RTS Algorithmic Trading Webinar

Quote from TSGannGalt:

This whole discussion is useless. "Big Institutions" backtests there models and systems. To give one specific example, I am very sure that one of BGI's Quant Team "backtests" their models. End of story.

As nitro mentions, they're much more quantitative than most of ET. The most important difference is the "purpose" of backtesting. From my personal point of view, what they call backtesting and what you call backtesting are 2 different things.

Seriously... most of the things you read on the internet or books are only 10-20% of what goes on inside the funds. The goodies and neat stuff rarely reaches the retail level.

Thing that people need to get over is:

1. Fully automating a trade is not goal or step. It's a pre-requisite for a systematic trader. If you don't have the ability to do so, you're still a newbie. ATM (Automated Trading Models) Machines fail. We have the ability to do so but we choose not to do it.

2. % return doesn't say shit about a model. The fact that people are comparing and having a "Us against Them" discussion, just tells how newbie some people are.

3. Stop using "Big Institutions". Give a specific instance or a fund. If you can't do so during a discussion, don't even start. It's like saying, "Retail traders are losers".
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All those posting in this thread are assumed to be doing what you suggest.

I was enquiring of Travis as to just how far he wants a poster to go in setting forth how automation is working in the funds of the world. You are saying the same thing others have said.

Attached is an output of an operation set up to run in 1992 and one of its funds that commenced as shown.

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Here ia a chart of that data and a pic of what is managed. Its 100% commodities and split into two commodities groups: financial and the traditional commodities. What is showing is a 165.61% increase over the period. The chart is scaled to show a constant percentage change/per distance on the vertical scale.

One thing that is so nice is how the chart depicts the global depression we are presently enduring. I don't wonder if automation of trading has anything to do with the performance of the automated fund.

This is not the NYC nor the CHI type automation. It may be worth discussing it a little.

As expected there are two organizations involved. The financial one and the managing one. The organization is common and who gets paid what for ding what is common too. If anyone is considering going into automation this set up for doing business will be quite instructive.

The TA used to automate will be quite informative too. I'm sure many people have great other great examples for comparison.

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RTS Provides Low Latency Connectivity
to BATS Europe MTF

RTS Further Strengthens Coverage to European Equity Venues
RTS Realtime Systems Group, a leading trading solutions provider, announced the successful completion of conformance testing to provide connectivity to BATS Europe, a fast-growing European multilateral trading facility (MTF) owned by BATS Global Markets.

BATS Europe currently offers trading in more than 800 of the most liquid European securities. Participants include proprietary trading houses, bulge bracket brokers and smaller broker dealers.

To access the BATS Europe trading platform, RTS customers can utilise the firm’s Realtime Trading Desktop (RTD) portfolio, including the RTD-API’s, the RTD front-end trading system, and RTD Tango, the high-performance automated algorithmic trading solution.

Said Steffen Gemuenden, RTS CEO and President: "RTS is pleased once again to provide access to an important new trading venue that offers our customers valuable trading choices throughout the European equity marketplace. We also look forward to upcoming connectivity to BATS Exchange in the US.”

Paul O’Donnell, Chief Operating Officer of BATS Europe, said: “Like BATS Exchange in the US, our goal is to Make Markets Better with a trading platform where all market participants are welcome and can successfully employ their trading strategies. With access to the growing pool of liquidity on our market now available via RTS, we encourage RTS’ customers to subscribe to BATS Europe quickly to begin benefiting from our high performance, low latency trading platform.”

BATS Europe recently announced continued growth, hitting one-day market share highs for the FTSE100 (3.9% on April 28), CAC40 (4.16% on April 16), DAX (3.75% on March 24) and Amsterdam AEX (3.80% on April 15) indices. BATS Exchange is the third largest US securities exchange, with 10-12% matched market share.

BATS Europe will soon join RTS for its European “MTF Roundtable Series” hosted in Frankfurt (May 19), Amsterdam (May 20) and London (June 10). For more information please visit www.rtsgroup.net or email info@rtsgroup.net.


About RTS Realtime Systems Group
RTS is a leading solutions provider with offices in Amsterdam, Chicago, Frankfurt, London, New York, Paris, Singapore, Stockholm, Sydney, and distribution partners in Greece, India, Italy, Japan and Taiwan. Founded in 1992, RTS is a pioneer in the design and creation of high performance, functionally rich, multi-asset electronic trading software, with thousands of user connections to over 100 exchanges. For more information, please visit www.rtsgroup.net.


