Regulation Automated Trading
Total Page:16
File Type:pdf, Size:1020Kb

Load more
Recommended publications
-
19Th November 2015 Marina Bay Sands, Singapore
The 12th Annual 18 - 19th November 2015 Marina Bay Sands, Singapore Bringing Together The Most Influential Buy Side Heads of Equity Trading New Speakers in 2015 include: Gianluca Minieri Joe Kassel Kevin Cronin Mike Bellaro Global Head of Global Head Global Head Global Head of Equity Trading, Executive of Dealing of Trading, Trading Vice President & Exposure Managing Deutsche Asset & Pioneer Management Director Wealth Management Investments AMP Capital Invesco Management Tim Bruenjes Greg Heaton Richard Nelson Francis So Head of Asian Senior Director, Head of Australia Head of Trading, Asia Trading Licensing, Intermediaries & Japan Equity BNP Paribas PIMCO Pacific Securities and Futures Trading FIN’AMS Investment Commission of Hong T. Rowe Price Management Kong NEW! NEW! Regulation: Get first hand Hong Kong: Shanghai Connect SFC: Gain clarity on Country Clinics: Hear market clarity on the impact of Project: Determine solutions to Hong Kong’s new updates from the leading buy commission unbundling on the legal & political challenges licensing regime for side in India, Australia, China market structure & liquidity faced by the buy side Dark Pool operators and Japan Sponsored By: Bringing Together The Most Influential Buy Side Heads of Equity Trading PAGE 2 Advisory Board An agenda designed for the buy side by the buy side Dear Colleagues 2015 Advisory In light of new regulations, increasing fragmentation and changing market Board structures, there is no doubt your role as equity trading head is becoming progressively complex. Kent Rossiter In order to offer you a buy side focused agenda that solves your biggest Head of Asia trading challenges, we have conducted 70+ research interviews with senior Pacific Trading figures from across the industry. -
CTA Disclosure Document
Disclosure Document Managed Account Agreement Opes Capital Group, LLC 9454 Wilshire Blvd, Suite 803 Beverly Hills, CA 90212 Phone: 310-247-8038 Fax: 310-388-3995 Trading Program The date of this Disclosure Document is July 30, 2012, 2012 and may not be utilized after April 30, 2013 THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN THIS TRADING PROGRAM NOR HAS THE COMMISSION PASSED ON THE ADEQUACY OR ACCURACY OF THIS DISCLOSURE DOCUMENT. THE DELIVERY OF THIS DISCLOSURE DOCUMENT AT ANY TIME DOES NOT IMPLY THAT THE INFORMATION CONTAINED HEREIN IS CORRECT AS OF ANY TIME SUBSEQUENT TO THE DATE SHOWN ABOVE. 1 RISK DISCLOSURE STATEMENT THE RISK OF LOSS IN TRADING COMMODITY INTERESTS CAN BE SUBSTANTIAL. YOU SHOULD, THEREFORE, CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IN CONSIDERING WHETHER TO TRADE OR TO AUTHORIZE SOMEONE ELSE TO TRADE FOR YOU, YOU SHOULD BE AWARE OF THE FOLLOWING: IF YOU PURCHASE A COMMODITY OPTION YOU MAY SUSTAIN A TOTAL LOSS OF THE PREMIUM AND OF ALL TRANSACTION COSTS. IF YOU PURCHASE OR SELL A COMMODITY FUTURES CONTRACT OR SELL A COMMODITY OPTION OR ENGAGE IN OFF-EXCHANGE FOREIGN CURRENCY TRADING YOU MAY SUSTAIN A TOTAL LOSS OF THE INITIAL MARGIN FUNDS OR SECURITY DEPOSIT AND ANY ADDITIONAL FUNDS THAT YOU DEPOSIT WITH YOUR BROKER TO ESTABLISH OR MAINTAIN YOUR POSITION. IF THE MARKET MOVES AGAINST YOUR POSITION, YOU MAY BE CALLED UPON BY YOUR BROKER TO DEPOSIT A SUBSTANTIAL AMOUNT OF ADDITIONAL MARGIN FUNDS, ON SHORT NOTICE, IN ORDER TO MAINTAIN YOUR POSITION. -
The Application of Commodity Pool Rules to Insurance Linked Securities
