Thomas Chippas

Welcome to this special edition of The Algorithmic Trading Podcast, brought to you by Voices in Business, focusing on Low Latency.

As the subject of latency has come up repeatedly in this series of interviews, we decided to ask Thomas Chippas, Deutsche Bank’s Head of Autobahn Equity, North America back onto the show for a deeper dive into the topic.

In this conversation with Greg Grimer and Mike O’Hara of Voices in Business, Thomas discusses why low latency is so important, some of the causes and types of latency, issues with measuring and monitoring it and some of the ways it can be reduced.

Show notes for this episode:

00:08 - Introduction
01:24 - Some background and history
02:18 - At what point did latency become an issue?
04:01 - The diverse business drivers for reducing latency
07:36 - Orders versus market data
08:40 - The exponential growth of option data
09:26 - Managing real-time position risk
10:38 - Dangers of quote mitigation
11:32 - Causes and types of latency, & where it is introduced
15:32 - Piecemeal versus big-bang approach to reducing latency
18:22 - Measuring and monitoring latency
21:44 - Visualisation tools & heat maps
22:14 - Consistency & reliability versus outright speed
23:29 - FIX, FAST & other industry standards
25:55 - Proximity hosting and co-location
29:25 - What Telco & network providers are doing
30:57 - Do latency reduction initiatives justify the cost?
31:45 - Potential operational risks inherent in low-latency strategies
34:48 - End of interview and wrap-up

We welcome all feedback, so please leave a comment here on the website, call us to leave an audio comment on +44 (0) 20 7193 1295, or send a message to algo@voicesinbusiness.com.

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 ATP Special Edition - Low Latency (feat. Thomas Chippas, Deutsche) [35:16m]: Play Now | Play in Popup | Download

Brian Fagen - Frank Troise

Welcome to episode six of The Algorithmic Trading Podcast, brought to you by Voices in Business and sponsored by Sybase. On today’s show, we feature an interview with Brian Fagen and Frank Troise of Lehman Brothers Inc.

Brian Fagen joined Lehman Brothers, the global investment bank, in June 2006, as Managing Director & Head of Electronic Sales. In this position, Mr. Fagen is responsible for leading the Firm’s efforts in the electronic brokerage business. He works closely with sales product managers to deliver a platform to the Firm’s clients worldwide. Additionally, Mr. Fagen is also the Head of Program Trading Sales.

Frank Troise is a Managing director and the Head of US. Equities Electronic Product Management. His responsibilities include product management for the electronic trading of equities and listed options. Products supplied by Lehman Brothers in this area include: RealTick EMS, algorithmic trading, crossing and electronic liquidity tools, and the distribution of pre- and post-trade analytical tools.

In this interview, Brian and Frank discuss Algorithmic Trading with Greg Grimer of Voices in Business and Sinan Baskan, Senior Product manager at Sybase.

Show Notes for this episode:

00:00 - Introduction

00:55 - Brian’s background

01:16 - Frank’s background

01:42 - How the US algo trading environment differs to Europe

04:10 - Who are the primary users of algo trading strategies?

04:29 - How aggressive are the hedge funds in this area?

06:28 - Trading styles and the search for arbitrage opportunities

07:26 - Growth in the customization of algo trading strategies

11:15 - Provisioning of data around development and customization

11:51 - Which customers require customized algorithms?

12:23 - Management of risk on customer positions

13:54 - Thin client dashboards and analytical data services

15:20 - Where are the technology bottlenecks?

17:54 - Extracting Alpha

20:15 - Granularity of data

22:30 - Growth of data and Moore’s Law

23:34 - Pricing power in terms of commissions

25:37 - Growth in asset classes other than equities

28:45 - End of interview and wrap-up

Click here for a full transcript of this episode.

We welcome all feedback, so please leave a comment here on the website, call us to leave an audio comment on +44 (0) 20 7193 1295, or send a message to algo@voicesinbusiness.com.

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 ATP006 - Brian Fagen and Frank Troise, Lehman [29:25m]: Play Now | Play in Popup | Download

Welcome to episode five of The Algorithmic Trading Podcast, brought to you by Voices in Business and sponsored by Sybase.

