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HIGH-FREQUENCY FUTURES DATA Cantab Capital Partners

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HIGH-FREQUENCY FUTURES DATA Cantab Capital Partners MARCH 2013 AUTHORISED AND REGULATED BY THE FINANCIAL SERVICES AUTHORITY HIGH-FREQUENCY FUTURES DATA Cantab Capital Partners ■ Cantab Capital Partners LLP (‘Cantab’) is a systematic global macro hedge fund manager based in Cambridge, UK. ■ We seek to deliver alpha uncorrelated to traditional assets, as well as to other hedge funds, within strictly managed risk parameters. ■ The firm was founded in 2006 by Dr Ewan Kirk and Erich Schlaikjer (both ex-Goldman Sachs) and Chris Pugh (ex-KBC). Dr Tom Howat became a Partner in 2011. ■ The team consists of 42 employees, 29 of whom are fully dedicated to research, systems and trading. Cantab has close ties to Cambridge University. Professor Chris Rogers, who heads up the Statistics Lab at the University, advises Cantab on a consultancy basis. ■ The CCP Quantitative Fund was launched in March 2007; the CCP Core Macro Fund was launched in Jan 2013. ■ Cantab’s assets have grown from USD30mn at launch to USD5bn. This is due to Cantab’s high-quality team, robust high-performance strategies, state-of-the-art risk management, world class technology and high levels of liquidity and transparency. ■ The investor base is 60% institutional, 35% funds of funds and 5% family offices and HNW. © 2013 Cantab Capital Partners. Authorised and Regulated by the Financial Services Authority. 2 Introduction ■ A vast amount of information is produced in the financial markets every day. ■ Typically the majority of the data is either discarded or ignored by both practitioners and researchers. ■ With powerful computers and massive data storage more of this data can be analysed. ■ But… ■ We’ve lived in a Gaussian or near-Gaussian financial world for our entire professional lives and much of this data is not even close to Gaussian. ■ Concepts like “return”, “volatility” cease to have meaning. ■ There are huge amounts of data, 200MB per contract per day. ■ In the univariate case, the data on a single contract is bursty and not evenly spaced. ■ In the multivariate case, data is not cotemporaneous. ■ There are no obvious intellectual frameworks. ■ But… ■ The financial opportunities are large. © 2013 Cantab Capital Partners. Authorised and Regulated by the Financial Services Authority. A descent into the data ■ 20 years of S&P500 data. ■ Eyeball statistics tell you that this is log-normal with a drift. And, to a first approximation, it is. 1600 1400 1200 1000 800 600 400 200 15Jan88 1Jan90 1Jan92 1Jan94 1Jan96 1Jan98 1Jan00 1Jan02 1Jan04 1Jan06 S & P 500 Spot Index ■ But think hard about this. What is this data? Does it bear any resemblance to the market on the day? ■ There are 5000 data points here and this is probably about as much as you can reasonably hope to work with. © 2013 Cantab Capital Partners. Authorised and Regulated by the Financial Services Authority. What about a month worth of data? ■ 29 days S&P500 data. ■ It’s pretty obvious here that you can’t say much statistically. 1520 1500 1480 1460 1440 1420 1400 1380 1Dec07 10Dec0717Dec0724Dec0731Dec07 7Jan08 14Jan08 21Jan08 S & P 500 Spot Index ■ Oh, and don’t forget that there are weekends, holidays, early closing days in this graph. © 2013 Cantab Capital Partners. Authorised and Regulated by the Financial Services Authority. Could we use more frequent data? ■ The futures market generates a lot of data but there are lots of little issues with futures. 1540 1520 1500 1480 1460 1440 1420 1400 1380 1Dec07 10Dec0717Dec0724Dec0731Dec07 7Jan08 14Jan08 21Jan08 E-Mini S&P 500 Index CME Nrby b 01 S & P 500 Spot Index ■ They’re not the same as the spot index (and in some cases like oil, there isn’t a spot index). ■ They also expire and roll, lots of tough stuff to worry about here, but let’s ignore all these issues and just look at the hourly data. © 2013 Cantab Capital Partners. Authorised and Regulated by the Financial Services Authority. So here’s hourly data ■ Oh no! What’s gone wrong? 1600 1400 1200 1000 800 600 400 200 0 12/1 7:30:00 1/31 7:30:00 hloc2(ccp_rt_esh8.trdprc_1,-60) ■ Well, there are zeros in the data stream. © 2013 Cantab Capital Partners. Authorised and Regulated by the Financial Services Authority. Let’s clean it up ■ Looking a bit better but there are some pretty odd things happening here: 1540 1520 1500 1480 1460 1440 1420 1400 1380 1360 12/1 7:30:00 1/31 7:30:00 zapz(hloc2(ccp_rt_esh8.trdprc_1,-60)) ■ And let’s not forget that I’ve just said “hourly” but what does that mean? Average price over the hour (argh!), highest price, lowest price, last price, first price? When does an hour start and end? Last traded price or mean of last bid and offer? How much do you weight a price at 11pm on a Friday compared to 2pm on a Wednesday? What does 11pm and 2pm mean in this context? ■ 680 data points. © 2013 Cantab Capital Partners. Authorised and Regulated by the Financial Services Authority. Let’s zoom in some more: one day ■ 1 hour: 24 (?) points, 93 15-minute points, 1387 minutely points. Note: 4 days’ data is more than the 20 year S&P500 graph! 