The Application of Commodity Pool Rules to Insurance Linked Securities October 15, 2012 The Dodd-Frank Act’s expansion of the definition of “commodity pool” to include any form of enterprise operated for the purpose of trading in “swaps,” coupled with the Commodity Futures Trading Commission (“CFTC”) and the Securities and Exchange Commission (“SEC”) recently adopting an expansive definition of the term “swap” for purposes of the Dodd-Frank Act and the Commodity Exchange Act, creates uncertainty regarding whether issuers of insurance linked securities (“ILS”) are commodity pools that would require the registration of commodity pool operators (“CPO”) and commodity trading advisors (“CTA”) with the CFTC. Expansive Definition of Swap On July 10, 2012, pursuant to a joint release (“Joint Release”) the CFTC and the SEC adopted final rules, which became effective on October 12, 2012, broadly defining the term “swap” to include, in addition to those contracts commonly known as swaps (including interest rate swaps, floors and caps, currency swaps and credit default swaps), “any agreement, contract or transaction that provides for any purchase, sale, payment or delivery..... that is dependent on the occurrence of an event or contingency associated with a potential financial, economic, or commercial consequence.” This expansive definition will encompass a broad array of contracts including those customarily underlying cat bond and other ILS transactions, unless such contracts are specifically not considered swaps under the rules or are otherwise -
The Future of Computer Trading in Financial Markets an International Perspective
The Future of Computer Trading in Financial Markets An International Perspective FINAL PROJECT REPORT This Report should be cited as: Foresight: The Future of Computer Trading in Financial Markets (2012) Final Project Report The Government Office for Science, London The Future of Computer Trading in Financial Markets An International Perspective This Report is intended for: Policy makers, legislators, regulators and a wide range of professionals and researchers whose interest relate to computer trading within financial markets. This Report focuses on computer trading from an international perspective, and is not limited to one particular market. Foreword Well functioning financial markets are vital for everyone. They support businesses and growth across the world. They provide important services for investors, from large pension funds to the smallest investors. And they can even affect the long-term security of entire countries. Financial markets are evolving ever faster through interacting forces such as globalisation, changes in geopolitics, competition, evolving regulation and demographic shifts. However, the development of new technology is arguably driving the fastest changes. Technological developments are undoubtedly fuelling many new products and services, and are contributing to the dynamism of financial markets. In particular, high frequency computer-based trading (HFT) has grown in recent years to represent about 30% of equity trading in the UK and possible over 60% in the USA. HFT has many proponents. Its roll-out is contributing to fundamental shifts in market structures being seen across the world and, in turn, these are significantly affecting the fortunes of many market participants. But the relentless rise of HFT and algorithmic trading (AT) has also attracted considerable controversy and opposition. -
Gwinnett County, Georgia Investment Committee of the RPMC Agenda
Gwinnett County, Georgia Investment Committee of the RPMC December 14, 2012 9:30 a.m. Second Floor, Financial Services - Dogwood Conference Room Agenda Call to order 1. Approval of Agenda* ML 2. Approval of Investment Committee Minutes* ML 3. Gwinnett IPS Monitoring Report Discussion 4. Large Cap Growth Manager Search ML i. Columbia ii. TCW Adjournment* *Action Items Gwinnett County, Georgia Investment Committee of the RPMC Quarterly Meeting Minutes November 09, 2012 8:30 a.m. Dogwood Conference Room - GJAC Members Present: Mike Ludwiczak, Karen Karasinski, Bill Rodenbeck, Phil Hoskins, Paul Turner, Staff Present: Aaron Bovos, Debbi Davidson, Megan Ward, Rick Reagan Others Present: UBS Members – Scott Olsen, Earle Dodd; Great-West Members - Donald Erwin, Fred Minot, Michael Baker; BNY Mellon – Ray Kronz (via teleconference) Chairman Mike Ludwiczak called the meeting to order at 8:36 a.m. 1. Approval of Agenda Action: Motion to Approve: Paul Turner; Second: Phil Hoskins. Vote (5-0); Ludwiczak – Yes; Rodenbeck – Yes; Hoskins – Yes; Karasinski – Yes; Turner – Yes. 2. Approval of Investment Committee Minutes Regular Meeting: 9:30 A.M. October 12, 2012 Action: Motion to Approve: Phil Hoskins; Second: Paul Turner. Vote (5-0); Ludwiczak – Yes; Rodenbeck – Yes; Turner – Yes; Hoskins– Yes; Karasinski – Yes. 3. Securities Lending Ray Kronz of BNY Mellon gave a brief overview of the Securities Lending services currently provided to the County by BNY Mellon. The full presentation is available on the County website. Ray Kronz terminated his teleconference connection into the meeting at the conclusion of this item. 4. Third Quarter 2012 Report Great-West Michael Baker of Great-West reviewed the 3rd Quarter performance reports for the County’s DC plans. -