Today, Thomas Chippas, Head of Autobahn Equity, North America, for Deutsche Bank talks to Greg Grimer of Voices in Business and Sinan Baskan, Senior Product Manager at Sybase. 

Autobahn Equity is Deutsche Bank’s equity electronic trading platform encompassing direct market access and algorithmic trading.

Show notes for this episode:

00:12 - Introduction
00:55 - Start of interview & some background on Tom & Autobahn Equity
02:10 - US vs Europe vs Asia Pacific
03:44 - Pricing of structured instruments vs underlyings
08:56 - Post-trade analytics
11:30 - Variance of customer requirements in different regions
14:28 - Risk pricing
15:36 - Leveraging data for additional value-add
18:35 - Growth of different types of data
20:27 - The outlook for order execution venues
23:45 - Is there a power shift to the Buy-Side?
29:00 - End of interview and wrap-up

Click here for a full transcript of this episode

We welcome all feedback, so please leave a comment here on the website, call us to leave an audio comment on +44 (0) 20 7193 1295, or send a message to algo@voicesinbusiness.com.

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 ATP005 - Thomas Chippas, Deutsche Bank [29:51m]: Play Now | Play in Popup | Download

Eli Lederman, Turquoise

Welcome to episode four of The Algorithmic Trading Podcast, brought to you by Voices in Business and sponsored by Sybase.

Today, we feature an exclusive interview with Eli Lederman, Chief Executive Officer of Turquoise, the new pan-European trading platform, in conversation with Gavin Quinn, EMEA Business Development Manager at Sybase and Greg Grimer of Voices in Business.

Show notes for this episode:

00:14 - Introduction

01:12 - What is Turquoise and why does it exist?

05:22 - Levelling the playing field & removing monopolies

08:00 - The market data environment

09:25 - Costs associated with market data

10:46 - Differentiated pricing

12:40 - Reference data

14:45 - Interoperability

15:06 - Granularity of tick sizes and decimal places

16:30 - Smart order routing

18:04 - Communication with customers & members

22:12 - Evolution of exchanges

23:38 - Algorithmic trading and exchange convergence

25:20 - Fragmentation and operational complexity

27:21 - Trade volumes and market share

29:14 - Trade reporting & CCP status

30:34 - Risk/exposure issues

32:22 - End of interview & wrap-up

Click here for a full transcript of this episode.

We welcome all feedback, so please leave a comment here on the website, call us to leave an audio comment on +44 (0) 20 7193 1295 or send a message to algo@voicesinbusiness.com

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 ATP004 - Eli Lederman, Turquoise [33:05m]: Play Now | Play in Popup | Download

Toby Bayliss, Citi

Welcome to episode three of The Algorithmic Trading Podcast, brought to you by Voices in Business and sponsored by Sybase.

Today, we feature Toby Bayliss, European Head of Electronic Execution Sales at Citi, in conversation with Gavin Quinn, EMEA Business Development Manager at Sybase and Greg Grimer of Voices in Business.

Show Notes for this episode:

00:14 - Introduction

01:12 - What percentage of algorithms are actually successful?

02:58 - Where are the main costs? People? Processes? Data?

03:54 - The process of regression testing and back testing

05:10 - Building in changes for differing market conditions

07:10 - Calibration of algorithms

08:27 - Requirement for accurate historical data

09:25 - Comparison between European, US and Asian environments

13:38 - Tick sizes

14:58 - Buy-side versus sell-side issues

16:20 - Performance monitoring

18:00 - Myths around latency

19:03 - Key issues affecting the industry

21:59 - Block trading

23:45 - How does algorithmic trading affect client relationships?

24:46 - Equities versus other asset classes

27:01 - Issues specific to futures & options

29:03 -FIX Protocol

30:18 - End of interview & wrap-up

Click here for a full transcript of this episode.

We welcome all feedback, so please leave a comment here on the website, call us to leave an audio comment at +44 (0) 20 7193 1295 or send a message to algo@voicesinbusiness.com.

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 ATP 003 - Toby Bayliss, Citi [30:59m]: Play Now | Play in Popup | Download

Stuart Bevan, Credit Suisse

Welcome to episode two of The Algorithmic Trading Podcast, brought to you by Voices in Business and sponsored by Sybase.

