Fresh play-offs for liquidity providers
The liquidity provider roles have been auctioned again (pdf). Traders can sign on for competitive market maker (cmm, quoting some options most of the time) or more ambitious for primary market maker (pmm, quoting all options all of the time).
It’s hard to judge whether or not quoting options gives a comparative advantage to other traders, but it sheds some light on the strategy of different trading firms (or the lack of it). Besides, it’s good for the competitive spirit to have several play-offs for the most popular primary market maker roles (pmm). Current pmm’s having met their quoting obligations for a year with a decent size and spread will be relieved from this competition. This season we have a record number of four play offs. Options on ING, KPN, Unilever and Tom Tom will see fierce competition for quoting the tightest spreads for the biggest size.
- ING : Tibra versus Nino
- KPN : Caerus versus Optiver versus All Options (for two spots)
- Unilever : Caerus versus Optiver
- Tom Tom : Caerus versus Fluhalp versus 323 Trading versus Leopark (for two spots)
Difficult to predict the outcome. Caerus has build a solid reputation and Optiver has earlier bitten the dust in Ahold and Akzo recently. 323 Trading is slowly collection a lot of primary market maker roles and is always a serious outsider. We will have to be patient for three months for the results. The dark horse Fluhalp isn’t unknown at all, it’s a legal entity of Scrocca.
In Tom Tom there’s only one firm not forced to participate in the play off and qualified directly as pmm – All Options is safe while four others fight for two spots. Probably there’s a perfect valid explanation for this, but in last auction the pmm places in Tom Tom were taken by Optiver, Leopark and 323. This means All Options has at best applied for the pmm role somewhere in the running year (perhaps picking up the role Optiver dropped) – and as I have always understood the exchange rules you can’t be safe from a play-off procedure when you don’t perform quoting obligations all year long.
- Update : there is a valid explanation. All Options hasn’t been pmm in TomTom from day one in the last year, but long enough (8 months) to have a serious quality score.
AEX Index
Euronext has created an extra seventh spot for primary market makers in de options on the AEX index. We have two new firms quoting all series including the long terms. A trader at Market Wizards signed, and the well known firm Liquid Capital will join AEX as pmm too. It’s the only spot Liquid is trading on Euronext Amsterdam. The liquidity providers in the AEX as of May 2nd are : Caerus, IMC, Leopark, Liquid, Market Wizards, Optiver and Tibra.
For some reason All Options left the pmm spot in the AEX. They’ll be busy with Mediq, Ten Cate and Brunel of course. Seriously, don’t recognize any trace of a coherent strategy at All Options. Then again, maybe there’s a perfect explanation for this.
- Other news : CFTC versus Optiver case on hammering the oil : postponed until May 25th.
Suppose All Options are promised the Tom Tom pmm role in exchange for quoting Brunel and Ten Cate.. but dropping the AEX?
Life is all about Options ..
Where is Scrocca? not playing?
they are smart enough not to worry about stupid PMM ?
Who is Fluhalp?
Who is Smart Trading B.V.???
CMM in SNSReaal, BAM and Aalberts
‘Who is Fluhalp?’
http://www.euronext.com/forourclient/mbs/market/list-1663-EN.html?docid=828979
‘Suppose All Options are promised the Tom Tom pmm role in exchange for quoting Brunel and Ten Cate.. but dropping the AEX?’
i think All Options completely missed the trick of Correlation trading for AEX vols vs SS vols .. Optiver is making some real good money off it .. more importantly its preventing losses off SS market makers .. the trader got made partner in his mid-20s .. allard is getting too old for the game ?
CFTC vs Optiver:
ORDER The action is stayed until 5/25/11. Telephone Conference set for 5/25/2011 at 09:30 AM before Judge Loretta A. Preska. (Signed by Judge Loretta A. Preska on 4/28/11) (cd)
That case just keeps dragging on. At least the length of each stay is getting shorter. Can’t be too far away from a result.
why are you talking about correlation trading? punting equity deltas when highly correlated risk currencies move around? that’s not really what pure mkt makers do?
why are you talking about market making? punting quote-new-ack latency when highly correlated risk currencies move around? that’s not really what pure correlation traders do?
‘punting equity deltas when highly correlated risk currencies move around’
i dont quite follow you .. can you explain more ?
‘that’s not really what pure mkt makers do?’
optiver or for that any firm is not pure pure anything .. g’morning ..
