algorithmic trading in different landscapes

© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited

Algorithmic Trading in different geographies

- technologies- regulations- competition

- markets

Rajib Ranjan Borah

Market Microstructure, Liquidity and Automated Trading Workshop.Fitch Learning, London. 16-17 June 2014.

4th Annual Conference on ‘Behavioral Models and Sentiment Analysis Applied to Finance’, London, 16-20 June 2014.


Agenda

Most relevant factors in analyzing different geographies

Current AlgoTrading landscape in various geographies

The road ahead ?

Q&A


Agenda

Relevant factors for analyzing different markets → Current landscape in different geographies → The future → QA



The road ahead ?

Q&A


How do you decide: where to trade?


As a trading manager, how do you decide which geographies to trade ?




As a trading manager, how do you decide which geographies to trade ?– Am I allowed to trade in that country (i.e. how conducive are regulations) ?

• Are foreigners allowed to trade ?• Are there restrictions on position-sizing / short-selling ?

– Are these markets interesting to trade ?• What are the listed instruments ?• What is the volume traded ?

– Will I be able to make profits ?• What is the level of sophistication of competition ?• Who are the leading players ?

– What are the complexities to connecting to these markets ?• Technological protocols used by these exchanges – common standard protocols OR unique

custom protocols• Brokers to connect to these markets




As a trading manager, how do you decide which geographies to trade ?– Am I allowed to trade in that country (i.e. how conducive are regulations) ?

• Are foreigners allowed to trade ?• Are there restrictions on position-sizing / short-selling ?

– Are these markets interesting to trade ?• What are the listed instruments ?• What is the volume traded ?

– Will I be able to make profits ?• What is the level of sophistication of competition ?• Who are the leading players ?

– What are the complexities to connecting to these markets ?• Technological protocols used by these exchanges – common standard protocols OR unique

custom protocols• Brokers to connect to these markets

Regulations

Market Size

Competition

Technology


Agenda




The road ahead ?

Q&A



Algo trading in various landscapes



Americas

Bermuda SE 4

BM&FBOVESPA 67,550

Buenos Aires SE 279

Colombia SE 2,162

Lima SE 338

Mexican Exchange 14,780

NASDAQ OMX 798,729

NYSE Euronext (US) 1,141,704

Santiago SE 3,640

TMX Group 114,290

Total region 2,143,474

APAC

Australian SE 73,463

BSE India 7,046

Bursa Malaysia 12,323

Colombo SE 130 GreTai Securities Market 11,241

HoChiMinh SE 869 Hong Kong Exchanges 110,281

Indonesia SE 9,664 Japan Exchange Group - Osaka 17,594 Japan Exchange Group - Tokyo 525,411

Korea Exchange 107,050 National Stock Exchange India 39,913 New Zealand Exchange 752

Philippine SE 3,889

Shanghai SE 310,927

Shenzhen SE 321,542

Singapore Exchange 23,410

Taiwan SE Corp. 51,996 The Stock Exchange of Thailand 31,335

Total region 1,658,838

Europe

Athens Exchange 1,981 BME Spanish Exchanges 74,464

Budapest SE 869

Casablanca SE 263

Cyprus SE 3

Deutsche Börse 111,212

Irish SE 1,206

Ljubljana SE 33

Luxembourg SE 12

Malta SE 6

Moscow Exchange 20,167 NASDAQ OMX Nordic Exchange 52,153 NYSE Euronext (Europe) 138,490

Oslo Børs 10,200

SIX Swiss Exchange 56,413

Wiener Börse 2,154

Total region 469,626

MEA: Middle East + Africa

Abu Dhabi SE 1,816

Amman SE 285

Borsa Istanbul 34,947

Cyprus SE 3

Egyptian Exchange 1,077

Irish SE 1,206

Johannesburg SE 28,608

Kazakhstan SE 58

Mauritius SE 26 Muscat Securities Market 478

Qatar Exchange 1,714 Saudi Stock Exchange - Tadawul 30,202

Tel Aviv SE 4,475

Total region 104,895

Equity volumes – avg monthly volumes (USD million)