Today, we feature Stuart Bevan, Head of Alternative Execution Products Technology at Credit Suisse, in conversation with Sinan Baskan, Senior Product Manager at Sybase and Greg Grimer of Voices in Business.

Detailed show notes for this episode:

00:13 - Introduction
00:56 - Start of interview
01:02 - The impact of MiFID & RegNMS on data distribution
03:13 - Breakthrough technologies
04:12 - Competition from smaller niche players
05:18 - Growth in complexity
07:08 - Growth in volume of data & events
08:02 - Shared services & fragmentation of data
09:24 - Development issues & toolkits solutions
12:26 - US vs Europe vs Asia
13:26 - Complex event processing
14:40 - Re-usability & lifecycle of custom developments
16:45 - What would be the ideal technology?
18:28 - Re-usability of data & anonymity
19:39 - Security issues & performance vs functionality
22:30 - Developer skills & program management
25:08 - End of interview & wrap-up

Click here for a full transcript of this episode.

We welcome all feedback, so please leave a comment here on the website, call us to leave an audio comment at +44 (0) 20 7193 1295, or send a message to algo@voicesinbusiness.com.

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 ATP002 - Stuart Bevan, Credit Suisse [25:55m]: Play Now | Play in Popup | Download

Carl Carrie, JP Morgan

Welcome to the first episode of The Algorithmic Trading Podcast, brought to you by Voices in Business and sponsored by Sybase.

Today, we feature Carl Carrie, Head of Product Development, Client Solutions Group, JP Morgan, in conversation with Sinan Baskan, Senior Product Manager at Sybase and Greg Grimer of Voices in Business.

Detailed show notes for this episode:

00:13 - Introduction01:00 - Start of interview

01:30 - Where do things stand today with Algorithmic Trading?

02:32 - Where are the bottlenecks and gaps?

05:10 - Disruptive/breakthrough technologies

06:08 - Complex event processing

07:46 - How small players & large/scale players fit into the ecosystem

10:22 - North America vs Europe vs Asia

12:59 - Buy-side and sell-side issues

14:08 - Risk-based pricing and dark pools of liquidity

16:17 - Implications of MiFID & RegNMS

19:44 - Maintaining a competitive advantage in Algo Trading

21:15 - How competitive are emerging markets?

22:28 - New types of risk

24:15 - Inbound data issues

26:57 - Architectural paradigms for real-time data distribution

29:44 - Controls & data management protocols

31:06 - Bridging the disconnect between technologists & business

32:41 - End of interview, & wrap-up

Click here for a full transcript of this episode.

We welcome all feedback, so please leave a comment here on the website, call us to leave an audio comment at +44 (0) 20 7193 1295, or send a message to algo@voicesinbusiness.com.

Listen Now:

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 ATP001 - Carl Carrie, JP Morgan [33:27m]: Play Now | Play in Popup | Download

Algorithmic Trading has already become mainstream in equities, with experts predicting that we are approaching a point when more than half of the trades struck on the London Exchange will be instigated by algorithms. Other asset classes are also beginning to see the benefits algorithmic trading can offer in terms of increased profitability, improved execution and greater customer satisfaction. What began just a few years ago as a relatively low-cost experiment, now commands massive IT resources and highly skilled teams of experts, working closely together, to execute and deliver complex and highly integrated trading infrastructures.In this series of interviews, experts from some of the world’s leading financial services firms, will share how we arrived where we are today, the immediate challenges and opportunities and their vision of the future. The series will investigate not only some of the technologies that underpin the low-latency and high-speed computing and communications environments that are required but also investigate the business drivers, the spread of Algorithmic Trading to new regions of the world, like Asia, how risk is managed and what Algo Trading may mean for counterparties, customers, exchanges and regulators.Check back soon for the first episode, due for publication first week of November 2007.  If you would like to be informed as soon as each new interview is published, please send an e-mail to updateme@voicesinbusiness.com with the words “Subscribe Algo” in the subject line or main body of your e-mail message.We also welcome your comments and questions by e-mail and will put these to our expert guests to answer in their interviews.