Trading with technolgy

Author: Chris Tazelaar

Expensive Tulips to the I.T. Arms Race: The history of trading and the emergence of I.T.

The first modern economy (Holland in the 17th century) was where stock market and derivatives trading first appeared. The financial markets functioned exactly the same way for the next few hundred years. Then technology came along and ruined everything...

In this presentation we discuss how I.T. changed an industry where people in funny jackets yelled at each other all day about the price of pork bellies (among other things) into a sort of virtual "Battle-Bots" arena, where I.T. systems battle it out to execute the best trades every day.

What time is it Mr Satellite?

Author: Dougal Featherstone

Since roughly a year ago, market makers in Amsterdam dealing on the Frankfurt exchange are unable to make a profit. This is because the prices on which they are making decisions are 3.5 milliseconds old. The speed of light provides a lower bound to round trip latency and means that traders located close to the xchange get the good trades. It is therefore vital for companies such as Optiver to measure their latency to determine how to reduce it.

In this presentation we describe our research into highly accurate network timing techniques and explain various methods for obtaining Universal Coordinated Time. Some features of cesium fountain clocks and the problems of relativity are discussed. The merits of existing and future time protocols (ntp, ptp and irig) re explored and some experimental findings presented.