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High Frequency Trading Review's Blog

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ULLINK, Fiberblaze and FPGA-Based NICs for Pre-Trade Risk

October 12, 2011 Comments (0)

Readers who enjoyed our recent interview with Matt Dangerfield of Fixnetix, discussing their FPGA-based iX-eCute chip and our earlier article from David Quarrell about other potential uses for FPGA technology in HFT, may be interested to read a press release that arrived in my inbox today, announcing that ULLINK will be using an FPGA-based Network Interface Card from Fiberblaze to power its UL IRIS+ pre-trade risk product.read more...

KettenMuchinRosenman Client Advisory - Guidelines from European Regulator Focus on High Frequency and Algorithmic Trading Obligations

October 12, 2011 Comments (0)

1. Background On July 20, 2011, the European Securities and Markets Authority (ESMA) issued a consultation paper on systems and controls relating to high frequency trading (HFT) and other forms of automated trading. ESMA is a newly established European authority with the remit to work on and establish legislation and regulation in the EU to standardize markets and monitor/resolve systemic risks for investors and market participants. More information can be found here....

How to Run 20-plus Pre-Trade Risk Checks in Under a Microsecond

October 12, 2011 Comments (0)

With the recent introduction of SEC rule 15c3-5 (which requires all firms who provide sponsored access or DMA to ensure their clients’ orders go through adequate risk controls), vendors and service providers have been bringing some increasingly innovative solutions to market to help firms comply. However, forcing orders to go through pre-trade risk controls generally adds latency. So how can that latency be kept to an absolute minimum?read more...

The Future of Computer Trading in Financial Markets â Working Paper

October 12, 2011 Comments (0)

In November last year, the UK Government’s Department of Business, Innovation & Skills put together a Foresight Project to look into the future of computer trading in Financial Markets, led by the Government’s Chief Scientific Adviser, Professor Sir John Beddington.read more...

UK Foresight Committee - Computer Trading in Financial Markets

October 12, 2011 Comments (0)

Foresight is part of the Government Office for Science. The project The Future of Computer Trading in Financial Markets looks at the effect of the advances in computer technology has on the economy.

What’s Not There: The Odd-Lot Bias in TAQ Data (O'Hara, Yao, Ye)

October 12, 2011 Comments (0)

Abstract: We investigate the systematic bias that arises from the exclusion of trades for less than 100 shares from TAQ data. In our sample, we find that the median number of missing trades per stock is 19%, but for some stocks missing trades are as high as 66% of total transactions. Missing trades are more pervasive for stocks with higher prices, lower liquidity, higher levels of information asymmetry and when volatility is low. We show that odd lot trades contribute 30 % of price discovery...