Algorithmic Approach to Options Trading
International Research Journal of Engineering and Technology (IRJET) e-ISSN: 2395-0056 Volume: 08 Issue: 05 | May 2021 www.irjet.net p-ISSN: 2395-0072 Algorithmic Approach to Options Trading Shubham Horambe1, Ketan Khanolkar1, Dhairya Dixit1, Huzaifa Shaikh1, Prof. Manasi U. Kulkarni2 1B. Tech Student, Dept of Computer Engineering and IT, VJTI College, Mumbai, Maharashtra, India 2 Assistant Professor, Dept of Computer Engineering and IT, VJTI College, Mumbai, Maharashtra, India ----------------------------------------------------------------------***--------------------------------------------------------------------- Abstract - Majority of the traders lose money whilst trading sitting in front of the screen for hours. Due to this continuous in options owing to market speculation, emotional trading and monitoring requirement, the performance of Manual Trading lack of risk management. The purpose of this research paper is is limited to the amount of time of the day the trader can to introduce an automated way of trading in options in order dedicate to trading. Other than this, Manual Trading also to tackle these problems. To achieve this, we have adopted suffers from time delays, which is the ability to execute some basic option strategies namely Covered Call, Protective trades in a small-time window. Also, for predicting Put and Covered Strangle. These strategies have been tested unprecedented non-random changes that take place in trade over a period of 5 years (2015-2019) for a set of stocks in the prices, a trader must delve into and analyze more and more U.S options market. information which is more powerful than information available on open-sources like news platforms. This is very Key Words: Options, Algorithmic Trading, Call Option, Put difficult to do for humans, as unlike computers, we can Option. -
Theoretical and Practical Aspects of Algorithmic Trading Dissertation Dipl
Theoretical and Practical Aspects of Algorithmic Trading Zur Erlangung des akademischen Grades eines Doktors der Wirtschaftswissenschaften (Dr. rer. pol.) von der Fakult¨at fuer Wirtschaftwissenschaften des Karlsruher Instituts fuer Technologie genehmigte Dissertation von Dipl.-Phys. Jan Frankle¨ Tag der m¨undlichen Pr¨ufung: ..........................07.12.2010 Referent: .......................................Prof. Dr. S.T. Rachev Korreferent: ......................................Prof. Dr. M. Feindt Erkl¨arung Ich versichere wahrheitsgem¨aß, die Dissertation bis auf die in der Abhandlung angegebene Hilfe selbst¨andig angefertigt, alle benutzten Hilfsmittel vollst¨andig und genau angegeben und genau kenntlich gemacht zu haben, was aus Arbeiten anderer und aus eigenen Ver¨offentlichungen unver¨andert oder mit Ab¨anderungen entnommen wurde. 2 Contents 1 Introduction 7 1.1 Objective ................................. 7 1.2 Approach ................................. 8 1.3 Outline................................... 9 I Theoretical Background 11 2 Mathematical Methods 12 2.1 MaximumLikelihood ........................... 12 2.1.1 PrincipleoftheMLMethod . 12 2.1.2 ErrorEstimation ......................... 13 2.2 Singular-ValueDecomposition . 14 2.2.1 Theorem.............................. 14 2.2.2 Low-rankApproximation. 15 II Algorthmic Trading 17 3 Algorithmic Trading 18 3 3.1 ChancesandChallenges . 18 3.2 ComponentsofanAutomatedTradingSystem . 19 4 Market Microstructure 22 4.1 NatureoftheMarket........................... 23 4.2 Continuous Trading -
Due Diligence Support Documentation
