Algorithmic Trading
In 2006 at the London Stock Exchange, over 40% of all orders were entered by algo traders, with 60% predicted for 2007. American markets and equity markets generally have a higher proportion of algo trades than other markets, and estimates for 2008 range as high as an 80% proportion in some markets.
Foreign exchange markets also have active algo trading (about 25% of orders in 2006). Futures and options markets are considered to be fairly easily integrated into algorithmic trading with about 20% of options volume expected to be computer generated by 2010. Bond markets are moving toward more access to algorithmic traders.
Communication Standards
FIX Protocol LTD is a trade association that publishes free, open standards in the securities trading area. Members include virtually all large and many midsize and smaller broker dealers, money center banks, institutional investors, mutual funds, etc. This institution dominates standard setting in the pretrade and trade areas of security transactions. In 2006-2007 several members got together and published a draft XML standard for expressing algorithmic order types. The standard is called FIX Algorithmic Trading Definition Language (FIXatdl). Currently targeting 2009 for final release, FIXatdl is now in broad beta testing with the following firms participating: Barclays, Bloomberg Tradebook, Cheuvreux, Citigroup, Deutsche Bank , Credit Suisse, Fidelity Investments, Goldman Sachs, ITG, JPMorgan Chase, Merrill Lynch, Morgan Stanley, NeoNet, Pragma@Weeden, and UBS AG.
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QuantLib
A free/open-source library for quantitative financeThe QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/opensource library for modeling, trading, and risk management in real-life. Appreciated by quantitative analysts and developers, it is intended for academics and practitioners alike, eventually promoting a stronger interaction between them. QuantLib offers tools that are useful both for practical implementation and for advanced modeling, with features such as market conventions, yield curve models, solvers, PDEs, Monte Carlo (low-discrepancy included), exotic options, VAR, and so on.
StreamBase : Stream Processing Engine
Growing volumes of real-time data in capital markets, the federal government, e-Business, and other sectors are overwhelming existing infrastructures. The StreamBase Event Processing Platform is high-performance software for rapidly building systems that analyze and act on real-time streaming data. With StreamBase, organizations rapidly build real-time systems that can generate millions of dollars in new profits and are deployed at a fraction of the cost and risk of alternatives.
StreamBase Studio™, one of three components of the StreamBase Event Processing Platform, is a powerful Eclipse-based integrated development environment (IDE) which enables developers to design real-time applications using the industry's first and only graphical event-flow language (StreamSQL EventFlow). Studio users can also write applications in the standards-based StreamSQL text language--the leading SQL extension for streaming data. Development is typically cut to a fraction of the time compared to custom-coding or other alternatives. Studio provides rich user interface support for the full application lifecycle, spanning feed integration, application modeling, development, stream recording/playback, testing, debugging, and integration with downstream systems and dashboards.
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