MARKET STRUCTURE DICTIONARY

BRIAN W. LEITE

An Insider's Guide to the Real Language of

Trading and Exchanges

Over 2700 Entries

Algorithmic and Program Trading Channel

Ask a Broker: Should I Trust Your Algos?

Sept 13, 2012 Advanced Trading After Knight Capital's newest algorithm went rogue, buy side traders have to wonder about the safety and due diligence around their third-party algorithms. Advanced Trading interviewed a broker-dealer - anonymously, of course - on how traders can trust the safety of their trading formulas.

Buy Side Takes Harder Look at Broker Algorithms After Knight Debacle

Sept 12, 2012 Advanced Trading Before Knight Capital, the buy side may have taken the safety of broker tools for granted. But now buy-side firms are taking matters into their own hands and demanding more transparency.

Glitch!, Part II (Cover Story)

Sept 11, 2012 Traders Magazine Is trading out of control? Given the spate of high profile blow-ups this year, industry professionals and the regulators are starting to wonder. All the snafus were caused by software glitches, which leads trading experts to question whether brokers and exchanges know what they’re doing when building complex automated systems.

Glitch!, Part I (Cover Story)

Sept 10, 2012 Traders Magazine Is trading out of control? Given the spate of high profile blow-ups this year, industry professionals and the regulators are starting to wonder. All the snafus were caused by software glitches, which leads trading experts to question whether brokers and exchanges know what they’re doing when building complex automated systems.

Sub-Microsecond Switch Goes into Testing

Sept 4, 2012 Securities Technology Monitor A Sydney-based financial technology firm said clients have begun testing its trading switch, which routes messages inside high-speed data centers in 130 nanoseconds.

Knight Capital's Rogue Algorithm a Wake-Up Call to the Buy Side

Aug 24, 2012 Advanced Trading A head trader at a firm with more than $200 billion under management tells Advanced Trading that the buy side generally puts a lot of blind faith in the tools provided by their brokers, almost to the point of complacency.

Wait Before Using That New Algo

Aug 24, 2012 Advanced Trading When it comes to using new trading algorithms, the buy side resembles kids standing around the deep end of the pool. No one wants to be the first to jump in.

How the Buy Side Can Protect Against Rogue Algos, Broker Error

Aug 10, 2012 Advanced Trading In the aftermath of the fallout stemming from Knight Capital Group's disastrous trading error, Tabb Group's Miranda Mizen breaks down steps the asset management community can take to protect themselves from market mayhem.

After Knight's Fall, Does Your Broker Have a Kill Switch?

Aug 8, 2012 Advanced Trading After a trading algorithm executed by Knight Capital went rogue and lost the market-maker roughly $400 million in a single trading day, buy side traders need to know if their broker-dealers can stop a runaway trade. Advanced Trading spoke with Michael Chin, CEO of financial services firm Mantara, which offers a kill switch for brokers and the sell side to stop trades that start to misbehave.

Knight: First Victim of Fragmented, Fast Trading

Aug 3, 2012 Securities Technology Monitor The increasingly fragmented and high-speed trading ofU.S. stocks appears to have claimed Knight Capital as its first major victim.

Investment Algos Seek Unseen Factors

July 26, 2012 Securities Technology Monitor What happens when humans are not in the loop on automated approaches to portfolio management.

Algos Needed to Surveill Algos, OMalia Says

June 19, 2012 Securities Technology Monitor "We need to use algorithms to surveill algorithms," Commodity Futures Trading Commission member Scott OMalia said, a day before his Technology Advisory Committee meets to begin to define what constitutes high-frequency trading and how it should be dealt with.

Investors Lose Faith In Computer Trading Models

June 8, 2012 Advanced Trading Investors are losing faith in the computer-based trading models that made them millions in the bull market years, as Europe's financial convulsions have shown how poorly they cope with the unpredictable.

Special Report: The algorithmic arms race

May 21, 2012 Reuters It's the day after Cambridge physicist Stephen Hawking's 70th birthday party and David Harding, the head of one of the most successful hedge funds in the world, is bubbling with talk of black holes.

US bourses seek revenue diversification

May 15, 2012 The Trade Nasdaq OMX plans to launch new algorithmic services for its broker-dealer members, in further evidence that US bourses are looking to expand their businesses to maximise revenue.

Algorithmic Trading May Spur Volatility, Mispricing, Turner Says

Apr 19, 2012 Bloomberg The rise of algorithmic trading may cause markets to be more volatile and securities to be mispriced, Adair Turner, chairman of the U.K.’s Financial Services Authority will tell a U.S. audience today.