1420 1415 1410 1405 1400 1395 1390 1385 1380 1375 1370 1/15 0:00:00 1/16 0:00:00 Hourly 15 Minutes Minutes ■ Clearly minutely data gives a lot more information than hourly and there are some interesting bits of structure here. But there are lots of times when not much is happening. How do we deal with this? Oh, and the kurtosis is 45… ■ Even with minute data, we’re throwing away more than 99.5% of the data. © 2013 Cantab Capital Partners. Authorised and Regulated by the Financial Services Authority. Tick data ■ Every time something happens on a futures exchange, the exchange sends out a message to every subscriber saying what has happened. So what can happen? □ A trade. We get trade time (to nearest millisecond but there are lags), trade volume and, obviously, trade price. □ The best bid can change and the size on the best bid can change. □ The best offer can change and the size on the best offer can change. ■ In addition, there is “level data” which is the next best bids and offers down 5 (or more) levels. ■ This screen flashes continuously pretty much all day… © 2013 Cantab Capital Partners. Authorised and Regulated by the Financial Services Authority. Tick data ■ This is starting to look more interesting. 1420 1415 1410 1405 1400 1395 1390 1385 1380 1375 1370 1/15 0:00:00.000 1/16 0:00:00.000 zapz(ccp_rt_esh8.trdprc_1) zapz(ccp_rt_esh8.bid) zapz(ccp_rt_esh8.ask) © 2013 Cantab Capital Partners. Authorised and Regulated by the Financial Services Authority. Zoom in even more (30 minutes) ■ This is a randomly chosen 30-minute window from 10:30 EST to 11:00 EST on the 15th of January. 1400 1399 1398 1397 1396 1395 1394 1393 1392 1391 1390 1/15 10:30:00.000 1/15 11:00:00.000 Trade Bid Ask ■ What can we say about this data? The digital nature of the system is starting to become more obvious. ■ Oh, and let’s not forget that there are 1400 trades in this period and 43488 changes of the bid or offer price or size. ■ In this single half hour, there is more data than in the entire history of the S&P500 series since 1945… And we get a new set every 30 minutes… © 2013 Cantab Capital Partners. Authorised and Regulated by the Financial Services Authority. Zoom in even more (2 minutes) 1397.5 1400 1397.4 1300 1397.3 1397.2 1200 1397.1 1100 1397 1000 1396.9 1396.8 900 1396.7 800 1396.6 1396.5 700 1396.4 600 1396.3 1396.2 500 1396.1 400 1396 300 1395.9 1395.8 200 1395.7 100 1395.6 1395.5 0 1/15 10:38:00.000 1/15 10:40:00.000 Trade Bid Ask Traded Volume Bid Size Ask Size © 2013 Cantab Capital Partners. Authorised and Regulated by the Financial Services Authority. Zoom in even more (10 seconds) 1397.5 650 1397.45 600 1397.4 550 1397.35 500 1397.3 450 1397.25 400 1397.2 1397.15 350 1397.1 300 1397.05 250 1397 200 1396.95 150 1396.9 100 1396.85 1396.8 50 1396.75 0 1/15 10:38:10.000 1/15 10:38:20.000 Trade Bid Ask Traded Volume Bid Size Ask Size © 2013 Cantab Capital Partners. Authorised and Regulated by the Financial Services Authority. Zoom in even more (1 second) Did the bid size change here? Nope 1397.5 650 1397.45 600 1397.4 550 1397.35 500 1397.3 450 1397.25 400 1397.2 1397.15 350 Simultaneous trades at bid and 1397.1 offer? Then nothing for over 2/10 300 of a second! Relative calm! 1397.05 250 1397 200 1396.95 150 1396.9 100 1396.85 1396.8 50 1396.75 0 1/15 10:38:13.000 1/15 10:38:14.000 Trade Bid Ask Traded Volume Bid Size Ask Size Trades happening on the bid ■ Rule of thumb, one second of data is equivalent to about six months of daily data. ■ Look at the interesting structure. Artefacts too! © 2013 Cantab Capital Partners. Authorised and Regulated by the Financial Services Authority. Here’s that same second tabular format Trade Bid Ask Traded VolumeBid Size Ask Size 10:38:13 1397.25 1397.25 1397.50 1 69 186 10:38:13 1397.25 1397.50 68 189 10:38:13 1397.50 1397.25 1397.50 20 68 180 10:38:13 1397.25 1397.50 71 181 10:38:13 1397.25 1397.50 76 173 10:38:13 1397.25 1397.50 76 160 10:38:13 1397.25 1397.25 1397.50 76 76 170 10:38:13 1397.00 1397.00 1397.25 250 134 9 10:38:13 1397.00 1397.00 1397.25 8 133 93 10:38:13 1397.00 1397.00 1397.25 5 111 122 10:38:13 1397.00 1397.00 1397.25 2 100 136 10:38:13 1397.00 1 10:38:13 1397.00 1397.00 1397.25 1 91 138 10:38:13 1397.00 1397.00 1397.25 20 91 146 10:38:13 1397.00 1397.00 1397.25 1 69 126 10:38:13 1397.00 1397.00 1397.25 1 68 126 10:38:13 1397.00 1397.00 1397.25 1 2 122 10:38:13 1397.00 1396.75 1397.00 2 611 58 10:38:13 1396.75 1397.00 596 59 10:38:13 1396.75 1397.00 564 35 10:38:13 1396.75 1397.00 544 50 ■ Note that Excel (which was used to reformat the data) doesn’t understand times less than one second.
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