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Job Title: Low Latency Architect

Affiliated Institution: Vertigo Technology

Job Role: Designing Low Latency Architecture

Joined: September 3rd, 2012


Fil Mackay wrote a new blog post titled Sponsored Access: feathering the nest of a Black Swan?

Market Access Mechanisms Over time the equities marketplace has evolved from phone-based trade execution, to using computerised channels such as Direct Market Access. Direct Market Access This is where a trader sends an order electronically to their broker who, assuming everything is OK, simply passes it straight through to the market. Unlike in the past, where the trader may have placed an order with the broker, granting them some discretion over when and how to execute it; DMA is simply a pipe giving you immediate access to the market. Think of it as a no-frills self-service offering. Naked...
(2022 days ago)

Fil Mackay wrote a new blog post titled A New Model for Understanding High Frequency Trading

I have found the term High Frequency Trading to be somewhat overloaded, and now unusable term. Instead of referring to high-tech traders, the terms is now referring to more traditional traders who are dragged into the technology war in order to protect themselves. To throw both of these groups under the one "HFT" label is to completely misunderstand what is going on. I would like to propose a model for HFT that splits the term into 4 subcategories: Components of HFT: Market Making: automated quoting of prices in order to earn the bid/ask spread Algorithmic Execution: automated and...
(2022 days ago)

Fil Mackay wrote a new blog post titled Chi-X Australia take off?

With the expiry of ASIC's transitional arrangements for best execution I think the dynamics of the Australian cash equities market is about to shift dramatically. Thus far, Chi-X AU as been trapped in the first phase of liquidity capture: market makers being the predominant quoter of resting orders on the venue. While other brokers have been taking better prices when available, they predominantly quote on ASX. The key barrier to Chi-X at this point is the reluctance for brokers to quote orders on Chi-X in preference to ASX. This motivation is understandable - up until now not all brokers have...
(2022 days ago)