Americas Options Future

BM&FBOVESPA 238 119.0 504 342.0Bourse de Montreal 3 550.8 555 764.0CBOE Future Exchange x NA

Chicago Board Options Exchange NA x

CME Group 9 987 400.0 46 628 400.0

Colombia SE x 19.2

ICE Futures US 6 516.0 2 962 600.0

International Securities Exchange NA NA

MexDer 1 761.5 30 896.1NASDAQ OMX (US) NA NANYSE Euronext (US) NA NA

APAC Options FutureASX Derivatives Trading 441 915.0 2 561.6

ASX SFE Derivatives Trading 46 330.5 1 204 770.0Bombay SE 1 168 300.0 10 210.9Bursa Malaysia Derivatives NA 71 423.6

China Financial Futures Exchange NA 22 909 400.0Hong Kong Exchanges 1 838 560.0 4 539 370.0Korea Exchange 67 864 200.0 5 855 830.0National Stock Exchange India 4 668 890.0 498 918.0

Osaka SE NA 7 468 830.0

Shanghai Futures Exchange 0.0 0.0Singapore Exchange NA NA

TAIFEX 1 485 740.0 1 480 410.0

Thailand Futures Exchange NA NATokyo SE Group NA 2 630 990.0

EMEA Options Future

Athens Derivatives Exchange 432.3 28 113.5BME Spanish Exchanges 60 489.2 672 335.0

Borsa Istanbul 35.1 63 631.4

Budapest SE 0.0 341.8

EUREX 13 764 800.0 18 691 000.0ICE Futures Europe 0.0 0.0Johannesburg SE 2 946.5 487 400.0Moscow Exchange 118 079.0 752 618.0NYSE.Liffe Europe 3 297 390.0 6 282 720.0OMX Nordic Exchange 151 241.0 573 599.0

Oslo Børs 439.1 1 752.9

Tel Aviv SE 641 250.0 976.1

Wiener Börse 56.2 22 030.8

Index FO – annual volumes (USD million)




BM&FBOVESPA 994 498.0 NABourse de Montreal 73 960.1 0.0

Buenos Aires SE NA NA

Chicago Board Options Exchange NA NA

Colombia SE NA 480.6

International Securities Exchange NA NA

MexDer 90.0 13.4NASDAQ OMX (US) NA NANYSE Euronext (US) 104 464.0 NA

BM&FBOVESPA 994 498.0 NABourse de Montreal 73 960.1 0.0

APAC Options Future

ASX Derivatives Trading 284 474.0 11 867.0

Bombay SE 3 076.7 7 442.2Hong Kong Exchanges 167 335.0 1 485.5Korea Exchange 0.0 56 761.0

National Stock Exchange India 416 644.0 811 791.0

New Zealand 0.0 NA

Osaka SE NA NA

Shanghai Futures Exchange 0.0 0.0

TAIFEX 177.6 22 743.6

Thailand Futures Exchange NA NATokyo SE Group NA NA

EMEA Options Future

Athens Derivatives Exchange 17.0 2 450.0BME Spanish Exchanges 31 668.0 15 271.2

Borsa Istanbul 14.4 11.9

Budapest SE 0.0 2 684.7

EUREX 784 435.0 752 475.0ICE Futures Europe 0.0 0.0Johannesburg SE 311.3 16 625.5Moscow Exchange 2 829.0 106 339.0NYSE.Liffe Europe 343 406.0 455 497.0OMX Nordic Exchange 52 967.4 4 658.3

Oslo Børs 1 874.3 1 836.7

Tel Aviv SE 4 335.2 NA

Wiener Börse 307.0 0.0

Equity FO – annual volumes (USD million)




BM&FBOVESPA 435 060.6 4 196 493.1Bourse de Montreal 68.2 0.0

CME Group 2 076 378.0 25 281 026.0

Colombia SE NA 10 674.9

ICE Futures US 3 410.0 658 019.0

MexDer 181.9 135 749.3

APAC Options FutureHong Kong Exchanges NA 13 948.8Korea Exchange NA 532 393.2

National Stock Exchange India 252 897.5 614 399.2

Osaka SE NA 61 932.8

Thailand Futures Exchange NA NA

EMEA Options Future

Borsa Istanbul NA 4 658.1Johannesburg SE 8 934.8 25 155.6Moscow Exchange 4 040.0 483 914.0NYSE.Liffe Europe 2 324.6 37.3

