The Dying Lifecycle of an Algorithm
A while back I wrote a cover story for Waters on Lincoln Capital's Stephen Temes and he told me about how he felt there were firms out there that intentionally tried to figure out his algorithms and execute against them-or, game them.
"You have to really keep ahead of the curve," Temes told me. "When you start to see your orders being gamed or when things change in algorithms, you've got to quickly make changes. There are programs that are out there that look for my order and know to shoot against it."
I was reminded of this quote yesterday at Sifma 2011 after I met with Simon Garland, chief strategist of database provider Kx Systems. Whereas, in years past the typical short-end of a lifecycle for an algorithm ran about seven weeks, that timeframe has been significantly reduced, according to some of Garland's clients.
"We were speaking with a high-frequency trader a couple of days ago and he said that the typical life of an algorithm, these days, is about two weeks, because as soon as the people are on to you, then of course it's over and you have to do something else. Two weeks is the minimum now, because that's someone who's really good. So you can't send your good guys on holiday because they've got to have a new algorithm in two weeks."
When I told him that I was surprised by that-especially considering all the time and effort that goes into building an effective algo-Garland agreed.
"The two weeks surprised me, too; I thought it was longer," he says. I thought if you were really smart you could manage it a little bit longer than that."
So my question to the industry is this: Does two weeks sound too short...or even too long?
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@waterstechnology.com or view our subscription options here: http://subscriptions.waterstechnology.com/subscribe
You are currently unable to print this content. Please contact info@waterstechnology.com to find out more.
You are currently unable to copy this content. Please contact info@waterstechnology.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@waterstechnology.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@waterstechnology.com
More on Trading Tech
Chris Edmonds takes the reins at ICE Fixed Income and Data Services
Edmonds is now leading ICE’s fixed income and data business as the rush to provide better data and analytics in fixed income builds.
Systematic tools gain favor in fixed income
Automation is enabling systematic strategies in fixed income that were previously reserved for equities trading. The tech gap between the two may be closing, but differences remain.
Waters Wrap: Examining the changing EMS landscape
After LSEG’s decision to sunset Redi, Anthony examines what might lie ahead for the EMS space.
This Week: Clear Street, AXA/AWS, TD Bank/Google Cloud and more
A summary of the latest financial technology news.
LSEG to sunset Redi EMS in favor of Tora
Sources say competitors will look to seize on the decision to win over Redi’s sizeable US client base.
WatersTechnology latest edition
Check out our latest edition, plus more than 10 years of our best content.
Getting aggressive: Overbond uses AI to assess dealer axes
The fixed-income analytics specialist has developed a new tool to help buy-side firms decide if they’re getting a good price from their dealers.
Most read
- Chris Edmonds takes the reins at ICE Fixed Income and Data Services
- Deutsche Börse democratizes data with Marketplace offering
- Sell-Side Technology Awards 2024: All the winners