Algorithmic Trading Redux

Nothing significant happened since I last posted here, the world of algorithmic trading appears to have morphed from one marked by a frenzied discovery into a world of glossy marketing and brand hype. Dotted with colorful strategy names like sniper, dagger, sonar, Tex and the likes! One has to wonder if the WWE has taken over promotional duties for the industry!

Nothing changes the fact that for the most part, institutional buyers and sellers have one of two primary objectives on mind; either to beat the "closing price" or outperform some "benchmark".

Obviously, successful strategies for beating the close are unlikely to be found at the other end of a broker connection, which leaves the option of trying to beat a benchmark. However last I checked, even that has been quite the elusive task for most brokers and DMA buysiders!

I spent the past year adapting my work on "strategic" or alpha generating strategies into "tactical" or best execution variants. Primarily driven by my strong belief that "capital commitment" is truly the last remaining area of growth left for the sell-side. One of the true measures of a modern desk's ability to deliver execution value to the buy-side.

That value manifests itself in the ability for desks to take on principal obligations such as "blind baskets" and dissipate them in the market on behalf of their clients. Algos taking on the brunt of that effort and unless they can consistently put numbers on the right side of the ledger, those services won't be offered for long.

To that end, I have since migrated commentary and musings on the topic to the VI4 blog. A place to showcase third-generation** algorithmic execution strategies...those redesigned mousetraps I keep referring to.


**Single purpose strategies designed to beat the "benchmarks"