Algo customisation the new norm – ITG

April 10, 2012 The Trade Off-the-shelf algorithms are now considered the “exception”, according to agency broker and technology provider ITG, with most buy-side firms insisting on customising strategies to suit their trading style.

Cover Story: Last Vestige for Small Caps

April 10, 2012 Traders Magazine With the majority of equities being traded with algorithms, the handling of small-capitalization stocks has been one of the last vestiges of old-school trading. For small-cap stocks, the buyside will actually pick up the phone, call up sales traders and ask them to use their capital or know-how to move some shares. But those days are fading. Algos are now conquering smaller stocks as well.

Did a Rogue Algo Cause BATS IPO Crash?

April 4, 2012 Advanced Trading Research by a market data firm has traced the crash of BATS' IPO to a single algorithm that executed over 500 times on Nasdaq, driving its price from $15.25 to about two cents in less than a second.

Building a Better Algo

March 20, 2012 Traders Magazine Algorithms today are much better at trading illiquid, small-cap stocks than they were in years past. Previously, algos simply sliced up orders and spread them out across time and venues.

Knight’s New Sumo Algo Wrestles with HFT

March 19, 2012 Traders Magazine Knight Capital Group on Monday unveiled a new version of its Sumo algorithm that aims to help institutions camouflage their trading activity so they can safely interact with high-frequency traders.

'Quantference' Brings Together Industry and Academia

Feb 22, 2012 Traders Magazine Academics and industry veterans mingled and shared ideas at the inaugural Pragma "Quantference" in New York City last week, discussing some of the latest developments affecting quantitative trading.

Dow Jones Entices Quants, Traders With Machine-Readable News Analytics

Feb 14, 2012 Advanced Trading The platform is designed to enable traders, quantitative analysts and risk managers to build more predictable trading models off prevailing news sentiment.

Cover Story: Full Disclosure

Feb 8, 2012 Traders Magazine As buyside traders hit the send button, they can take comfort in the fact that their orders are flying out at the speed of light. But to where? Read on!

Trichet, Turner Question Real Value of Bigger, Faster Trading

Jan 27, 2012 Bloomberg The technology-driven jump in trading volume has been of little discernible benefit to the real economy and must be more closely watched by regulators, policy makers said at a debate at the World Economic Forum.

Volatility Spurs Aggressive Algo Strategies

Jan 25, 2012 Advanced Trading In volatile markets traders choose more aggressive algorithmic trading strategies and increase the level of human interaction.

How Buy-Side Traders Are Adapting to the Volatility

Jan 25, 2012 Advanced Trading Buy-side traders are demanding stronger trading tools to navigate the increasingly volatile markets, according to a recent TABB Group study.

Are Fundamental Hedge Fund Managers Trained to Be Good Traders?

Jan 17, 2012 Advanced Trading An industry source gets to the bottom of why so many hedge funds swooned last year in the wake of rampant stock market volatility.

Insight: SEC tightens leash on exchanges post "flash crash"

Jan 12, 2012 Reuters The May 2012 "flash crash" was bad for almost everyone involved in the stock market, but for the Securities and Exchange Commission, it was a disaster.

Algos Once Again Come Under Fire

Nov 28, 2011 Wall Street and Technology Rogue algos have been increasingly scrutinized by regulators and critics since the Flash Crash.

Low-Touch Trading Moving Toward High-Touch Service

Nov 14, 2011 Traders Magazine As high-touch trades continue to decline and trading algorithms get increasingly complicated, buyside firms are turning to the sellside to offer execution consulting that combines high-touch service with low-touch technology. That's according to a new report by Tabb Group, which found that by 2013 the way the sellside services clients will look radically different from today.

Watchdogs to keep closer eye on ultra-fast trading

Oct 20, 2011 Reuters Global regulators published guidelines on Thursday to better monitor automated transactions while saying there was little hard evidence to justify reining in high-frequency trading.

Algos Behaving Badly

Oct 19, 2011 Advanced Trading When it comes to high-speed trading in an irrational world, which is better: "Man and Machine" or "Man vs. Machine?"

Algorithmic Traders Under Scrutiny From SEC s Hedge-Fund Police

Oct 3, 2011 Bloomberg Algorithmic traders and quant funds are under close scrutiny from a U.S. Securities and Exchange Commission enforcement team responsible for policing hedge funds, the unit’s co-chief said at securities law forum.