Due Diligence Support Documentation Vulcan Metals Fund Investment Manager: James Gallo Chief Executive: James L. Koutoulas, Esq. The delivery of this Due Diligence Questionnaire at any time does not imply that the information contained herein is correct at any time subsequent to the date shown above. No person is authorized to give any information or to make any representation not contained herein, in connection with the matters described herein, and if given or made, such information or representation must not be relied upon as having been authorized by Typhon Capital Management, LLC. PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE. Typhon Capital Management, LLC 1776 N Pine Island Road, Suite 316 Plantation, FL 33322 Date: March 2019 Page 1 of 25 TABLE OF CONTENTS TABLE OF CONTENTS 2 BACKGROUND 3 FUND INFORMATION 9 MANAGED ACCOUNTS INFORMATION 10 PERFORMANCE & STATISTICS 11 METHODOLOGY 13 PORTFOLIO & ACCOUNTS 18 EXECUTION & TRADING 19 RISK MANAGEMENT 20 RESEARCH 22 ADMINISTRATION, OPERATIONS AND FEES 23 LEGAL 24 Page 2 of 25 BACKGROUND ORGANIZATION Company name: Typhon Capital Management, LLC Form of organization: Limited Liability Corporation Address: 1776 N. Pine Island Road, Suite 316, Plantation, FL 33322 Telephone: 312.836.1180 Website: www.typhoncap.com Name of contact: Mr. -
Proposed Rule
Vol. 76 Friday, No. 29 February 11, 2011 Part V Commodity Futures Trading Commission 17 CFR Part 4 Securities and Exchange Commission 17 CFR Parts 275 and 279 Reporting by Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors on Form PF; Proposed Rule VerDate Mar<15>2010 21:44 Feb 10, 2011 Jkt 223001 PO 00000 Frm 00001 Fmt 4717 Sfmt 4717 E:\FR\FM\11FEP3.SGM 11FEP3 srobinson on DSKHWCL6B1PROD with PROPOSALS3 8068 Federal Register / Vol. 76, No. 29 / Friday, February 11, 2011 / Proposed Rules COMMODITY FUTURES TRADING Commission, Three Lafayette Centre, Web site (http://www.sec.gov/rules/ COMMISSION 1155 21st Street, NW., Washington, DC proposed.shtml). Comments are also 20581. available for Web site viewing and 17 CFR Part 4 • Hand Delivery/Courier: Same as printing in the SEC’s Public Reference RIN 3038–AD03 mail above. Room, 100 F Street, NE., Washington, • Federal eRulemaking Portal: http:// DC 20549 on official business days SECURITIES AND EXCHANGE www.regulations.gov. Follow the between the hours of 10 a.m. and 3 p.m. COMMISSION instructions for submitting comments. All comments received will be posted ‘‘Form PF’’ must be in the subject field without change; we do not edit personal 17 CFR Parts 275 and 279 of comments submitted via e-mail, and identifying information from clearly indicated on written submissions. You should submit only [Release No. IA–3145; File No. S7–05–11] submissions. All comments must be information that you wish to make RIN 3235–AK92 submitted in English, or if not, available publicly. -
Dark Pools and High Frequency Trading for Dummies
Dark Pools & High Frequency Trading by Jay Vaananen Dark Pools & High Frequency Trading For Dummies® Published by: John Wiley & Sons, Ltd., The Atrium, Southern Gate, Chichester, www.wiley.com This edition first published 2015 © 2015 John Wiley & Sons, Ltd, Chichester, West Sussex. Registered office John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex, PO19 8SQ, United Kingdom For details of our global editorial offices, for customer services and for information about how to apply for permission to reuse the copyright material in this book please see our website at www.wiley.com. All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or trans- mitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, except as permitted by the UK Copyright, Designs and Patents Act 1988, without the prior permission of the publisher. Wiley publishes in a variety of print and electronic formats and by print-on-demand. Some material included with standard print versions of this book may not be included in e-books or in print-on-demand. If this book refers to media such as a CD or DVD that is not included in the version you purchased, you may download this material at http://booksupport.wiley.com. For more information about Wiley products, visit www.wiley.com. Designations used by companies to distinguish their products are often claimed as trademarks. All brand names and product names used in this book are trade names, service marks, trademarks or registered trademarks of their respective owners. The publisher is not associated with any product or vendor men- tioned in this book. -
