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Today’s financial markets generate a volume of data barely dreamed about in the early days of electronic trading. Every year, exchanges create a record-breaking amount of transactions, and we know that somewhere within all of that data there lies a digital treasure chest. Finding a way to analyze and deliver this valuable data is a multi-headed problem, roughly broken down between charting, historical trade display and research scenarios.
In my role as an engineering manager at TT, I’m part of a team that’s been working to solve this problem in the new TT platform. We think we’ve found the answer by leveraging cutting-edge technologies, Node.js and Amazon Web Services (AWS). I’m excited about our solution, which is now automatically available to all TT platform users. Read on to learn more about our approach and how it can help you overcome the multi-faceted big-data challenges we all encounter today.
Node.js
Node.js is a run-time environment built on the same technologies that power the web, namely JavaScript. It was built around a few simple ideas and has rapidly grown out of its San Francisco hacker origins into enterprise software used by huge firms like Walmart and PayPal. If you have ever worked at a large enterprise with existing legacy architecture(s), you probably know how hard it is to turn an organization of that size onto a brand-new, relatively unknown technology platform. The answer in the case of Node.js is, surprisingly, very simple. Node.js is arguably the best web service platform available today, even though it hasn’t even hit the 1.0 version mark yet. Coding is simple, performance can be faster than Java/C++ web server(s) and the platform is easily scalable with features like the Node.js Cluster API.
One of the new technologies that makes the TT platform possible is WebSockets, which we use to deliver real-time data to both our mobile and desktop users around the world. Writing a WebSocket server with Node.js is as simple as writing just a few lines of code. Check out this example from the popular Node.js “ws” package. This is literally all you need to run a WebSocket server in Node.js:
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Tags: Charting, Trade Execution
Rob Wherry, MBA student, and Michelle Golojuch, finance and accountancy major, track a stock on a Bloomberg terminal in DePaul’s Finance Lab. The virtual trading room contains the latest in high-tech trading, investing and finance software.
The statement from the Federal Open Market Committee (FOMC) meeting in January had barely been made public before DePaul University finance student Arman Hodzic saw the reaction in the markets. Hodzic watched in real time as the Standard & Poor’s 500 Index and the yield on the 10-year Treasury reacted to the news.
Traders and investors were responding to the Federal Reserve’s statements on monetary policy. Prior to the announcement, Hodzic and his partners, fellow undergraduate students Alex Netzel, Dhruvish Shah and Brendan Newell, used Trading Technologies ADL® (Algo Design Lab) to create an algorithm that would take long positions on the market and hopefully earn them virtual profits.
Hodzic and his team used specially engineered keyboard terminals created by Bloomberg L.P. to access real-time market data to see the pendulum-swinging Treasury yields and the S&P in vivid charts, graphs and numbers.
They waited patiently, watching the “iceberg” algorithm they created execute automatic trading actions. At the end of their trading they had a simulated $33,000 profit.
“The market was acting really wildly and we profited off that,” says Hodzic. He was one of about 40 students enrolled in a “Money and Banking” course who participated in the simulated trading event at DePaul on Jan. 28. They experienced firsthand how announcements by the FOMC, a Federal Reserve committee charged with setting monetary policy, can precipitate a flurry of investment and trading activity.
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Tags: Algos & Spread Trading, Trade Execution, TT CampusConnect
The 40th annual FIA International Futures Industry Conference in Boca Raton has come and gone. And it being my first FIA Boca, I thought I’d share some of the highlights from my experience.
The week was filled with interesting speakers and discussions on the relevant futures industry issues. Regulation, risk, globalization and the evolving FCM business models were hot topics across the panels and on the minds of the industry leadership.
I personally enjoyed the Global Exchange Leader panel. This was hosted by Bloomberg TV’s Betty Liu. What a great opportunity to see all the CEOs of the major global exchange operators together on stage. @Trading_Tech even got a retweet from Betty on one of our posts!
Blu Putnam, the CME’s Chief Economist, gave his outlook for 2015 by providing reflections and trends across the range of markets. It was like going back to college and attending econ class–very thought-provoking…but with very few answers.
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Tags: Trade Execution
The March-June 2015 CBOT Treasury bond futures roll is generating a lot of buzz. Most people are used to trading the Treasury calendar spreads 1:1, and the current roll is trading 3:2. How is this possible? The 1:1 was so easy to calculate in your head, and now they say you have to trade it 3:2?
The five-year gap
Between early 2001 and early 2006, the U.S. Treasury did not issue any Treasury bonds. Nine years later, that gap comes into play because now there is a single issuance, stranded at the front-end of the delivery basket, that would have been eligible for delivery. In December 2013, CME Group announced that it would exclude the 5-⅜ percent of February 2031 U.S. Treasury bond from the contract grade for the delivery months June 2015, September 2015 and December 2015.
So what does that have to do with the 1:1 calendar spread? The removal of the single issuance makes June’s delivery basket, on average, five years longer in maturity than March’s. More importantly, the dollar value of a basis point (DV01) for the June contract is roughly 50 percent larger than that of March’s. In other words, for every two-tick move in the March contract, the June contract will move approximately three ticks. In order to compensate for that difference in value, one should only buy two June contracts for every three March contracts that he/she sells.
Price can be very misleading
In addition to the yield of a bond, the coupon rate and time to maturity are the biggest factors that determine price and hedge ratios. While yield relationships are relatively stable, the coupon and maturity can vary greatly from instrument to instrument. Even if the proper ratio for a bond spread was 1:1 (and that’s a big if because the ratio is not static and rarely even), the price difference is just a number. A decent sized move in both contracts could easily result in the same yield spread we started with, but a wildly different price spread. When dealing with weighted spreads like the 3:2 March-June bond spread, keeping track of the weighted price differential while trying to stay properly hedged can be an arduous task. (Note the current ratio of the March-June spread is actually 305:200 at present, making this even more difficult.)
In just the last six weeks, the “properly” weighted March-June bond spread has had a price differential with a range of 3-½ bond points or 112 ticks.
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Tags: Algos & Spread Trading, Trade Execution
TT received multiple awards last week in New York, including
the HFM award for “Best Trading and Execution Technology.”
Well no, TT did not win anything at the Grammys. We did, however, take home both “Best Trading and Execution Technology” at the HFM U.S. Technology Awards and “Best Overall Technology” at the CTA U.S. Services Awards.
The CTA Intelligence Services Awards honor firms that have provided outstanding support and services to the North American managed futures industry, while the HFM U.S. Technology Awards recognize hedge fund technology providers that have demonstrated exceptional customer service and innovative product development.
“Given the strength of the contestants, it is quite an accomplishment for Trading Technologies to earn honors in both the HFM and CTA awards. With unique features like MultiBroker, order passing and ADL, TT’s X_TRADER platform gives traders a combination of flexibility and power that makes it a top technology offering for both CTAs and hedge fund managers,” said Matt Smith, head of content for CTA Intelligence. This sentiment was echoed by Chris Matthews, HFMWeek technology correspondent.
It’s great to know that hedge funds and CTAs find our X_TRADER® trading solution to be so compelling, but what’s coming with our next-generation TT platform is even more exciting.
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Tags: Algos & Spread Trading, Trade Execution