Tel Aviv SE 108 322.8 0.0

Currency – annual volumes (USD million)




BM&FBOVESPA 3 600 770.0 18 193 900.0Bourse de Montreal 569 518.0 23 217 400.0

Buenos Aires SE NA NA

CME Group163 885

000.0614 271

000.0

Colombia SE NA 32 850.9

MexDer NA 93 456.0NYSE Euronext (US) NA NA

APAC Options Future

ASX SFE Derivatives Trading 393 778.0 47 596 300.0

Bombay SE NA NA

China Financial Futures Exchange NA 50 232.7Hong Kong Exchanges NA 7.2Korea Exchange NA 4 084 080.0

National Stock Exchange India NA NA

Shanghai Futures Exchange 0.0 0.0

TAIFEX NA 2.2Tokyo SE Group NA NA

EMEA Options FutureBME Spanish Exchanges 0.0 1 413.4

EUREX 11 544 400.0 76 220 100.0Johannesburg SE 47.7 54 109.3London Metal Exchange NA NAMoscow Exchange 0.0 5 323.7NYSE.Liffe Europe 175 658 000.0 443 350 000.0OMX Nordic Exchange 915 175.0 3 560 020.0

Tel Aviv SE NA NA

Interest Rate – annual volumes (USD million)



Americas ETF ETF Opt

BM&FBOVESPA 11 366.8 138.7

Colombia SE 1 070.1

Lima SE 9.8Mexican Exchange 104 903.9 1.8

NASDAQ OMX 6 695 703.4 NANYSE Euronext (US) 3 589 241.4 48 077.3

Santiago SE 117.1

TMX Group 73 824.8Bourse de Montreal NA 5 123.0

CME NA NA

ISE NA NA

APAC ETF ETF Opt

Australian SE 7 487.3

BSE India 1 118.3Bursa Malaysia 43.6Hong Kong Exchanges 116 431.5 16 776.7

Indonesia SE 2.1

Japan Exchange Group - Osaka 73 386.2 NA

Japan Exchange Group - Tokyo 163 170.1 NAKorea Exchange 178 724.6

National Stock Exchange India 2 132.8New Zealand Exchange 59.6

Shanghai SE 109 240.5

Shenzhen SE 36 707.2

Singapore Exchange 2 591.1

Taiwan SE Corp. 9 496.8

The Stock Exchange of Thailand 250.3

EMEA ETF ETF OptAthens Exchange 14.7BME Spanish Exchanges 5 732.2

Borsa Istanbul 4 350.9

Budapest SE 1.9Deutsche Börse 162 958.7

Irish SE 19.3Johannesburg SE 5 624.3 ~ 0

Ljubljana SE 0.0Luxembourg SE 0.0

NASDAQ OMX Nordic Exchange 15 593.7NYSE Euronext (Europe) 100 747.8

Oslo Børs 4 736.7

Saudi Stock Exchange - Tadawul 18.6SIX Swiss Exchange 98 074.8

Wiener Börse 5.3

ETF – annual volumes (USD million)




BM&FBOVESPA 602.9 21 666.2

CME Group10 561 200.0 47 823 300.0

Colombia SE NA 6.6ICE Futures Canada 47.4 57 599.8

ICE Futures US 305 023.0 1 347 450.0NYSE Euronext (US) NA NA

APAC Options Future

ASX SFE Derivatives Trading 5 284.0 17 687.1

Bursa Malaysia Derivatives NA 151 944.0

Dalian Commodity Exchange NA 7 676 520.0Korea Exchange NA 161.1

New Zealand 0.0 132.1

Shanghai Futures Exchange NA 9 852 290.0

TAIFEX 717.9 1 146.7

Zhengzhou Commodity Exchange NA 3 074 910.0

EMEA Options Future

Borsa Istanbul NA 807.7

Budapest SE 0.0 138.5ICE Futures Europe 31 495.0 29 469 200.0Johannesburg SE 349.9 50 124.3London Metal Exchange 663 968.0 13 965 900.0Moscow Exchange 309.6 46 291.3NYSE.Liffe Europe 1 918.0 403 586.0

