As Wall Street IT executives walk the SIFMA show floor searching for innovative electronic trading technologies that could deliver a competitive edge, they will notice that the big buzzwords are liquidity management and low latency.
With liquidity in U.S. stocks spread across so many electronic trading venues, several vendors are showing products that aggregate the feeds across liquidity pools.
Addressing the problem of market fragmentation in U.S. equities trading, Reuters (booth #1101) teamed with Skyler Technologies (booth #3118) to aggregate the exchanges' North American order book feeds. Skyler's C3 Order Book Solution aggregates direct data feeds via the Reuters Data Feed Direct (RDF-D) for all North American venues.
Skyler takes all the Reuters Level 2 feeds and inserts them into an order book, according to Valerie Bannert-Thurner, VP business development at Skyler. "The Skyler system aggregates all the liquidity information from the liquidity venues all into one view," she says. "It's a liquidity discovery solution."
Reuters offers a whole suite of Level 2 data feeds — including Nasdaq Level 2, Itch, INET, NYSE Arca and NYSE Open Book as well as the Toronto Stock Exchange Level 2 feeds, says Bill Ruvo, VP Reuters Datafeeds, North America. "The value that Skyler brings to Reuters customers of those Level 2 venues is that they aggregate them so a customer through one view gets a complete picture of all the fragmented liquidity from all those different venues."
There's a trend toward more-sophisticated algorithms increasingly using liquidity information, adds Skyler's Bannert-Thurner. "We get more traction with the aggregated view of the feeds," she notes.
For those traders looking to do algorithmic trading in foreign exchange, Progress Apama (booth #2217) has produced an algorithm that aggregates all the liquidity pools in the FX market. The vendor announced Progress Apama FX Aggregation Accelerator for the SIFMA Conference.
"The liquidity is so fragmented," says John Bates, founder and VP, Apama Progress, Progress Software. In addition to the banks quoting prices, "You've got aggregators like EBS and Reuters, and ECNs like Hotspot, Currenex and FXall — while all the FX pools provide APIs to connect with the pools, they use proprietary formats." However, Apama has built adapters to provide connectivity to all of the pools, he says.
"What's very attractive is to create an aggregated order book view across all those liquidity pools," continues Bates. The next stage is for firms to build algorithms using Apama's building blocks and it's underlying complex event processing engine (CEP). "Our graphical modeling tools can build algorithms that can trade this aggregate view," Bates relates.
Sang Lee, managing partner at Aite Group in Boston, agrees that the issue of fragmented liquidity is one that everyone is facing. "As you're looking at the marketplace where there is a lot of focus on low-latency trading and massive issues around fragmentation, how do you get the data in as quick as possible and identify opportunities in the marketplace and get that done in a second?" asks Lee.
Low-latency trading also is a factor in complying with Regulation NMS, for which firms will need to route orders to the best price. "You have to get to the price as quickly as possible. That's why you see all these colocation deals," says Lee.
Broker-dealers gearing up for the implementation of the Pilot Phase of Reg NMS on July 9 can get some last-minute guidance at the conference. Jordan & Jordan (booth #3000), a management consulting firm, has unveiled Enterprise Compliance Solution (ECS), a compliance dashboard that will combine Reg NMS topics with more-traditional compliance activities, such as OATS, ACT and OTS reporting, and monitoring employee watch lists.Ivy is Editor-at-Large for Advanced Trading and Wall Street & Technology. Ivy is responsible for writing in-depth feature articles, daily blogs and news articles with a focus on automated trading in the capital markets. As an industry expert, Ivy has reported on a myriad ... View Full Bio