Wednesday, May 27, 2015

Synthetic Spread Charts in the TT Platform

I recently ran across an interesting post on EliteTrader. The author was looking for software capable of charting synthetic spreads with more than two legs such as the bund-bobl-schatz fly or crack spread. I shared my thoughts on the topic in the EliteTrader forum, but I thought the topic was compelling enough to address here on Trade Talk.

As was mentioned on EliteTrader by another member, charting a synthetic spread created from the underlying legs is not as simple as comparing the last traded price of one leg to the others or using one-minute bar data to compute the spread prices. To prevent from “charting a mirage” as the member stated in the post, we have gone out of our way to provide a better spread chart here at TT. We capture all best bid-ask market moves and traded prices, such that we look at one leg’s best bid or ask price when a trade occurs on the other leg’s bid or ask.

The above method creates an excellent synthetic spread chart, and we support up to 10 legs in a spread. The nice thing about TT is once you create the spread for trading, there is no additional work to create the spread chart. You can request the synthetic instrument and add studies and drawing tools just like a regular instrument in the chart.

Our bid-to-bid/ask-to-ask spread charts will calculate a spread price whenever there is a trade on one leg. If the trade occurs on the bid of leg one, then we will look at the bid of the other legs if they are required to sell and the ask if they are required to buy to determine the spread price. This effectively acts as getting edge on one leg with a limit fill, and the other legs going to market to complete the spread.

Synthetic spread charts (L) will have more data and provide more information
about how a spread moves compared to exchange traded spread charts (R).

Thursday, May 14, 2015

Finding the Gold in the Digital Treasure Chest

Today's financial markets generate a volume of data barely dreamed about in the early days of electronic trading. Every year, exchanges create a record-breaking amount of transactions, and we know that somewhere within all of that data there lies a digital treasure chest. Finding a way to analyze and deliver this valuable data is a multi-headed problem, roughly broken down between charting, historical trade display and research scenarios.

In my role as an engineering manager at TT, I’m part of a team that’s been working to solve this problem in the new TT platform. We think we’ve found the answer by leveraging cutting-edge technologies, Node.js and Amazon Web Services (AWS). I’m excited about our solution, which is now automatically available to all TT platform users. Read on to learn more about our approach and how it can help you overcome the multi-faceted big-data challenges we all encounter today.


Node.js is a run-time environment built on the same technologies that power the web, namely JavaScript. It was built around a few simple ideas and has rapidly grown out of its San Francisco hacker origins into enterprise software used by huge firms like Walmart and PayPal. If you have ever worked at a large enterprise with existing legacy architecture(s), you probably know how hard it is to turn an organization of that size onto a brand-new, relatively unknown technology platform. The answer in the case of Node.js is, surprisingly, very simple. Node.js is arguably the best web service platform available today, even though it hasn't even hit the 1.0 version mark yet. Coding is simple, performance can be faster than Java/C++ web server(s) and the platform is easily scalable with features like the Node.js Cluster API.

One of the new technologies that makes the TT platform possible is WebSockets, which we use to deliver real-time data to both our mobile and desktop users around the world. Writing a WebSocket server with Node.js is as simple as writing just a few lines of code. Check out this example from the popular Node.js "ws" package. This is literally all you need to run a WebSocket server in Node.js:

Doing something similar with the popular C++ library libwebsockets or a Java API like Jetty can turn out to be hundreds of lines of code. If you've ever used the über-popular library CuRL to make web requests from your C++ code, you know it also commonly results in memory management issues when handling multi-part replies.

Thursday, May 7, 2015

O, Be Some Other Name!

The great William Shakespeare
William Shakespeare wrote:

“O, be some other name!
What's in a name? that which we call a rose
By any other name would smell as sweet."
          - Romeo and Juliet

Well Bill, a name means quite a lot. Your name is your audible business card. It describes who you are.

Take my name, Murphy, for instance. It’s Gaelic for "sea warrior," which, considering Ireland never had a navy until 1921, means my ancestors were pirates.

