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Black Boxes and Bonds
- Thread starter Surdo
- Start date
FredBloggs
Guest
Quote from Surdo:
Sanjay Verma in Morgan Stanley's third-floor trading room near Times Square in Manhattan. Verma, the firm's top government-bond trader....
i dont get it.
whos the top trader then?
verma, or his programmer?
verma just seems like a screen monkey (im sure he isnt) when i read this.
Quote from rufus_4000:
Here you go:
http://quote.bloomberg.com/apps/news?pid=nifea&&sid=aB5xlrH4MJEI
Thanks, Rufus!
Veru insightful stor. I wonder if the so-called BBox trading at these firms is driven by algorithms seeking to capture market direction/mispricing or just electronic market-making algorithms
Quote from CPTrader:
Thanks, Rufus!
Veru insightful stor. I wonder if the so-called BBox trading at these firms is driven by algorithms seeking to capture market direction/mispricing or just electronic market-making algorithms
From what the article is saying, and what I have seen, for treasuries the program are mostly doing basis trading (cash vs futures). Of course dealers would have more considerations, such as existing swaps rates, repo rates, so it is "mispricing" in a general sense. Morgan in equities (mostly optons) have heavily related automated market making, their AMM group quotes 400-500 names with a half dozen traders.
More of the same type of articles ...
http://www.globalcustody.net/us/wall_street_letter_latest/
Standard algorithms will have their lunch eaten.
http://www.globalcustody.net/us/wall_street_letter_latest/
Standard algorithms will have their lunch eaten.
Yes, most of these groups trade the basis. My brother works for a big basis group in Chicago and they are essentially automated with the trader actually pulling the trigger, and their program working their theoretical levels for the spread along with other parameters. These guys are good during less volatile times, but I would like to see a program do the same with the 1980's Treasury market, double volatility from what it is now, and some of these machines might be turned off, or relied upon less. Would make things more interesting to say the least.
Quote from mcurto:
Yes, most of these groups trade the basis. My brother works for a big basis group in Chicago and they are essentially automated with the trader actually pulling the trigger, and their program working their theoretical levels for the spread along with other parameters. These guys are good during less volatile times, but I would like to see a program do the same with the 1980's Treasury market, double volatility from what it is now, and some of these machines might be turned off, or relied upon less. Would make things more interesting to say the least.
I am not sure I would want automated system to trade for the long term (and I run a couple of ATS), the number of possible variations is just too large, over short time frames ATS would work well, since at least the algorithms are computationally tractable. However, edging strategies are all similar, so in a situation where volatility is changing rapidly, conceivably the ATS would all do similar things, therefore magnifying the change, heh.
Of course, DRW doesn't do basis trading, at all, and I am not sure when Donnie got into automated trading, the last time I was in their offices (around 16-18 months ago), it is still their theo engines would compute the fair values, then the traders would make decisions.