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Tulane Algorithmic Trading Club members Willow Zhang (1st
Place) and Yuki Yang (2nd Place) used X_TRADER® to out-
perform the competition in the club’s first official trading contest.
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Tulane University is one of Trading Technologies’ most active University Program partners. At Tulane, our X_TRADER® software is used in classroom instruction, and it’s installed at the A.B. Freeman Trading Center laboratory. The lab is accessible to all students, including members of the Tulane Algorithmic Trading Club (TATC).
The club supports research, facilitates discussions and encourages hands-on development of automated trading strategies. As a student organization, membership is open to all interested Tulane students.
TATC members gain real-world skills by writing and developing trading algorithms while learning from collaborations with their peers and faculty advisors. The students are challenged to trade in simulation mode against live market data using industry-standard technologies, including X_TRADER and TT’s application programming interfaces (APIs). The algorithms that they develop are deployed in simulation against real-market data, and the strategies are ranked in terms of profit to identify the students who’ve best met the challenge.
Recently, the club held its first official trading competition. Entry was open to all Tulane students. Participants were encouraged to be creative in their use of information and technology when they developed their automated strategies, which ranged from high-frequency styles that monitored market liquidity and took advantage of arbitrage opportunities to those that were a bit more long-term in nature and driven by technical indicators.
And the Winner Is…
After the contest concluded, TATC President Zachary Poche and Secretary Geoffrey Lewis reported: “…the Tulane Algorithmic Trading Club held its first trading competition. Algorithms were pitted against one another in a battle of mathematical wits and technical savvy. The competitors met in the trading laboratory at 12:00 PM, and, after a quick fine tuning of Trading Technologies by our resident tech wizard Kevin Ammentorp, trading began promptly at 12:15. After 45 minutes of trading, the best algorithm was evident and club member Willow walked away with the top prize, our respect and adoration, with an overall profit of $55,000. The first runner up was Yuki with a profit of $8,000.”
Willow’s winning strategy utilized the Average Directional Index (ADX) and the Commodity Channel Index (CCI), while Yuki’s runner-up strategy was a Moving Average (MA) indicator built entirely in ADL™, TT’s visual programming platform.
The students who participated in the contest said they appreciated the opportunity to apply what they learned in class using real-world tools in a real-world setting—to get real-world results.
Of particular interest to me is how enthusiastically the students employed ADL. It enabled them to design, test and deploy their trading algorithms in C# without writing a single line of code. Geoff and Zack told me that one of the biggest advantages to using ADL was the speed at which the students were able to generate, test and deploy their strategies once they were defined. These students haven’t graduated yet, but they know that in the marketplace, “speed to market” is vital, and they leveraged ADL to obtain a speed advantage.
Clubs like Tulane’s Algorithmic Trading Club highlight the collaboration of university, students and business. As a voluntary endeavor, the students display an entrepreneurial spirit with faculty guiding that spirit. I’d like to think companies like ours, that provide the technology and training, give them the tools to empower that spirit and bring their ideas to life. That’s a winning strategy for everyone.
ACKNOWLEDGEMENT: The Tulane Algorithmic Trading Club is steered by Zachary Poche (President), Joshua Aiken (Vice President) and Geoffrey Lewis (secretary). Professors Joe LeBlanc and Geoffrey Parker are the faculty advisors.
Tags: Algos & Spread Trading, Trade Execution, TT CampusConnect
Ever wonder what Autospreader® used to look like before today? Find out in this slideshow on the history of automated trading at TT. This slideshow revisits key historical events in the evolution of Autospreader, Autotrader™ and ADL™, which comprise TT’s suite of front-end automated trading applications. You will also find a sneak preview of concepts that are being explored for future releases.
What’s next? Stay tuned to Trade Talk and our website. There’s much more to follow.
Tags: Algos & Spread Trading, Trade Execution
This post about TT’s new MultiBroker ASP solution by Jim Kharouf was originally published in today’s John Lothian Newsletter. Jim is editor-in-chief of JLN.
Sometimes it is the small innovation or service that changes an industry.
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Jim Kharouf, editor-in-chief
John Lothian Newsletter |
Trading Technologies (TT) announced last week the launch of a new trading function that allows TT customers to choose which brokers they will route their orders through on its X_TRADER® platform. In other words, if you want to trade 100 crude oil futures, you can route 10 contracts through one broker, 50 to another and 30 to another and 10 to another, all from one trading screen.
This could be a game changer for the futures industry.
This technology is not groundbreaking, as other technology vendors already offer it, from Bloomberg to Realtick to Thethys and Trading Screen. But none of those firms have the futures footprint of TT. And in that sense, the new multi-broker solution could usher in a new era of competition among FCMs and choice for end-users. TT’s multi-broker functionality is in the beta testing stage, and also includes 11 banks, who have agreed to adopt the service including: BofA Merrill Lynch, Credit Suisse, Deutsche Bank, HSBC, J.P. Morgan, Jefferies, Macquarie Bank Limited, Mizuho Securities USA, Morgan Stanley, RBC Capital Markets and UBS.