Commodity– annual volumes (USD million)


Automated Trading System components

Application

Order Manager

Market Data

Complex Event Processing engine

Exchange 1

Storage

Application Server Exchange

Strategy Settings UI

State Mgmt (PnL + Position)

Order / Execution Monitor

Within application RMS

Maths Calc

RMS

Admin Monitor

Exchange 2

FIX

FIX

Data Normalizer

Order Router

Back office record

MktData Store

Event History

Adaptor for third party apps – R, Matlab, etc

Data Retrieval

Data Vendor

Replay of stored data

Simulator exchange


To connect to any exchange, you need to build(i) market data adaptor for that exchange’s protocol


Automated Trading System components

Application

Order Manager

Market Data

Complex Event Processing engine

Exchange 1

Storage

Application Server Exchange

Strategy Settings UI

State Mgmt (PnL + Position)

Order / Execution Monitor

Within application RMS

Maths Calc

RMS

Admin Monitor

Exchange 2

FIX

FIX

Data Normalizer

Order Router

Back office record

MktData Store

Event History

Adaptor for third party apps – R, Matlab, etc

Data Retrieval

Data Vendor

Replay of stored data

Simulator exchange


To connect to any exchange, you need to build(ii) OMS adaptor to convey transaction information as per exchange protocol



Technology Protocols globally

One of the most popular protocol is FIXFinancial Information eXchange protocol Data transferred as sequence of tag=value pairs

e.g.: 8=FIX.4.2 | 9=77 | 35=0 | 49=MCXSXTRADE | 56=xxxxx | 34=24 | 43=N | 52=20140607-05:14:05 | 112=DNLDCOMPLETE | 10=127

1 Account2 AdvId3 AdvRefID4 AdvSide5 AdvTransType6 AvgPx7 BeginSeqNo8 BeginString9 BodyLength10 CheckSum11 ClOrdID12 Commission13 CommType14 CumQty15 Currency16 EndSeqNo17 ExecID18 ExecInst19 ExecRefID

20 ExecTransType21 HandlInst22 IDSource23 IOIid24 IOIOthSvc (no longer used)25 IOIQltyInd26 IOIRefID27 IOIShares28 IOITransType29 LastCapacity30 LastMkt31 LastPx32 LastShares33 LinesOfText34 MsgSeqNum35 MsgType36 NewSeqNo37 OrderID38 OrderQty

39 OrdStatus40 OrdType41 OrigClOrdID42 OrigTime43 PossDupFlag44 Price45 RefSeqNum46 RelatdSym47 Rule80A(aka OrderCapacity)48 SecurityID49 SenderCompID50 SenderSubID51 SendingDate (no longer used)52 SendingTime53 Shares54 Side55 Symbol56 TargetCompID57 TargetSubID



ExchangeTransaction / Market Data Protocol Family Protocol

ASX - Australian Stock Exchange Transaction FIX ASX-Trade24-FIX

ASX - Australian Stock Exchange Transaction OUCH ASX-OUCH

BATS Transaction FIX BATS-FIX

BATS Transaction BATS Europe Binary Order Entry (BOE) BATS-Europe-BinaryOrderEntry

BATS Transaction BATS Binary Order Entry (BOE) BATS-BinaryOrderEntry

BME Spanish Exchanges Transaction FIX BME-SpanishExchanges-FIX

Bombay Stock Exchange Transaction IML IML/ETI

Bombay Stock Exchange Market Data EMDI NFCAST, ACAST, EMDI

Borsa Italia Transaction TradElect LSE-TradElect

Borsa Italia Transaction FIX Borsaltaliana-FIX

Borsa Italia Transaction Millennium Native Trading Borsaltaliana-Native Trading

Boston Exchange (BOX) Transaction SOLA Access Information Language (SAIL) BOX-SAIL

