Macroeconomic Releases Treasury Auctions Corporate News
Macroeconomic Releases Treasury Auctions Corporate News
Macroeconomic Releases Treasury Auctions Corporate News
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Machine-readable news<br />
as a source of alpha<br />
May 2012, FISD Brazil<br />
Clint Rhea, COO Need to Know <strong>News</strong> (Deutsche Börse Group)
Machine-readable news as a source of alpha<br />
Agenda<br />
� Algo trading today<br />
� Overview AlphaFlash ®<br />
� Trading examples<br />
� Data centres and coding<br />
� NEW: AlphaFlash ® Trader<br />
Deutsche Börse – Market Data & Analytics<br />
2
Algo Trading Survey 2011*<br />
Automated Trader<br />
Data and inputs<br />
� 42% buyside use real time data from instruments<br />
from other asset classes in systematic algos<br />
� 21% buyside use event or machine readable<br />
news in systematic algos<br />
� 14% buyside use sentiment or other derived data<br />
� 9.7% use social media, tweets or other public<br />
internet sources<br />
� 7% use weather or geo-sensory data<br />
� 72% of buyside firms use corporate action data<br />
� 63% of sellside firms use latency metrics for<br />
execution algos, but only 36% of buyside<br />
Deutsche Börse – Market Data & Analytics<br />
Published in Q4 2011, Automated Trader. More than 500 survey respondents (40.08% North America, 19.84% APAC, 36.19% Europe).<br />
3
Algo Trading Survey 2011*<br />
Algo growth by region<br />
Deutsche Börse – Market Data & Analytics<br />
Published in Q4 2011, Automated Trader. More than 500 survey respondents (40.08% North America, 19.84% APAC, 36.19% Europe).<br />
4
Algo trading in Brazil<br />
Where are we?<br />
� High frequency trading is a hot topic in Brazil …<br />
BUT volumes are still limited compared with the<br />
US and parts of Europe<br />
� According to Christian Zimmer, Director of<br />
Quantitative Portfolio Management at Brazilian<br />
bank Itau Unibanco Holding SA currently about<br />
7% of trading volume at Brazilian exchanges is<br />
based on high-frequency programs … BUT he<br />
believes in two or three years, this can reach<br />
20% or 30% of total trading<br />
� The development of algo trading in Brazil is<br />
faster and can leapfrog the mistakes that have<br />
been made in other places<br />
� In January 2012, Deutsche Börse made its algo<br />
news feed AlphaFlash ® available in a data<br />
center in Sao Paulo<br />
Deutsche Börse – Market Data & Analytics<br />
5
AlphaFlash ®<br />
Deutsche Börse’s algo news feed<br />
� Delivers market moving U.S., Canadian,<br />
European, Australian, Chinese and<br />
Japanese macroeconomic data<br />
(employment figures, interest rate decisions,<br />
GDP, housing statistics, etc.) straight from<br />
the original news sources<br />
� Optimized network topology for ultra fast<br />
direct and easy integration into algo trading<br />
applications<br />
� Dedicated team of IT experts and financial<br />
reporters support customers with product<br />
integration and are accessible for customer<br />
feedback<br />
� Developed by Deutsche Börse using the<br />
resources of MNI and Need to Know <strong>News</strong><br />
Deutsche Börse – Market Data & Analytics<br />
AlphaFlash ®<br />
The fastest machine-readable<br />
economic and corporate news<br />
6
AlphaFlash ®<br />
How does it work?<br />
Lockup Starts<br />
Embargo Lifted<br />
Data Distribution<br />
Data Center<br />
Consumption<br />
Trading off<br />
our data<br />
Deutsche Börse – Market Data & Analytics<br />
� AF reporter reviews economic release under embargo in Government Press Room<br />
� AF reporter enters structured data into proprietary AF computer program<br />
� Once embargo is lifted, proprietary program sends out AF data from government<br />
press rooms through our global network<br />
� Data is sent simultaneously to AF data centers around the world<br />
� AF customers consume our data over TCP or multicast cross connect at data center<br />
� AF customer consumes AF feed which is written in a proprietary API<br />
� Within microseconds, AF customers make trades based off our data around the world<br />
7
Trading opportunity<br />
Mini IBOVESPA future reacts to US non-farm payrolls<br />
(9 March 2012)<br />
US Non-farm Payrolls: 227 k<br />
Consensus: 210 k<br />
Better than expected payroll<br />
data lifts Mini IBOVESPA future<br />
11:30 h Brasilia Summer Time<br />
up 52 ticks (260 index points)<br />
US Initial Jobless Claims: 399 k<br />
within seconds<br />
Consensus: 375 k<br />
10:30 h Brasilia Standard Time<br />
311 trades<br />
916 contracts<br />
1,780 trades<br />
5,617 contracts<br />
11:30 h Brasilia Standard Time<br />
Deutsche Börse – Market Data & Analytics<br />
10:30:00 - 10:34:59<br />
Volume / velocity<br />
increase by factor 5.5 !<br />
USD BRL future spikes 60 pips<br />
Source: Bloomberg Market Data<br />
8
Trading opportunity<br />
ITAU UNIBANCO shares drop after US GDP data<br />
(27 January 2012)<br />
US GDP Q4 2011: 2.8 %<br />
Consensus: 3.2 %<br />
Worse than expected US<br />
GDP data hit ITAU UNIBANCO<br />
shares within some seconds<br />
11:30 h Brasilia Summer Time<br />
US Initial Jobless Claims: 399 k<br />
Consensus: 375 k<br />
