ATP03 - Toby Bayliss, Citi

The Algorithmic Trading Podcast show

Summary: 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 Now:To listen to the podcast right now, click on the player icon below.