‘ that’s not really what pure correlation traders do?’
the correlation traders can do whatever fuck they have risk mandate for.. g’morning .. so it means correlation on any of delta, vega, gamma; any of these greeks for any of the asset classes and of course for any cross-asset or cross-greek correlation thereafter ..and i am not even going on about higher order greeks ..
welcome to the world of completely impure trading .. there is no volumes, there is no liquidty, there is no hedge, its mark to model rather than mark to market .. its like credit derivatives/crisis never happened .. oh ya, you were sleeping .. g’morning ..
A broader world than “who’s ETO auto quoter is fastest”.
Correlation trading: Revenge of the quants. Demise of the C++ latency guru.
‘Revenge of the quants. Demise of the C++ latency guru.’
latency is for the eq stocks on multi-exchanges .. quants/derivatives pricing is for otc on multiple greeks/assets .. you are comparing apples and oranges .. g’morning to you too ..
“latency is for the eq stocks on multi-exchanges”
latency has been done.
marginal gain < cost.
ask arbit.
game has changed.
arbit rules….
yes.
they help to lower the pay expectations of developers.
so lowering my costs.
‘latency has been done.’
latency can never be done .. if somebody offers 100 lots and all the mm send the bid to lift the offer, who wins those 100 lots ??!
‘they help to lower the pay expectations of developers.’
developers .. lol .. funny lot .. this Java/C++ developer i worked with .. he was trying to sell the theory that in 10 years time, trading would get automated .. there would be bunch of computers trading against each other .. good that the trading company closed down 2 months later and the developer is now back to gaming world developing iphone apps ..
yeah the fastest hitter wins. But do they also have higher costs to maintain their speed advantage? the concorde was the fastest commercial passenger plane but its costs and the fateful accident made BA/AF realise they could make more money via conventional jumbo travel.
kindly read it careful .. the conention was merely ‘latency can never be done’ .. it never implied that the fastest means most profitable .. does that disclaimer even need to be written ?! only if you are a developer !
=> at this point, building pure-arb strategies that need to be fastest to be profitable may not be the most economic use of capital.
less speed. more datamining.
‘more datamining’ ..
lol .. are you a Phd using your quantitative skills along with matlab to find the ‘hidden’ patterns in your 1TB high freq market data.. brilliant .. AHL would love you over there ..
hah not exactly. just putting the point that there’s a bit more to it than “just” latency. i assume most ppl posting here are aware of that?
Can someone please tell me what latency in the world of trading means?
As far as I know “Latency” means the time delay: time needed for a packet of digital information (eg a quote) to travel within a network from a to b.
But as I am a 41 year old vetran, who only trades every now and then these days (no high frequency for me!), I’m not 100% sure.
someone puts in an offer for 100 lots, this information goes from him to exchange .. latency .. then exchange sends this information to all market participants .. latency … market participant consume information and decide what to do .. latency .. sends a bid to lift offer .. latency … offer gets lifted and lucky winner and other market participants get notified .. latency .. use your common sense sometimes, being grad or 41 is not valid enough excuse .. latency ..
1. Delay between sending an order, and it actually getting to the exchange.
2. Delay between a price change at the exchange and it getting to you as a quote/trade.
3. (Total Time in Trading Day / Market Maker Latency) = max number of times “they” can exploit “you” every day, for fun and profit.
4. Insto customer: pick up phone + chit chat + check dick size + 30 seconds.
5. Retail customer: check boss is not looking + look at pretty charts + check form guide + get cash advance from credit card @ 1800 bps + wonder what a spread is + mouse click + 5 seconds.
6. Bank prop trader: inside info + customer to front run + check their dick size + 1s
7. Bank market maker: complain about tibra + pick a direction + 100ms
8. Bank algo: check crossing engine / check dark pools / check lit venue + check … crash on bug + raise IT ticket in bangalore + resend order on wrong stock + bank takes on position + 50ms
9. Non-bank market maker: check systems are ok + < 10ms
1) Latency always has and always will exist.
2) There are only delays when traders are losing money.
3) In my experience most teccies (at exchanges, MM, IB, arcades etc..) play down the complexity of latency when explaining what it is/means.
4) Latency depends on too many factors that are outside of our control…….unless we have all products on all exchanges traded on the same ‘network’ that we all connect to in exactly the same way and i mean exactly the same way!! in makes and model of hardware and software versions…… even then the distance from the exchanges network will always favour those physically closest…..ah why bother just carry on trading boys and girls…while us IT guys continue to leech off your existance.
co-location, moron.