CFTC Proposes Rules Governing Automated Trading
CLIENT MEMORANDUM CFTC Proposes Rules Governing Automated Trading December 22, 2015 AUTHORS Rita M. Molesworth | Deborah A. Tuchman | James E. Lippert The Commodity Futures Trading Commission has proposed broad new regulations governing automated and algorithmic trading.1 The proposed regulations focus on automation of order origination, transmission and execution, and the risks that may arise from that activity. As proposed, Regulation AT would require, among other things, the implementation of pre-trade risk controls at multiple stages along the life-cycle of a trade. Regulation AT would apply to current CFTC registrants that engage in algorithmic trading and potentially also require some currently unregistered entities to register with the CFTC as floor traders if they have direct electronic access to a designated contract market (“DCM”). Regulation AT would also require the National Futures Association (“NFA”) to consider adopting additional membership rules relevant to algorithmic trading. Comments on the proposed rule are due by March 16, 2016. Key Definitions Regulation AT would add or amend certain definitions to CFTC regulations, most notably: “Algorithmic Trading” would generally be defined as trading in any commodity interest on or subject to the rules of a DCM, where (i) one or more computer algorithms or systems determine whether to initiate, modify or cancel an 1 Regulation Automated Trading, 80 Fed. Reg. 78824 (Dec. 17, 2015) (“Regulation AT”). 1 CFTC Proposes Rules Governing Automated Trading Continued order, or make certain other determinations with respect to an order, and (ii) such order, modification or order cancellation is electronically submitted for processing on or subject to the rules of a DCM. -
Informational Inequality: How High Frequency Traders Use Premier Access to Information to Prey on Institutional Investors
INFORMATIONAL INEQUALITY: HOW HIGH FREQUENCY TRADERS USE PREMIER ACCESS TO INFORMATION TO PREY ON INSTITUTIONAL INVESTORS † JACOB ADRIAN ABSTRACT In recent months, Wall Street has been whipped into a frenzy following the March 31st release of Michael Lewis’ book “Flash Boys.” In the book, Lewis characterizes the stock market as being rigged, which has institutional investors and outside observers alike demanding some sort of SEC action. The vast majority of this criticism is aimed at high-frequency traders, who use complex computer algorithms to execute trades several times faster than the blink of an eye. One of the many complaints against high-frequency traders is over parasitic trading practices, such as front-running. Front-running, in the era of high-frequency trading, is best defined as using the knowledge of a large impending trade to take a favorable position in the market before that trade is executed. Put simply, these traders are able to jump in front of a trade before it can be completed. This Note explains how high-frequency traders are able to front- run trades using superior access to information, and examines several proposed SEC responses. INTRODUCTION If asked to envision what trading looks like on the New York Stock Exchange, most people who do not follow the U.S. securities market would likely picture a bunch of brokers standing around on the trading floor, yelling and waving pieces of paper in the air. Ten years ago they would have been absolutely right, but the stock market has undergone radical changes in the last decade. It has shifted from one dominated by manual trading at a physical location to a vast network of interconnected and automated trading systems.1 Technological advances that simplified how orders are generated, routed, and executed have fostered the changes in market † J.D.