Bursa Malaysia Transaction/MarketData AMP BursaMalaysia-AMP

CBOE Transaction CMi Protocol (trading spec only) CBOE-CMi

CBOE Transaction CMi version 2 CBOE-CMi-v2

CHI-X Transaction CHI-X Australia FIX CHIX-Australia-FIX

CHI-X Transaction CHI-X Australia OUCH CHI-X-Australia-OUCH

CHI-X Transaction CHI-X Canada FIX CHIX-Canada-FIX

CHI-X Transaction CHI-X Japan OUCH CHI-X-Japan-OUCH





Chicago Mercantile Exchange (CME) Transaction FIX CME-iLink-FIX

Deutsche Boerse Transaction Eurex v12 Enhanced Transaction Solution DBS-Eurex-ETS

Deutsche Boerse Transaction Eurex v13 Enhanced Transaction Solution DBS-Eurex-ETS-13

Deutsche Boerse Transaction Eurex v14 Enhanced Transaction Solution DBS-Eurex-ETS-14

Deutsche Boerse Transaction Eurex Enhanced Trading Interface DBS-Eurex-ETI

Deutsche Boerse Transaction Eurex FIX DBS-Eurex-FIX

Deutsche Boerse Transaction Xetra Enhanced Transaction Solution (v14 and v13) DBS-Xetra-ETS

Direct Edge Transaction FIX DirectEdge-FIX

Direct Edge Transaction MEP / XPRS (binary order entry) DirectEdge-Edge-XPRS

Fidessa Transaction/MarketData Fidessa API (European MultiMarket Access) Fidessa-EMMA

Hong Kong Exchanges (HKEx) Transaction AMS3 OpenGateway HKEx-AMS3-OpenGateway

Hong Kong Exchanges (HKEx) MarketData FIX FAST

Hong Kong Mercantile Exchange (HKMEx) Transactions EMAPI HKMEx-EMAPIICAP Transaction ICAP BrokerTec OUCH ICAP-BrokerTec-OUCHICE Transaction FIX ICE-FIXInternational Securities Exchange (ISE) Transaction FIX FIX

International Securities Exchange (ISE) Transaction Optimise Direct Trading Interface (DTI) ISE-Optimise-DTI

Johannesburg Stock Exchange Transaction Millennium Native Trading JSE-Millennium-Native-Trading





Johannesburg Stock Exchange Transaction TradElect LSE-TradElect

Korea (KRX) Transaction KRX/Koscom PowerBASE Order-Entry API KRX-Korea-PowerBASE-NFS

Korea (KRX) Transaction KRX KMAP order-entry API KRX-KMAP

London Metals Exchange Transaction LME FIX LME-FIX

London Stock Exchange Transaction LSE-FIX LSE-FIX

London Stock Exchange Transaction Millennium Native Trading LSE-Millennium-NativeTrading

London Stock Exchange Transaction Turquoise FIX Turquoise-FIX

London Stock Exchange Transaction Turquoise Native Trading Turquoise-NativeTrading

London Stock Exchange Transaction TradElect LSE-TradElect

London Stock Exchange Transaction Interactive LSE-TradElect

Miami Exchange (MIAX) Transaction MIAX Express Interface (MEI) MIAX-MEI

NASDAQ OMX Transaction FIX NASDAQ-FIX

NASDAQ OMX Transaction Nasdaq FIX Lite NASDAQ-Flite

NASDAQ OMX Transaction Nasdaq OUCH v3.3 NASDAQ-OUCH-3

NASDAQ OMX Transaction Nasdaq OUCH v4.2 NASDAQ-OUCH-4

NASDAQ OMX Transaction NASDAQ OMX Nordic OUCH NASDAQ-OMX-OUCH-NORDIC

NASDAQ OMX Transaction NOM2 Ouch to Trade Options (OTTO) NASDAQ-NOM2-OTTO

NASDAQ OMX Transaction NOM2 Specialized Quote Interface (SQF) NASDAQ-NOM2-SQF

NASDAQ OMX Transactions Nasdaq RASHport NASDAQ-RASHport





National Stock Exchange of India (NSE) Transactions NEAT Futures and Options NSE-India-NEAT-FuturesAndOptions