‘In my experience most teccies (at exchanges, MM, IB, arcades etc..) play down the complexity of latency when explaining what it is/means.’
most teccies have no fucking clue .. no actually, make it pretty much all techies ..
‘ah why bother just carry on trading boys and girls…while us IT guys continue to leech off your existance.’
this IT moron doesnt know that we let him think that he is leaching off us .. as i was saying, almost all techies are clueless ..
because they have failed at something else.
@3:07 co location? foolish boy, …trader A has a 3 foot fibre connection to the exchanges equioment while trader B has a 6 foot connection. which exhange router/switch are you connected to?
@ 10:02 times have changed…no techies no traders, fact
@11:01 yeah trading!!
‘@11:01 yeah trading!!’
failed at trading and become teccie ??! eh ?
‘@ 10:02 times have changed…no techies no traders, fact’
so what is left in place of them ? and is that the case in all big small banks, mm ?
@ 11:24 am
A call center in Bombay for sales “traders”.
And a basement below the call center for techies.
“@3:07 co location? foolish boy, …trader A has a 3 foot fibre connection to the exchanges equioment while trader B has a 6 foot connection. which exhange router/switch are you connected to?”
Actually, all the cables are the same length in exchange datacentres, regardless of your server’s physical location within the room.
This perceived problem has been solved, and the exchanges tend to articulate this fairly clearly.
You should know it if you work in the area…
p.s. who’s the fool?
blah blah something about dick size.
‘A call center in Bombay for sales “traders”.
And a basement below the call center for techies.’
lol, sweat shops, nice !
boiler room operation
alot of traders failed at electronic trading when it moved off the floor as its a completely different game, some realised technology was becoming increasingly more important so moved into this area.
@12:31 actually, all the cables are not the same length….how can they be? a server at the bottom of a cab will have a different cable length to a server at the top of a cab…unless the switchports/patch panel is in the middle of the cab…which they are not.
Anyway we digress, latency has been, is and always will exist.
Firms over the years, have and will continue to collectivley spend billions on technology trying to be the fastest while “we” know it is very unlikely, as there needs to be a level playing field, which there isnt…just like the good ‘ol days on the floor.
“@12:31 actually, all the cables are not the same length….how can they be? a server at the bottom of a cab will have a different cable length to a server at the top of a cab…unless the switchports/patch panel is in the middle of the cab…which they are not.”
Ok, you’re pissing me off.
Wherever you are in the room they give you a 100ft cable.
Doesn’t matter whether you’re 1ft or 99ft from the exchange hardware.
Know what you’re talking about or shut the fuck up.
Seriously people .. we’re talking about the length of the cables here?
Let’s say conservatively that the signal travels at half the speed of light, that’s still 150,000,000 metres per second, or 150 metres per microsecond. If you think fractions of a microsecond matter in this game, then I think you’ve taken it a bit too far.
@12:36 thats why i said we digress, latency is much more than what our angry friend @11:21 is banging on about…..he has focused on cable lengths….it seems to me he probably has a problem with his own length.
latency in financial markets is the biggest money spinner since the Y2K bug. I have dealt with this subject everyday for the last 10 years. Obviously some are more sensitive to latency than others but what is uniform is the lack of understanding about the subject.
‘alot of traders failed at electronic trading when it moved off the floor as its a completely different game, some realised technology was becoming increasingly more important so moved into this area.
@12:31 actually, all the cables are not the same length….how can they be?’
you can’t figure out how cables can be of same length ??! boy you are really stupid, eh .. are you one of those floor traders who failed in electronic world .. hardly surprising .. looking at your ‘IT’ knowledge, it seems you couldn’t even transition into technology either .. surprising ? .. hardly.. i guess the above is your own biography and your pals on damrak ..
‘“we” know it is very unlikely, as there needs to be a level playing field, which there isnt…just like the good ‘ol days on the floor.’
yah confirmed .. you and your damrak pals failed to transition onto electronic trading .. sorry guys .. but its not all lost cause .. if you still use your head, you can still make money in financial markets .. markets are way way efficient, correlations are perfect, but almost too smart for their own good .. the opportunities are still there .. they can never go away ..
‘latency in financial markets is the biggest money spinner since the Y2K bug. I have dealt with this subject everyday for the last 10 years’
so you have already given up .. surprising .. hardly ..
‘but what is uniform is the lack of understanding about the subject’
please enlighten us .. thx,