Why would a broker ever want to be put on a system that could ultimately route order flow away from it? Because that broker believes it is better than the competition. So far, 11 FCMs think they have what it takes to not only keep existing customers but add new accounts as well.
When thinking about the impact of this concept, one example comes to mind. The airline and travel industry, has been massively challenged and changed with the introduction and spread of online travel booking sites such as Orbitz, Priceline, Travelocity and others. Customers have always had a choice of airline, but now individuals have more transparency on pricing and ability to pick the right trip for them. And customers have responded. Orbitz, launched in June 2001, was initially supported by five major airlines and drew 2 million visitors in its first month. Last year, the company said it handled more than 18 million per month.
TT’s solution just offers potential competition and convenience to its customers in a similar way. TT plans to expand that FCM list as the beta testing leads to a full launch planned for this summer.
The question is whether TT’s service will attract more FCMs, particularly Goldman Sachs and Newedge. The other issue is whether TT might take this service to another level – offering brokers a chance to display commissions, discounts or other services that might garner new customers to their platform.
It is a fine line to walk for TT, but the fact that it has created this service and found buy-in from both customers and the solid group of FCMs already is a sign a change in the industry may be brewing.
– Jim Kharouf, Editor-In-Chief, John Lothian Newsletter
Tags: Trade Execution
Just a Little History
“Who am I? Why am I here?”
– Vice Admiral James Stockdale
A “multibroker solution” can be broadly defined as a trading platform that provides the buy side with the ability to execute and clear with multiple brokers, preferably from a single screen.Over the years, there have been many reasons for TT to offer a multibroker solution. The beginning of the 21st century was a boom time for commodities and futures markets. During that period, the biggest challenge for a trader seemed to be how to capture a piece of the ever-growing pie, in an environment where trade volumes would go up for the foreseeable future. Even the
occasional bump in the road didn’t seem to slow anyone down for long. The more relationships you had, the wider you could reach to gather in the bounty.
But it was by no means an easy road. The barriers to multiple broker relationships were many:
- Some brokers could be accessed only via their proprietary single-broker offerings.
- Multi-asset, multibroker platforms lacked advanced futures trading functionality.
- Software vendors (like TT) had solutions that were “broker-neutral”, but still required separate infrastructure for each broker.
- Each broker presented unique back- and middle-office integration overhead, especially with regard to Financial Information eXchange (FIX) protocol integration.
In spite of the costs and complexity, those firms with enough resources to apply to the problem simply forged ahead with handcrafted multiple-broker integration, sometimes supporting separate software solutions for as many as half a dozen different futures commission merchants (FCMs). When it came to the multiple broker club, many small or even mid-tier buy-side firms were left on the outside looking in.
Over the years, TT has done a fair amount of talking about a multibroker solution. We made a couple abortive attempts at trying to bolt-on multibroker functionality to our existing system. But for the most part, TT focused its R&D resources on expanding trader functionality and market access. Our 7x platform was solid and time-tested. In most cases, FCMs managed their TT infrastructures with only occasional guidance from TT. Yes, TT dipped its proverbial toe in the hosted-solution water with TTNET™. But TTNET only aspired to provide the same type of TT infrastructure management that most FCMs were already doing–basically a competent but cookie-cutter approach, with a few efficiencies gained due to shared infrastructure, best practices and proximity to TT support. Not much progress was being made on the multibroker front at TT.
Then in 2008, the unforeseeable happened.
Consolidation, Consolidation, Consolidation
“There are only three things that matter when it comes to property: location, location, location.”
– Unknown
The events of the 2008 crash are well known; we won’t review them here. From our perspective, the crash brought a number of critical issues to the forefront:
- Broker risk: Anyone with just a single broker relationship now wanted two; those with two now wanted three, etc. On the other hand, those with six might cut back to five, or even four. It’s no longer just about maximizing profits, but insuring survival.
- Regulatory risk: As an industry, we’re still coming to grips with the impact of Dodd-Frank and ESMA regulatory changes. The demands that these changes are placing on FCMs and the buy side are a driving factor in system consolidation.
- Opportunity risk: Near-zero interest rates and reduced trade volumes mean FCMs are keeping a much tighter rein on which buy side firms are worth the cost and effort to support on a trading system.
At TT, we continued to talk with our end users about these issues. Internally, we had many debates and brainstorming sessions about how to attack various pieces of the new puzzle. About two years ago, the case for a multibroker application service provider (ASP) solution at TT became so compelling–seeming to solve so many of the disparate problems with which our end users were being faced–that we stopped trying, and started doing (apologies to Yoda): we decided to transform our current single-bank platform into a multibroker architecture, starting from the bottom up. So let’s talk about what TT’s multibroker solution is.
What is the New TT MultiBroker Solution?
“It’s a little room in the front of the plane…but that’s not important right now.”
