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Introduction
The objective of this book is to educate financial service professionals
responsible for developing, managing, and implementing cutting-edge
trade technology. It also provides a guide to institutional investors,
broker-dealers, and software vendors with a better understanding of
innovative enhancements that can cut transaction costs, minimize human
error, boost trading efficiency, and supplement productivity. Economic
and regulatory pressures also have an effect in improving technology.
Regulation NMS, and the fundamental principle of obtaining the best
price for investors when such price is immediately accessible, rather than
executing a listed stock solely through an exchange is one regulatory
enhancement. Electronic and algorithmic trading is increasingly becoming
a mainstream response to institutional investors’ needs to move large
blocks of shares with fewer transaction costs, negligible market impact,
and information leakage. Constant innovations designed to cut costs and
create new efficiencies in the securities industry have forced investment
banking firms as well as institutional investment advisors to rethink their
trading operations. Algorithms are clearly cost-effective methods for executing
low-maintenance equity trades. They have led to head-count shifts
and reductions in sales and trading desks. These automated trades can
meet the demand of customers who want lower transaction costs.
The growth of new technologies in electronic and algorithmic trading
has created a new industry for financial professionals. Appropriate protocols
and efficient process infrastructure are required to help grow
this industry. Investment banks, agency brokers, and investment managers
require efficient front-to-back securities processing cycles to make this
happen. The whole trade process, which includes execution, confirmation,
and reconciliation, has to be in place in order for trades to occur. This
book will cover in more detail how this process flow is structured.
CHAPTER 1
Overview of Electronic and Algorithmic Trading 1
1.1 Overview 1
1.2 The Emergence of Electronic Trading Networks 2
1.3 The Participants 4
1.4 The Impact of Decimalization 6
1.5 The Different Faces of Electronic Trading 8
1.6 Program Trading and the Stock Market Crash of 1987 10
1.7 Conclusion 13
CHAPTER 2
Automating Trade and Order Flow 15
2.1 Introduction 15
2.2 Internal Controls 16
2.3 Trade Cycle 17
2.4 Straight-Through Processing and Trade Automation 19
2.5 Data Management 20
2.6 Order Management Systems 22
2.7 Order Routing 25
2.8 Liquidity Shift 26
2.9 Conclusion 28
CHAPTER 3
The Growth of Program and Algorithmic Trading 29
3.1 Introduction 29
3.2 A Sample Program Trade 31
3.3 The Downside of Program Trading 33
3.4 Market Growth and IT Spending 36
3.5 Conclusion 38
CHAPTER 4
Alternative Execution Venues 39
4.1 Introduction 39
4.2 Structure of Exchanges 40
4.3 Rule 390 43
4.4 Exchanges Scramble to Consolidate 44
4.5 Arguments Against Exchanges 44
4.6 The Exchanges in the News 46
4.7 Conclusion 49
CHAPTER 5
Algorithmic Strategies 51
5.1 Introduction 51
5.2 Algorithmic Penetration 52
5.3 Implementation Shortfall Measurement 54
5.4 Volume-Weighted Average Price 56
5.5 VWAP Definitions 58
5.6 Time-Weighted Average Price 60
5.7 Conclusion 62
CHAPTER 6
Algorithmic Feasibility and Limitations 63
6.1 Introduction 63
6.2 Trade Structure 64
6.3 Algorithmic Feasibility 64
6.4 Algorithmic Trading Checklist 66
6.5 High Opportunity Cost 67
6.6 Newsflow Algorithms 68
6.7 Black Box Trading for Fixed-Income Instruments 69
6.8 Conclusion 70
CHAPTER 7
Electronic Trading Networks 71
7.1 Introduction 71
7.2 Direct Market Access 71
7.3 Electronic Communication Networks 75
7.4 Shifting Trends 79
7.5 Conclusion 80
CHAPTER 8
Effective Data Management 83
8.1 Introduction 83
8.2 Real-Time Data 84
8.3 Strategy Enablers 85
8.4 Order Routing 87
8.5 Impact on Operations and Technology 88
8.6 Conclusion 89
CHAPTER 9
Minimizing Execution Costs 91
9.1 Introduction 91
9.2 Components of Trading Costs 92
9.3 Price Impacts with Liquidity 93
9.4 Cost of Waiting 97
9.5 Explicit Costs—Commissions, Fees, and Taxes 98
9.6 Conclusion 100
CHAPTER 10
Transaction Cost Research 103
10.1 Introduction 103
10.2 Post-Trade TCR 105
10.3 Pre-Trade TCR 106
10.4 The Future of Transaction Cost Research 108
10.5 Conclusion 109
CHAPTER 11
Electronic and Algorithmic Trading for Different Asset Classes 111
11.1 Introduction 111
11.2 Development of Electronic Trading 113
11.3 Electronic Trading Platforms 116
11.4 Types of Systems 119
11.5 TRACE—Reform in Transparency 120
11.6 Foreign Exchange Markets 122
11.7 Conclusion 123
CHAPTER 12
Regulation NMS and Other Regulatory Reporting 125
12.1 Introduction 125
12.2 Regulatory Challenges 126
12.3 The National Market System 127
12.4 The Impact of Regulatory NMS 131
12.5 Markets in Financial Instruments Directive in Europe 133
12.6 Regulatory and Exchange Reporting 135
12.7 Example of an Exchange Data Processing System 138
12.8 Conclusion 139
CHAPTER 13
Build vs. Buy 141
13.1 Introduction 141
13.2 Vendor as a Service Provider 143
13.3 Striving to Stand Out 147
13.4 The Surge of Electronic Trading Through
Regulatory Changes 149
13.5 Hedge Fund Systems—Outsource or In-House? 149
13.6 Conclusion 152
CHAPTER 14
Trading Technology and Prime Brokerage 153
14.1 Introduction 153
14.2 Prime Broker Services 154
14.3 The Structure of Hedge Funds 157
14.4 The Impact of Increased Trade Automation 158
14.5 Different Markets and Asset Classes 159
14.6 The Prime Brokerage Market 160
14.7 Conclusion 161
CHAPTER 15
Profiling the Leading Vendors 163
15.1 Introduction 163
15.2 Profiling Leading Vendors 166
15.3 Order Management Systems 175
Appendix: The Implementation of Trading Systems 181
Glossary of Terms 187
Index 199
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