Documente Academic
Documente Profesional
Documente Cultură
Alex Gloy
Lighthouse Investment Management
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NEW EUROPEAN COLLEGE HIGH FREQUENCY TRADING
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NEW EUROPEAN COLLEGE HIGH FREQUENCY TRADING
Bio:
1988 Traineeship Deutsche Bank, Hamburg
1990 Master in BA, Fribourg University, Switzerland
1994 Credit Suisse, Zurich
Sales, Sell-side Research, Buy-Side Research
1998 Sal. Oppenheim, New York
2000 Lombard Odier Darier Hentsch, New York
2006 Sal. Oppenheim, New York
2009 Lighthouse Investment Management
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Key Attributes
Sophisticated algorithms
Co-location
Very short-term investment horizon
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Banks Front
Offices
Market Trader
Maker
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3. US Market Structure
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US Stock Exchanges:
BATS Global Markets, 2005
Nasdaq (National Association of Securities Dealers
Automated Quotations), 1971
Direct Edge, 1998
NYSE Arca, 1994
Chicago Stock Exchange, 1882
IEX (Investors Exchange), 2012
NYSE (New York Stock Exchange), 1817
NYSE American Stock Exchange, 1908
Nasdaq OMX Boston, 1834
Nasdaq OMX Philadelphia, 1790
US Options Exchanges:
CBOE (Chicago Board Options Exchange)
ISE (International Securities Exchange)
BOX (Boston Options Exchange)
Miami International Securities Exchange
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Bid Ask
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Circle =
Distance light travels in 100s = 0.1ms
= 0.0001 seconds
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~30% of quotes
have already been
cancelled by the time
they reach Europe or
the West Coast
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Algorithm
Algorismus (Latin) + arithmos (Greek = number)
Algorismus = Latinized from Al-Khwarizmi (native of Khwarezm)
Persian mathematician (780-850)
Wrote Compendious Book on Calculation by Completion and
Balancing, aka Al-Jabr (Algebra)
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Price
Volume
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Robo-journalism:
Associated Press (sports, company
earnings previews and reviews)
Forbes
ProPublica
LA Times
Google (local stories)
Washington Post (Heliograf)
Bloomberg News
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Dangers of robo-journalism:
June 2017: alert by US Geological Survey software about earthquake
which occurred in 1925
2008: UAL shares fell from $12.30 to $3.00 after a story from 2002
bankruptcy filing was digitalized and uploaded by the South Florida
Sentinel Sun (which feeds into Bloomberg News)
September 2013: FOMC decision (no taper) after changing rules from
lock-up to embargo
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First 0.4ms:
155 trades with same
timestamp
60,726 volume
Price +0.4%
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Release schedule:
10:00:00am non-subscribers
09:55:00am most subscribers
09:54:58am ultra-low latency subscribers
Minor clock
synchronization issue
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NYSE
ARCA
SIP
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Hide-not-slide
Avoid locking market
Keep queue priority
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Chicago (futures) > New York (stocks) = 720 miles = 3.9 milliseconds one-way
Provider Technology Completion Miles Milliseconds Approach
Buried cable Fiber Optic Mid-1980s 1,000 14.5 Along rail lines
Spread Networks Fiber Optic 2010 825 13.1 Own way-of-right
McKay Brothers Microwave beams 2012 744 9 20 towers
Tradeworx Microwave beams 2012 731 8.5 $250,000 per year
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9. Flash Crashes
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11. Conclusions
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