Okay may be that’s not the best example, but just the same, a name is important. Parents fester over names, hoping the chosen name frames the miracle of their child and avoids crippling them for life.

And yet, even the best of names get changed. Couples marry and in some form take a last name that emphasizes the union of the two. Cassius Clay changed his name to Muhammad Ali to showcase his new faith. Prince changed his name to because...never mind.

The point is, a name is important. For people, it is their heritage. For sports franchises, it’s their civic pride and image. For companies, it represents their mission statement.

Which brings me to our University Program. Back in 2006 we chose to reach out to universities and, since that was the program’s function, the name University Program made sense. We began by donating our X_TRADER® trading platform to business schools, computer science departments, and engineering and math classes. While X_TRADER was the standard for anyone serious about trading, on college campuses we were the new kid in town. University faculty and students needed a formal introduction to Trading Technologies, the company. In addition, the products that made us successful, like X_TRADER, needed to be showcased to emphasize how they could contribute to the classroom.

And so it went. I contacted professors, department heads and anyone who I thought would be interested in who we were and the products we provided. Our products were installed on campuses and I followed up by training students how to use them.

Monday, May 4, 2015

Rocking for ALTSO: Live at the Tech Tap

Last week at the TT Tech Tap, we hosted a sponsor-appreciation event for a terrific non-profit group called A Leg To Stand On (ALTSO). Several talented folks who have day jobs in our industry entertained the crowd with live music, and proceeds raised went to provide relief for the Nepal earthquake victims. We even got featured on Chicago's WGN-TV news in a story about local Nepal fundraisers.

A Leg To Stand On (ALTSO)
You might have heard of ALTSO and their Rocktoberfest events, which take place each October in New York and Chicago. TT is proud to be associated with ALTSO and their mission of providing free orthopedic care to kids around the world who suffer from limb disabilities. Last week's event was aimed at recognizing ALTSO’s many corporate sponsors while also attracting support from additional firms in the industry.

I sat down with two industry veterans and long-time friends, Chuck Mackie and Ray McKenzie, to talk about their personal involvement with ALTSO, the group’s mission, their upcoming events and how others can help.

Ray McKenzie, co-chairman of the ALTSO Chicago Rocktoberfest Committee.
Ray McKenzie, co-chairman of the ALTSO
Chicago Rocktoberfest Committee.
Elise: What can you tell us about ALTSO and how the group became connected to our industry?

Ray: ALTSO was founded by C. Mead Welles, who has worked for emerging market hedge funds most of his career and traveled frequently in the developing world. He was deeply affected by the children he saw on the streets of some of the cities he visited and wanted to find a way to really change their lives. Mead is a musician, and ALTSO started as a group of like-minded members from the financial industry getting together to perform for their peers to raise donations. With the proceeds raised for ALTSO, Mead was able to establish a global network of doctors and healthcare workers to truly transform children in need with free operations and prosthetic limbs for the life of the child up to age 18.

Chuck Mackie, co-chairman of the ALTSO Rocktoberfest ChicagoCommittee.
Chuck Mackie, co-chairman of the ALTSO
Rocktoberfest ChicagoCommittee.
Chuck: The big fundraising event each year for ALTSO is a rock-and-roll evening called Rocktoberfest. Rocktoberfest is in its 12th year in New York and came to Chicago four years ago, and both events collectively raised over $700,000 last year.

Elise: At a personal level, how did each of you come to know ALTSO, why did you get involved and what’s your role now?

Ray: I first got started with ALTSO when I was working in New York for Morgan Stanley. It was a great cause, it brought the financial industry together, and adding the music on top of it all made it a real winner for me. I’ve played in New York for six years now and this is the fourth year that I’ve been one of the leaders for the Chicago event.

Chuck: I agree with Ray—the combination of a great cause, an industry that I love and music was a win/win/win for me. I know a number of people that were involved in New York for many years, and I jumped at the chance to get involved when Rocktoberfest came to Chicago.