algorithmic Trading Podcast, brought to you by Voices in Business and sponsored by Sybase. Today, Thomas Chippas, Head of Autobahn Equity, North America, for Deutsche Banknbsp;talks to Greg Grimer of Voices in Business and Sinannbsp;Baskan, Senior Product Manager atnbsp;Sybase.nbsp; Autobahn Equity is Deutsche Bankrsquo;s equity electronic trading platform encompassing direct market access and algorithmic trading. Show notes for this episode: 00:12 - Introduction 00:55 - Start of interview #38; some background on Tom #38; Autobahn Equity 02:10 - US vs Europe vs Asia Pacific 03:44 -nbsp;Pricing ofnbsp;structured instruments vs underlyings 08:56 - Post-trade analytics 11:30 - Variance of customer requirements in different regions 14:28 - Risk pricing 15:36 - Leveraging data for additional value-add 18:35 - Growth of different types of data 20:27 - The outlook for order execution venues 23:45 - Is there a power shift to the Buy-Side? 29:00 - End of interview and wrap-up Click here for a full transcript of this episode We welcome all feedback, so please leave a comment here on the website, call us to leave an audio comment on +44 (0) 20 7193 1295, or send a message to algo@voicesinbusiness.com. Listen Now: To listen to the podcast right now, click on the player icon below (may require registration).

Eli Lederman, TurquoiseWelcome to episode four of The Algorithmic Trading Podcast, brought to you by Voices in Business and sponsored by Sybase.Today, we feature an exclusive interview with Eli Lederman, Chief Executive Officer of Turquoise, the new pan-European trading platform, in conversation with Gavin Quinn, EMEA Business Development Manager at Sybase and Greg Grimer of Voices in Business.Show notes for this episode:00:14 - Introduction01:12 - What is Turquoise and why does it exist?05:22 - Levelling the playing field #38; removing monopolies08:00nbsp;- The market data environment09:25 - Costs associated with market data10:46 - Differentiated pricing12:40 - Reference data14:45 - Interoperability15:06 - Granularity of tick sizes and decimal places16:30 - Smart order routing18:04 - Communication with customers #38; members22:12 - Evolution of exchanges23:38 -nbsp;Algorithmic tradingnbsp;and exchange convergence25:20 - Fragmentation and operational complexity27:21 - Trade volumes and market share29:14 - Trade reporting #38; CCP status30:34 - Risk/exposurenbsp;issues32:22 - End of interview #38; wrap-upClick here for a full transcript of this episode.We welcome all feedback, so please leave a comment here on the website, call us to leave an audio comment on +44 (0) 20 7193 1295 or send a message to algo@voicesinbusiness.comListen Now:To listen to the podcast right now, click on the player icon below.

Toby Bayliss, CitiWelcome to episode three of The Algorithmic Trading Podcast, brought to you by Voices in Business and sponsored by Sybase.Today, we feature Toby Bayliss, European Head of Electronic Execution Sales at Citi, in conversation with Gavin Quinn, EMEA Business Development Manager at Sybase and Greg Grimer of Voices in Business.Show Notes for this episode:00:14 - Introduction01:12 - What percentage of algorithms are actually successful?02:58 - Where are the main costs? People? Processes? Data?03:54 - The process of regression testing and back testing05:10 - Building in changes for differing market conditions07:10 - Calibration of algorithms08:27 - Requirement for accurate historical data09:25 - Comparison between European, US and Asian environments13:38 - Tick sizes14:58 - Buy-side versus sell-side issues16:20 - Performance monitoring18:00 - Myths around latency19:03 - Key issues affecting the industry21:59 - Block trading23:45 - How doesnbsp;algorithmic tradingnbsp;affect client relationships?24:46 - Equities versus other asset classes27:01 - Issues specific to futures #38; options29:03nbsp;-FIX Protocol30:18 - End of interview #38; wrap-upClick here for a full transcript of this episode.We welcome all feedback, so please leave a comment here on the website, call us to leave an audio comment at +44 (0) 20 7193 1295 or send a message to algo@voicesinbusiness.com.Listen Now:To listen to the podcast right now, click on the player icon below.

Stuart Bevan, Credit Suisse Welcome to episode two of The Algorithmic Trading Podcast, brought to you by Voices in Business and sponsored by Sybase. Today, we feature Stuart Bevan, Head of Alternative Execution Products Technology at Credit Suisse, in conversation with Sinan Baskan, Senior Product Manager at Sybase and Greg Grimer of Voices in Business. Detailed show notes for this episode: 00:13 - Introduction 00:56nbsp;- Start of interview 01:02 - The impact of MiFID #38; RegNMS on data distribution 03:13 - Breakthrough technologies 04:12 - Competition from smaller niche players 05:18 - Growth in complexity 07:08 - Growth innbsp;volume of data #38; events 08:02 - Shared services #38; fragmentation of data 09:24 - Development issues #38; toolkits solutions 12:26 - USnbsp;vs Europe vs Asia 13:26 - Complex event processing 14:40 - Re-usability #38; lifecycle of customnbsp;developments 16:45 - What would be the ideal technology? 18:28 - Re-usability of data #38; anonymity 19:39 - Security issues #38; performance vs functionality 22:30 - Developer skills #38; program management 25:08 - End of interview #38; wrap-up Click here for a full transcript of this episode. We welcome all feedback, so please leave a comment here on the website, call us to leave an audio comment at +44 (0) 20 7193 1295, or send a message to algo@voicesinbusiness.com. Listen Now: To listen to the podcast right now, click on the player icon below.

Carl Carrie, JP MorganWelcome to the first episode of The Algorithmic Trading Podcast, brought to you by Voices in Business and sponsored by Sybase.Today, we feature Carl Carrie, Head of Product Development, Client Solutions Group, JP Morgan, in conversation with Sinan Baskan, Senior Product Manager at Sybase and Greg Grimer of Voices in Business.Detailed show notes for this episode:00:13 - Introduction01:00 - Start of interview01:30 - Where do things stand today withnbsp;Algorithmic Trading?02:32 - Where are the bottlenecks and gaps?05:10 - Disruptive/breakthrough technologies06:08 - Complex event processing07:46 - How small players #38; large/scale players fit into the ecosystem10:22 - North America vs Europe vs Asia12:59 - Buy-side and sell-side issues14:08 - Risk-based pricing and dark pools of liquidity16:17 - Implications of MiFID #38; RegNMS19:44 - Maintaining a competitive advantage innbsp;Algo Trading21:15 - How competitive are emerging markets?22:28 - New types of risk24:15 - Inbound data issues26:57 - Architectural paradigms for real-time data distribution29:44 - Controls #38; data management protocols31:06 - Bridging the disconnect between technologists #38; business32:41 - End of interview, #38; wrap-upClick here for a full transcript of this episode.We welcome all feedback, so please leave a comment here on the website, call us to leave an audio comment at +44 (0) 20 7193 1295, or send a message to algo@voicesinbusiness.com.Listen Now:To listen to the podcast right now, click on the player icon below.