National Stock Exchange of India (NSE) TransactionsNon-NEAT Futures and Options

NSE-India-NonNEAT-FuturesAndOptions

NYSE Transaction Designated MarketMaker protocol NYSE-DMM

NYSE Euronext Transaction NYSE Euronext UTP-Direct NYSE-UTPDirect

NYSE Euronext Transaction NYSE US CCG Binary (UTP-Direct) NYSE-UTPDirect-US

NYSE Euronext Transaction NYSE CCG FIX NYSE-UTP-CCG-FIX

NYSE Euronext Transaction NYSE Liffe CCG Binary NYSE-LIFFE-CCG-Binary

NYSE Euronext Transaction ArcaDirect 4.x NYSE-ArcaDirect-4

NYSE Euronext Transaction Arca MarketMaker Direct NYSE-ArcaMarketMakerDirect

Osaka Stock Exchange Transactions Trading Interface OsakaSE-TradingInterface

Oslo Bors Transaction Native Trading OsloBors-NativeTrading

Pure Trading (CNSX market) Transaction/MarketData STAMP TorontoSX-STAMP

Singapore Stock Exchange (SGX) Transaction SGX FIX Trading Interface SGX-QuestST-FIX

SIX Swiss Exchange Transaction Quote Trading Interface SWX-QTI

SIX Swiss Exchange Transaction SWX Capacity Trading Interface SWX-CTI

SIX Swiss Exchange Transaction SWX Standard Trading Interface SWX-STI

SIX Swiss Exchange Transaction Swiss Exchange OUCH market data interface (OTI) SIX-OUCH





Taifex Transaction/MarketData FIX Taifex-FIX

Thailand Stock Exchange (SET) Transaction/MarketData EMAPI SET-EMAPI

TMX group Transaction/MarketData STAMP TorontoSX-STAMP

TMX group Transaction/MarketData MX SAIL MontrealExchange-SAIL

Tokyo Stock Exchange (TSE) Transaction Arrowhead ESP TokyoSE-Arrowhead-ESP

Tokyo Stock Exchange (TSE) Transaction Tdex+order-entry TokyoSE-Tdex+

Tokyo Stock Exchange (TSE) Transaction FIX J-FIX

Warsaw Stock Exchange Transaction Order Entry Protocol WSE-CCG

SHFE Transaction FIX FAST

CZCE Transaction FIX FAST

Montreal Stock Exchange Transaction FIX FIX

Montreal Stock Exchange TransactionSOLA Access Information Language (SAIL) STAMP/ SOLA




Country Regulation

European Union (HFT = 39%)

MiFID IIFTT proposed (11 countries agreed to participate – Austria, Belgium, Estonia, France, Germany, Greece, Italy, Portugal, Slovakia, Slovenia, Spain)

Germany (40%)

HFT firms to register with BaFin and obtain HFT licensesSupervisors at BaFin and the Exchange Supervisory Authority are allowed to requestdocument all algorithms used - descriptions of trading strategies or parameters and are permitted to deny the use of anyalgorithmic trading strategy they believe is undesirableappropriate order-to-trade ratio, todevelop a minimum tick size, fee for excessive system usage, includingamendments and cancelations of orders, and it requires traders to flag each order generated by analgorithm

France

Non-Transaction tax of 0.01% (replace / cancel)exceeding 80% of all orders transmitted in a monthTax if orders modified or cancelled in less than 0.5 second0.20% trasaction tax on purchased shares of companies with market cap > €1 billion (France’s share of EU equity turnover dropped from 23% in 2011 to <13% in 2013)

Regulations



Country Regulation

USA (48.5% in 2013. 61% in 2009)

Pre- trade controls; post- trade controls; system safeguards; mandatory registration and ‐ ‐reporting;Standardized order types; testing of algorithms; documented evidence of capacity, integrity, resiliency, availability, and security adequate to maintain operational capability; scheduled testing; continuity and disaster recovery plans; system redundancy; financial transaction TaxesProposed: Inclusive Property Act 0.5% sales tax on most financial instruments,. Wall Street Trading and Speculators Tax Act: 0.03% tax on trading by financial institutions