– Leslie Nielsen
Aptly enough, we’ve named our solution MultiBroker. We started by taking a new approach in TTNET, introducing an ASP model for MultiBroker that allows TT to fully manage and scale the trading infrastructure as trade volumes dictate. We are starting to take advantage of
cloud resources to help scale the less latency-sensitive components of the system. We believe that an ASP approach will help us take any barriers to entry for our MultiBroker end users down to the bare minimum.Under the software covers, we made precise changes from end to end in every TT component to accommodate the order-routing demands of MultiBroker, while at the same time matching or exceeding the performance and feature set of our existing platform. Buy-side firms will be able to integrate with a single FIX interface across all brokers for back-office and compliance reporting. We kept the visible changes in X_TRADER® and the APIs to a minimum to keep the learning curve low for our current traders and to retain the clean and fast trading style for which TT is so well known.
We are pretty proud of the end result. The MultiBroker solution has been routing live trades in our alpha environment since late summer. Early reviews from both the buy side and the sell side have been enthusiastic, and I am equally enthusiastic. As we move on to beta and ultimately to production in the coming months, you can track progress on our MuiltiBroker initiatives webpage, or in my future blog posts.
Tags: Trade Execution
It is a great honor for Trading Technologies’ X_TRADER to be named “Best Buy-Side Commodities Trading Platform” in this year’s Buy-Side Technology Awards. The award, which recognizes “the leading technologies and vendors in their area of expertise, through an auditable and transparent methodology underpinned by the input and experience of six judges,” was announced at the sixth annual Buy-Side Technology Awards in London on Friday.
The 2012 award is a significant accolade for TT in a period of increased agitation and uncertainty for our industry. That our platform was chosen from a large field of worthy competitors is deeply satisfying to all of us at TT.
At the core of our philosophy is the simple idea that everything we do, from providing exchange connectivity and hosting services to designing world-class algorithmic design tools, centers on the end user. Although our system addresses the needs of many constituents, including regulators, exchange operators and broker trading and operations staff, it is ultimately the buy-side end user who dictates whether we have succeeded. And with buy-side users facing new regulatory and market hurdles, they need an execution platform that provides superior performance and dependability as well as compliance with existing and emerging regulatory requirements.
Why Go Out on a Limb?
Because, according to Will Rogers, that’s where the fruit is. The futures industry exists because of risk, and unlike “capital markets,” where securities are issued and sold to generate business capital, futures are primarily about risk mitigation. But while you can hedge oil consumption or metals prices, certain forms of risk are harder to identify and mitigate.
Take, for example, the risks inherent in rapidly evolving regulatory requirements. With new regulation spanning a variety of derivatives and trading operations, today’s buy-side user faces a growing wave of change that makes forecasting near-term events, let alone the distant future, increasingly difficult. With the Republican presidential candidate vowing to repeal Dodd-Frank, there is certainly a lot that remains up in the air.
Regulatory change is moving at such a rapid pace that some observers speak of “regulatory arbitrage” as a potential response to ambiguous or overreaching legislation. Derivatives trading has never been simple, but the onslaught of new challenges overlaid on market participants adds even more complexity to the business.
Then there are the debacles. Things that were simply given in the past, for example, thinking of established brokers and customer funds as the trading equivalent of bedrock, have gone out the window, and the buy-side must now hedge previously unthinkable scenarios. Who could have predicted established brokers such as MF Global and Peregrine would disappear virtually overnight?
In light of the post-crisis climate, the need for trading system stability and flexibility has never been greater. More than ever, buy-side traders are demanding reliable, flexible and compliant trading capabilities to keep up with an ever-changing landscape.
In awarding the 2012 Buy-Side Technology award to TT, the judges had much to commend their decision. For buy-side firms needing to run their derivatives book while safeguarding both their assets and their reputation, our clients tell us the TT platform is second to none. TT’s comprehensive risk controls provide system-wide exposure and P&L limits to ensure that all orders are validated and managed against pre-trade limits in real time without exception, and without compromise to our microsecond-level performance. The Synthetic Strategy Engine allows buy-side traders to create broker- and exchange-neutral synthetic orders for finely tailored execution management, and our new ADL™ allows them to build proprietary alpha-seeking and execution algos that are also broker neutral. The TT FIX Adapter provides a robust means of integrating third-party order-management and middle-office systems with TT, and allows buy-side portfolio managers to stage orders directly from their OMS to TT’s X_TRADER for immediate execution or care order handling.
We Live in Interesting Times
Old curses of questionable attribution aside, we do in fact live in a much-changing world. Markets, products and rules now evolve at a dizzying pace. TT recognizes that buy-side traders are facing more challenges, and to this end we continue to develop flexible and trustworthy capabilities for buy-side traders worldwide. We are grateful to have been selected to receive this year’s award from Buy-Side Technology, and remain ever-committed to providing superior capabilities to our buy-side end users.
Tags: Trade Execution
