EXANTE: Practical aspects of algorithmic trading. Bitcoin hedge fund. SSE Riga lecture 23.01.2014....

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Practical Aspects of Algorithmic Trading.Bitcoin hedge fund.Gatis Eglitis, Managing PartnerSergey Troshin, Ph.D., Head of IT Strategy and OperationsPart 2: Algo trading2Algorithmic tradingModeling the strategyImplementing the modelResult analysisProduction

Choosing a brokerPricesTechnologiesStability

What is next?ContentsAlgorithmic tradingAutomatic tradingHFT high frequency tradingStrategy implementation . .HFT , , 1000.3Automatic tradingBuy-sideSell-sideStatistical arbitrageVWAPMarket Making / HFTTrend followingArbitrageSmart order routingAlgo trading strategies , - , order routing. buy side.

buy side , . 4ArbitrageGAZPRU(MICEX)On new tick:

ogzd_rub = convert(ogzd, usd_rub)spread = normalize(ogzd_rub/gazpru)changedSpread()OGZD(LSE)USD/RUB(FOREX)LIMIT (LSE)London Server

Filled (size)MARKET (MICEX)Filled (price)On change spread:if (spread > threshold) place_limit(OGZD, price, size)On limit fill:If (limit_is_filled) place_market(GAZPRU, size)Arbitrage strategyParameters: threshold

Volume Weighted Average Price

Algorithm creation cycle .7Historical Data . , .

, , time stamps timestamps order book, . , , , , .

8Data Rendering

Huge VolumeProcessing SpeedTechnical analysis panopticon.com ? , (), , , .

: 2011 ... .- :169 ( 18 )- :62 996 080- ( bid/bid size/ask/ask size):65 094 177

/

9Guess and Knowledge . , .10Trading ModelAlfa Algorithm

Risks

Expenses

Approval. Pre-trade Analysis , -? ( ?) equity (, GPU)

12Backtest ResultsParam 1Param 2IncomeExpensesX1Y110%4%X1Y215%11%XnYn5%2%Execution with:same input datadifferent set of parameters valuesComputational Technologiesx32x200x30000Scale horizontally: Cloud, GPGPU, multi-core : , .

Scale vertically: new SW paradigms (e.g. Disruptor), Cooling, FPGA , e.g. , . : - , 2, .

FPGA: message parsing, order book matching, risk control, derivs pricing. . SEC rule 15c3-5 DMA. 1 20 ().14Algorithm creation cycle .15

Ready to Production? , , , -: , , Direct connection

1617Choosing a brokerBroker

18Broker ConnectionBrokerClient ComputerTrading terminal

AlgorithmControlTradingInternal ProtocolBroker ConnectionBrokerClient Computer

Widely used protocols:FIX, Plaza2, Technology providers, Custom

TraderAlgorithmBroker ConnectionBrokerClient Computer

RDP, SSH

TraderAlgorithmGeneralExchanges/Markets coverageTrading volumesRegulation issuesLegal issues

Commissions and fees

Technology , , , , excel, , , , 23

Servers and locations25What is next?Post trade analysis

Compare with modelAlgorithmic Trader

28Questions?Sergey Troshin, Director+356 2015 0000, st@exante.eu

29NEXT GENERATIONPRIME BROKER