Singapore 0.20% stamp duty on equity trading

Hong Kong (20%)0.1 % stamp taxHFT – detailed records and audit logs for at least 2 years. System testing once a year

ChinaStamp duty between 0.1% to 0.3%Complex rules wrt FII in China

Taiwan All orders to go through FMC

Regulations



Algo trading in various landscapesChina Singapore Hong

Kong Japan Korea Taiwan

Regulations Market –Equity Market - Currency x x xMarket - Cmdty x Market– Interest Rate x x x

Market - ETF Market - Options x TechnologyConstraints

Competition



Algo trading in various landscapesIndia Thailand Malaysia Israel Turkey Indonesia

Regulations Market –Equity Market - Currency x xMarket - Cmdty xMarket– Interest Rate x

Market - ETF x x xMarket - Options ~ x ~ x x xTechnologyConstraints Competition



Algo trading in various landscapesPhilippines Dubai Abu Dhabi Saudi

Arabia Vietnam Bahrain

Regulations Market –Equity x Market - Currency x x x x Market - Cmdty x x x x xMarket– Interest Rate x x x x x x

Market - ETF x x x x x xMarket - Options x x x x x xTechnologyConstraints

Competition



Algo trading in various landscapesEuronext OMX Eurex

Regulations Market –Equity Market - Currency xMarket - Cmdty xMarket– Interest Rate

Market - ETF Market - Options TechnologyConstraints Competition



Algo trading in various landscapesSpain SIX Swiss Moscow Oslo

Regulations Market –Equity Market - Currency x x xMarket - Cmdty x x xMarket– Interest Rate x x

Market - ETF x Market - Options TechnologyConstraints

Competition



Algo trading in various landscapesBM&F Bovespa

NASDAQ NYSE TMX

/ Mn CME MexDER ICE

Regulations

Market –Equity x xMarket - Currency x x Market - Cmdty x x x x Market– Interest Rate x x Market - ETF x xMarket - Options TechnologyConstraints Competition



Algo trading in various landscapesJohannesburg Nigeria

Regulations Market –Equity Market - Currency xMarket - Cmdty xMarket– Interest Rate x

Market - ETF Market - Options xTechnologyConstraints Competition


Agenda




The road ahead ?

Q&A


Shift in market volumes

Likely threat of introduction of a HFT tax (financial transaction tax),

+Over crowding of US and European automated trading markets

Likely shift of volumes towards Asian, LatAm(increasing number of global firms setting up shop in India, Singapore, Hong Kong,

Brazil, etc)


↓


Growth of market segments

Regulations in certain markets are going to introduce new destinations for algorithmic traders:

• Swaps traded electronically in SEFs instead of OTC– Post Dodd-Frank Wall Street Reform and Consumer Protection Act, four

categories of interest rate swaps and two categories of credit default swaps are going to be listed on SEFs (Swap Execution Facilities)



Technology Simplification/Consolidation

Different exchanges shifting to standardized technology protocols instead of maintaining proprietary protocols

(Bombay Stock Exchange in India adopting Eurex Platform.Budapest, Bursa Malaysia adopting CME GlobexMultiple developing economy exchanges like Bursa Istanbul adopting FIX protocol)



Technology Arms race no more ?

In a lot of aspects, we are reaching the limits of technology

+The cost of technology is also coming down

↓Therefore technology might no longer be the sole asset of privileged

market participants

↓Trading Alpha will again shift towards statistical excellence rather than

technological upper-hand



Agenda




The road ahead ?

Q&A


Copyright © 2014 by QuantInsti Quantitative Learning Private Limited.

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Prior approval from QuantInsti is necessary before usage of this presentation for educational and (or) commercial purposes.

This document provides an outline of a presentation and is incomplete without the accompanying oral commentary and discussion.

Disclaimer

algorithmic trading in different landscapes

Economy & Finance

various geographies

markets interesting

future qa algo trading

future qa americas bermuda

fitch learning

technological protocols

regulations competition

trading manager