ES Journal Archive (2009 - 2010)

[ammo]

naz weekly tl is 1621, =/- for weekly charts , harder to get accurate #

 

[riskymove]

Quote from Lawrence Chan:

The battle also showed up in the top 30 components.

Am thinking of and studying this behaviour in depth lately. It seems like they have some kind of max capacity. Thus, when that max out, it is very predictable what will happen next.

Yes - one would think eventually even the well capitalized are approaching the upper end of their buying power no?

 

[ammo]

naz 5 minute

 

[Lawrence Chan]

Extreme tick buying so far ... whole morning.

Month end portfolio adjustment ???

 

[ASusilovic]

Quote from Lawrence Chan:

The battle also showed up in the top 30 components.

Am thinking of and studying this behaviour in depth lately. It seems like they have some kind of max capacity. Thus, when that max out, it is very predictable what will happen next.

Give me State Streets stock ledger, Goldman's Sigma X and TT Trader and I will show you what a miracle is.

It's about time for me to return back to Chicago and buy a seat at CME. These bots are not being challenged enough.

 

[ASusilovic]

Quote from Lawrence Chan:

The battle also showed up in the top 30 components.

Am thinking of and studying this behaviour in depth lately. It seems like they have some kind of max capacity. Thus, when that max out, it is very predictable what will happen next.

At TABB Group we research the business and market structure of trading institutional equities and derivatives in North America, Europe and Asia. We analyse and quantify the execution, operations and clearing business/technology processes, from the investment manager, broker and exchange to the clearing, settlement house and custodian.

We have published several perspectives and reports on and around the high frequency trading space. We have covered the HFT space from three main perspectives. These are trading, connectivity and infrastructure.

Trading: The impact of HFT on the equity market structure from turnover to flash orders and dark looks.

Connectivity: Fibre optics pricing and payout (strategy’s success outweighs the immense cost of bespoke dark fibre). We are mid-way through research in to long distance latency research, using Chicago and New York as an example for latency arbitrage strategies where a firm trades options in Chicago against the underlying in NY. We will hopefully be doing similar research in Europe soon using London and Frankfurt for example.

Infrastructure: Data centres and hard ware, so everything from sponsored or naked access to proximity hosting plus hardware acceleration on FPGA or GPU cards where algorithms can be written on to the same chip as the market data feed to achieve truly phenomenal execution speeds.

Our model is either you buy reports off the shelf at a premium or join our Research Alliance and have unfiltered access to us.

Our Research Alliance is our core service. It is a combination of our published and un-published research and access to our analysts time and underlying data. The underlying data comes from over 700 buy-side head trader conversations each year plus our daily interactions with brokers, trading venues and technology providers.

 

[satchel]

S 985

 

[Lawrence Chan]

Quote from ASusilovic:

Give me State Streets stock ledger, Goldman's Sigma X and TT Trader and I will show you what a miracle is.

It's about time for me to return back to Chicago and buy a seat at CME. These bots are not being challenged enough.

Am very interested to see if someone is willing to take on them.

Having the know how is not enough for the task.

 

[ASusilovic]

Quote from Lawrence Chan:

Am very interested to see if someone is willing to take on them.

Having the know how is not enough for the task.

Agreed. Multi billion USD AUM needed to have some fun.

 

[ASusilovic]

HFT machines must feel like in Garden of Eden. 5 point range scalping de luxe. Taking into consideration oversaes markets like FTSE, FDAX and all other indices, it's a "menue a la carte".