About BATS

BATS Global Markets (BATS) is an innovative global financial markets technology company headquartered in the Kansas City, Mo., area with additional offices in New York and London. The BATS platform was launched in January 2006 and, operating as BATS Exchange, Inc., is one of the fastest
growing, top tier equity markets in the United States. BATS serves the European market through its London based, FSA authorised subsidiary, BATS Europe, which operates a Multilateral Trading Facility for European securities.

The BATS platform is internally developed by a dedicated core team of market and technology professionals, catering to the needs of the broker-dealer and trading
community. For further information, please visit www.batstrading.com.
 
... as usual jack hershey comes in and mis-represents my point.

jack,

What you mention is completely irrelevant. You Chicago and NYC Algo is completely wrong. Your point of view and mine are different along with what others have mentioned.

You have no clue about Systematic and Automated trading so please go back to bother all the clueless discretionary traders.

Please don't re-quote me because you have no idea.
 
Quote from TSGannGalt:

... as usual jack hershey comes in and mis-represents my point.

jack,

What you mention is completely irrelevant. You Chicago and NYC Algo is completely wrong. Your point of view and mine are different along with what others have mentioned.

You have no clue about Systematic and Automated trading so please go back to bother all the clueless discretionary traders.

Please don't re-quote me because you have no idea.
More...

I know you are not doing the point 2 you made . You mentioned and I know you will be providing meaty and pertinentt examples of your viewpoint.

I am using Travis's examples for continuity of the thread. If you feel his NYC and CHI example are completely wrong, then help him understand why. My orientation is that there are a lot of ways of getting the job done.

Of course, our points of view are different. If you wish to express your point of view feel free to do so. I probably will not comment upon it. As you see I do not comment on Nitro's views either. I may rfer to his references since I track them to see how the academic world is coping with its progress.

So far my example is just a TA application of automated trading in commodities that somehow is not showing any stress caused by the global depression.

There are many more aspects of how things work with a mnagement team and a finacial team contracting with each other.

You tied up the conversation here with four nifty points. Now we are beginning the examples of each. I am not misrepresenting your point (s) I am expressing my viewpoints and using illustrations that will make about 9 points and be at least entertaining to everyone who is having a good visit to ET.

If you want to leap frog me put up the next set of data that would appear as a consequence of performance.
 
I'll skip ahead to what follows the performance statisitics. we all know the automated trading of a fund has a set of statisitics used to measure the results of automation and maybe other things are included.

So I am leap frogging the stuff that my compadre is going to shoot up for consideration along the statistical lines regarding performance.

Here is the disclaimer that would follow the performance statistics.

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Some of the automated conversations and threads in ET chat about how a person could get involved oe way or another. Maybe we should just hope that they can speak about the various functions and then for the performance, statisitics (yet to vcome) and the disclaimer, we can examone the two shops that have contracted to get these happenings in the modern fund world and the automated fund world of the future.
 

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Lets assume TS is working away on the stats of performance and we can just move ahead.

Here is the buddy of Series B with which we began: Series A.

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You can see several differences and I slipped the stats in on this illustration since TS hasn't popped a typical set in the thread as yet.

I may post the Series B stats so we can compare both.

If we do them we can begin to see how the organization boxes go together to make it all work out.

We can look at some operating numbers and scale the size of the organization boxes to best understand the value of guys who do automation for "The BIG Guys".
 

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Here is a normal block diagram of two outfits working together to operate funds (Series A and Series B).

Obviously their graphics arts group and publications group is small. Thy are getting a lot of mileage out of cut and paste and layout conservation.

We see two distinct client populations. Both funds are oriented to a financial planner's market that is determined by the financial planner.

We can put the programmer in a box in one of the organizations. He may not be too close to the subscribers though. Will this remoteness affect anything? Tune in; this ought to be fun from here on out.

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Great info from the RTS group. They are equipped to provide connectivity to the guys in the two outfits who are trading commodities throughout the globe. They mention almost half of the 100 they are monitoring throughout the world 24/7 and which they apply their automation to to get the "pick of the litter" at any given time.

We already figured out that the performance curves are identical with one small twist in the application of capital strategy.

Is this a programmer feature or is it something the programmer receives instruction to make the automation perform.

When we post the boxes that make up the programmied functions, what should we name this box?.

Ohh have any funds been posting any losses the last few quarters? It is worth a great deal to look at their functions for doing "pick of the litter"?

Is anyone curious as to what the current "pick of the litter" the automated programming picked?

Does anyone want to post the blocks of the Management Outfit? Shall we use the Philly outfit at 18th and Chestnut? your call.
 
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