--- 20 seconds ---<br />
11:30 h Brasilia Standard Time<br />
106 trades<br />
55,800 shares<br />
375 trades<br />
169,900 shares<br />
11:30 h Brasilia Standard Time<br />
Deutsche Börse – Market Data & Analytics<br />
11:30:00 - 11:34:59<br />
Substantial volume increase!<br />
Mini IBOVESPA future down -46 ticks<br />
(230 index points)<br />
163 trades: 11:30:00 Time – 11:30:03 to market<br />
reaction provides<br />
algorithmic trading<br />
opportunities !<br />
Source: Bloomberg Market Data<br />
9
Trading opportunity<br />
EUROSTOXX future reacts to release of Chicago PMI<br />
(30 Sept. 2011)<br />
Chicago PMI Sept 11 at 60.4<br />
Consensus was 55.4<br />
Algos act lightning-fast<br />
on macro indicators<br />
Deutsche Börse – Market Data & Analytics<br />
EuroStoxx future rises from<br />
2152 to above 2160<br />
milliseconds after release<br />
10
AlphaFlash ®<br />
Available data packages<br />
<strong>Macroeconomic</strong> <strong>Releases</strong> <strong>Treasury</strong> <strong>Auctions</strong> <strong>Corporate</strong> <strong>News</strong><br />
AlphaFlash ®<br />
USA Feed<br />
AlphaFlash ®<br />
Canadian Feed<br />
AlphaFlash ®<br />
European Feed<br />
AlphaFlash ®<br />
Asia-Pacific Feed<br />
AlphaFlash ®<br />
The Chicago Report<br />
AlphaFlash ®<br />
US <strong>Treasury</strong> Feed<br />
AlphaFlash ®<br />
Global <strong>Treasury</strong> Feed<br />
Deutsche Börse – Market Data & Analytics<br />
AlphaFlash ®<br />
<strong>Corporate</strong> <strong>News</strong> Germany<br />
11
AlphaFlash ®<br />
Fast data distribution<br />
� Lines and equipment selected for lowest latency possible<br />
� Custom engineered telecommunication lines and equipment<br />
� Proximity hosting near trading centres or news sources<br />
� Chicago<br />
� Washington D.C.<br />
� Secaucus (New Jersey)<br />
� London<br />
� Frankfurt<br />
� Sydney<br />
� Tokyo<br />
� Singapore<br />
� NEW: Sao Paulo<br />
Deutsche Börse – Market Data & Analytics<br />
12
AlphaFlash ®<br />
Coding<br />
� Proprietary binary format that is easy to integrate<br />
� Documentation spec in XML<br />
� Example programs in Java, C++ and C#<br />
� Test message generator<br />
� Easy access to development and IT staff<br />
� Calendar of scheduled events in XML for simple integration<br />
Deutsche Börse – Market Data & Analytics<br />
13
NEW: AlphaFlash ® Trader<br />
Integrates with popular execution platforms<br />
� AlphaFlash ® Trader is a revolutionary trading application that allows users of trading<br />
platforms to automate trading based on economic news<br />
� Intuitive user interface, no programming skills required<br />
� Easy to use ‘drag and drop’ methodology<br />
Deutsche Börse – Market Data & Analytics<br />
� Trading parameters can be configured for each economic indicator prior to release,<br />
allowing instant entry into the market at release time<br />
� Multiple orders can be entered into multiple markets and asset classes simultaneously<br />
� Conformance tested by Trading Technologies to be fully compatible with X_TRADER ® Pro<br />
14
About us<br />
Deutsche Börse Group<br />
� As one of the world’s leading exchange organizations with more than 3000 employees, Deutsche Börse Group provides investors,<br />
financial institutions and companies access to global capital markets<br />
� Germany’s leading stock market and pan-European electronic trading platform Xetra® as well as one of the world’s leading<br />
derivatives market Eurex® are operated by Deutsche Börse Group<br />
� The Group’s business covers the entire process chain from securities and derivatives trading, clearing, settlement and custody, the<br />
development of electronic trading systems, to providing high quality market data.<br />
MNI<br />
� Market <strong>News</strong> International (MNI), a wholly owned subsidiary of Deutsche Börse Group, is a leading real-time news agency dedicated<br />
to providing global capital markets with trading relevant information<br />
� Founded in 1983, MNI is one of the few real-time financial news agencies with press credentials recognized by the White House,<br />
both US houses of Congress, the Fed, the Bundesbank, the ECB, as well as by the governments and central banks of all G-7 nations<br />
� Market <strong>News</strong> International has 90 employees in offices across Europe, Asia and the United States<br />
� MNI was acquired by Deutsche Börse Group in December 2008<br />
Need to Know <strong>News</strong><br />
Deutsche Börse – Market Data & Analytics<br />
� Need to Know <strong>News</strong> (NTKN), a business entity of Deutsche Börse Group, is a US financial news agency and leading provider of<br />
algorithmic news<br />
� Founded in 2004, NTKN is currently accredited to report from key economic institutions in the US, Canada, Germany, UK and various<br />
other European countries<br />
� NTKN was acquired by Deutsche Börse Group in November 2009<br />
15
Contact details<br />
Clint Rhea<br />
Chief Operating Officer<br />
Need to Know <strong>News</strong> (Deutsche Börse Group)<br />
+1-312-663-7325<br />
clint.rhea@ntkn.com<br />
www.alphaflash.com<br />
Deutsche Börse – Market Data & Analytics<br />
16
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