Wednesday, August 26, 2015

Speaking In Code Part 4: Jessica Duggins on Automated Testing, the Impact of Electronic Trading and Tales from the Pits

Jessica Duggins (left), Director of Software Quality Engineering (SQE).
Welcome back to the final installment in our summer series on women in tech, “Speaking in Code.” If you haven’t been following, check out the series introduction, our first Q&A with engineering manager Diana Dumitru and our second Q&A with software engineer Allison Funk.

Today we are profiling TT’s Jessica Duggins. Jessica began her career in the Chicago Board Options Exchange (CBOE) pit in the late 1990s after graduating from the University of Illinois at Chicago (UIC) with a degree in philosophy. As the trading industry grew more technical, so did her skills, and she joined TT in 2005 as an associate level tester. She has since worked her way through the test engineering department and now serves as the director.

Katie: What do you enjoy most about your job as Director of Software Quality Engineering (SQE)?

Jessica: I especially enjoy the managerial and team aspect of working with my SQE group, interfacing with the developers and figuring out how to solve problems. Software testing is a unique position. Traditional engineers tend to get the spotlight and the glory, but we’re their right-hand men and women. We have to take what they do, think about all the ways it can go wrong end-to-end, anticipate those things, test those things, debug issues and help solve problems.

Thursday, August 20, 2015

Agency Algos and You: A Conversation with Quantitative Brokers

All market participants have felt their margins tighten in the post-crisis regulatory squeeze. As the competition for liquidity from traditional providers has grown, agency algorithms have emerged as a remedy for the increasing inefficiencies and diminished liquidity in the fixed income markets. Not only do these sophisticated algos smartly work orders, but they also open the way for valuable transaction cost analysis.
Jonty Field, Head of EMEA, Quantitative Brokers

Quantitative Brokers (QB) is a leading provider of algorithms to the futures and fixed income markets, which will soon be available on the TT platform. We sat down with Jonty Field, Head of EMEA, to better understand QB’s unique approach to agency algorithms and what they have to offer users on TT.

TT: Let’s start at the beginning. How did QB get started?

Jonty: QB was founded in 2008 during the financial crisis. Robert Almgren and Christian Hauff, both at a large sell side institution at the time, realized that fixed income traders were lacking the quantitative execution and cost measurement tools that were so valuable in equity markets. It would have been difficult to build these tools within a large bank, because the challenge of providing everything to everyone coupled with the requirement that it be distributed across different desks and regions, resulted in numerous, complex obstacles.

Tuesday, August 18, 2015

Speaking In Code Part 3: Allison Funk on Overcoming Doubts as a Woman in Technology

Today we’re continuing our summer blog series, “Speaking in Code,” which profiles some of the women here at Trading Technologies, focusing on the challenges and opportunities they’ve experienced in their careers in fintech. If you haven’t been following, I encourage you to read the introduction and the first spotlight featuring Diana Dumitru.

Our second profile features software engineer Allison Funk, who has been at Trading Technologies since May 2006. Allison joined TT right after graduating from the University of Illinois with a degree in Computer Science and began her career writing tools in software quality engineering (SQE). She has worked on a variety of teams in her nine years at TT and is currently serving as a mobile developer.

Software engineer Allison Funk has been with Trading Technologies since graduating from college in 2006.

Friday, August 14, 2015

GMEX’s CMF: A Novel Interest Rate Product

It's been just over one week since Global Markets Exchange (GMEX) debuted. Connectivity was available at launch through X_TRADER®, and in fact the first trade on GMEX was executed between two X_TRADER users. We're planning to offer access through the next-generation TT platform later this year.

GMEX has launched Euro-denominated IRS constant maturity futures (CMF) in response to demand from end users. These demands arose from changes in the European derivatives markets that were introduced under the European Markets and Infrastructure Regulation (EMIR) and the European Commission's review of the MiFID II. These futures, positioned as alternatives to OTC interest rate swaps, allow end users to benefit from the capital and margin efficiencies of futures, which are more favorable than the higher margin requirements for cleared swaps.

Why trade GMEX’s constant maturity future?


The CMF is not a futurized swap; it is a futures contract based on a swap index, the constant maturity index (CMI). The CMI is designed to replicate daily changes in the plain vanilla interest rate swap market. As interest rates vary, the index will track these changes and replicate the IRS's valuation changes for end users.

GMEX refers to these futures as IRS constant maturity futures, and as the name suggests, these futures have no expiry. A trader can open a position in a CMF contract and hold it in perpetuity. It will not expire, and there is no need to roll positions every quarter in order to maintain the exposure. Many market participants seek to always be “in” a target maturity along the yield curve. Historically, these participants have been frustrated by the high cost of rolling contracts or securities to maintain their position at a given maturity point. The CMF contract goes a long way toward mitigating these costs.