Tuesday, 30 December 2014
Throughout my working life the role of middleware has played a crucial part. For many people it’s something of a dark art that is not well understood. This post will set out a description of some use cases, some solutions offered by middleware, a taxonomy of different types of middleware and a forward looking analysis.
A suggestion from a reader was to conduct an analysis of Regulation SCI...
Saturday, 27 December 2014
Quite some time ago I attended a "town hall" meeting for the IT staff for a large financial services company. One of the subjects that was discussed was innovation.
A simple question came up recently in a conversation – how many new Fixed Income trading venues are there? I could not think of anywhere that maintained a comprehensive list, so I decided to try and put something together.
This is a companion piece to the original post "Google, robots.txt and the “Search for Liquidity” from June 2014. If you have some time, read that first. If you have more time, also read this "Bootstrapping, FIIDL and the mesh exchange"
Saturday, 20 December 2014
There is a lot of talk about the current state of fixed income trading and this is something I have looked at on a number of previous occasions:
Monday, 15 December 2014
Orphan Technology refers to the phenomenon where a technology is effectively abandoned by it's owner. This happens in many cases due to mergers and acquisitions - a firm acquires a competitor and then orphans the acquired firm technology portfolio.
Wednesday, 10 December 2014
One of the things I enjoy in life is engineering. Whether that’s a well written piece of code or a well thought out physical implement. In order to understand I try to draw analogies between different types of engineering and so for this post I want to cover the many similarities between the Internet of Things and financial technology, hereafter fintech…
Friday, 5 December 2014
So, for clarity and comparison, let's look at the TCA process per asset class in the "old world", although the focus of this post is only on Fixed Income...
Thursday, 6 November 2014
This is a topic that I have covered a few times already: FIIDL - FIX Interface Definition Language (part two) and FIIDL - FIX Interface Definition Language (part one)
Wednesday, 5 November 2014
Since the late 1990s I've worked with Excel. Typically I've coded up huge VBA code modules, win32 api calls, DDE, RTD, WinForms, interoperability with VB6 and C#, database access, webservice access and integration with financial toolkits such as Reuters, Bloomberg, Factset, S+ and R. I’ve also pushed the user interface and VBA IDE using undocumented functionality and the VBE extensibility library. A very simple observation is that the pace of change within Excel VBA has been pretty slow since 2000. Let’s analyse that assertion…
Monday, 3 November 2014
ETFs are generally seen as being a low risk way to invest in an asset class. This is often stated to be because the assets within the ETF are valued by the market and the ETF manager
[I recommend reading an article on this topic in the Economist of 25th October 2014]
Monday, 27 October 2014
A modest proposal to revolutionise corporate bond trading…
Sunday, 26 October 2014
Saturday, 25 October 2014
The age old topic of buy versus build was raised at the Sydney FIX Conference on 23rd October 2014. I’ll set out my position clearly below, since it’s a complex issue…Let’s first clarify what we mean by the terms “buy” and “build”
I have not written much C# recently but I've had two conversations recently on the topic of RTD Server implementations so I thought I'd try and refresh my memory.
Friday, 17 October 2014
Have a look at the previous post on this topic here. The previous post included the following:
Wednesday, 15 October 2014
Project Neptune, MTFs, SEFs, the central limit order book for corporate bonds and the loch ness monster
As you will no doubt have read, there is another attempt to invigorate the corporate bond market under the title “Project Neptune”. There are good articles on efinancial news and on Bloomberg
Wednesday, 1 October 2014
Working within capital markets nearly always involves working with a lot of different types of data. Some examples from my working life are:
Tuesday, 23 September 2014
It has been widely reported that the ASX will invest $65m in acquiring 49% of Yieldbroker. For the non-Australia-savvy readership I suggest you consider the ASX as a local incumbent stock exchange and Yieldbroker as a Tradeweb-alike.
Thursday, 18 September 2014
I had a phone call from an old acquaintance a while back asking for some advice on the use of Microsoft Excel. In previous lives I have been heavily involved with Excel development such as...
Sunday, 29 June 2014
Having worked my way through numerous laptops over my working life I had been very happy with a small number of vendor products. This blog has a no-name-and-shame policy but some laptops I have used have been hell. And rhymed...
Monday, 23 June 2014
Further to earlier posts here and here I've been asked to clarify how exactly this proposed model would allow FIX sessions to bootstrap from a session layer to the application layer. The original text I wrote had this description:
Monday, 9 June 2014
I had an interesting conversation a few days back with a buy-side figure who will remain nameless. The content of the conversation was wide ranging but focussed on the need for buy-sides to gain access to liquidity in order to operate in an efficient manner. Let’s start from first principles here and establish a paradigm that explains what we see...
Wednesday, 7 May 2014
I've had a number of interesting conversations further to my earlier post on FIDL...
Monday, 28 April 2014
I have performed FIX testing for well over 100 different FIX connections covering equities (single stock, DMA, baskets and algorithms), futures, foreign exchange, fixed income and I've always thought of this as an area where technology has stood still. Conformance testing in 2014 is really no different to conformance testing in 2005 or even earlier.
I have performed FIX testing for well over 100 different FIX connections covering equities (single stock, DMA, baskets and algorithms), futures, foreign exchange, fixed income and I've always thought of this as an area where technology has stood still.
Tuesday, 22 April 2014
Monday, 24 March 2014
Sunday, 23 March 2014
The buy-side OMS market is fragmented but it would be interesting to try and figure out what it's actually worth. This is an attempt at that analysis.
Thursday, 6 March 2014
Previous posts, here, here and here have covered the OMS and EMS world but never the integrated OEMS, a deficit I will cover today. Firstly, the name. OEMS stands for “Order and Execution Management System”. As mentioned, an OMS is inwards looking and an EMS outwards looking. So why merge them into one application and how is that done?
Wednesday, 5 March 2014
Suggestion: it’s directional, asset-class and/or execution style related…
Monday, 3 March 2014
A few years back I recall a decent post on one of my favourite topics, the buy-side OMS/EMS space What do you want an OMS for?