Articles related to algo trading and software tools aiding automated investment operations.

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Free version of Algorithmic Trading Platform for retail investors

We have just released beta of Empirica – Algorithmic Trading Paltform for retail investors! It’s lifetime free for development, testing and optimizing of trading algorithms.

Our development team (exactly this team who implemented the entire system) also provides full support in algorithms development as well as connectivity to brokers. If you need help just contact us.

Among many features what is unique is our exchange simulation where you can influence market conditions under which you test your algorithms. No others software offers such a realistic level of simulation.

In paid versions we offer the execution of algorithms in robust server side architecture.

We strive for your feedback!

Best regards,

Michal Rozanski
Founder and CEO at Empirica
twitter: @MichalRoza
https://empirica.io


Empirica Trading Platform – https://empirica.io

Our platform implemented by large brokerage house!

Empirica has successfuly finished the implementation of its Algorithmic Trading Platform in one of the largest brokerage houses in Poland.

Brokerage house will use our software to:

  • aid its internal trading operations, like market making of derivatives on Warsaw Stock Exchange
  • offer functionalities of our platform to its institutional clients, which will be able to build, test and execute their own algorithmic trading strategies

Implementation included connecting of our software system directly to the system of Warsaw Stock Exchange (Universal Trading Platform delivered by NYSE Technologies), as well as the integration with transaction systems of brokerage house. Additionally we have fulfilled and successfuly passed tests regarding the highest security, stability and performance requirements.

This implementation is an important milestone for our system. The usage by team of market makers is a proof that our system is capable of performing high-throughput and low latency operations on level required by most sophisticated traders on the capital marketets.

 

Next release of our algorithmic platform. Version 1.3.4 – has code name “The Firebolt”.

Next implementations of our Algorithmic Trading Platform by customers don’t stop us from developing the platform itself. Working agile requires us to keep the pace in short and frequent iterations, which in case of product means frequent releases, keeping the whole product line stable.

A few iterations that we planned in our 1.3.4 release, code named by our developers ‘The Firebolt’, will include among others:

– even faster real-time replication of all server-side components in master-slave mode (for deployment in larger institutions)

– extended client side backtesting capabilities

– sophisticated charting of backtesting results and statistics

– multiscreen mode of client side application

– additional web-based server-side module for administration & management

 

For those curious about the release name and unfamiliar with Harry Potter, Firebolt is:

“The state-of-the-art racing broom. The Firebolt has unsurpassable balance and pinpoint precision. Aerodynamic perfection.”
—Harry Potter: Quidditch World Cup

“The Firebolt has an acceleration of 150 miles an hour in ten seconds and incorporates an unbreakable Braking Charm. Price upon request.”
—Harry reads about the features of the Firebolt.

Speed, precision, balance, perfection. These are the words that describe our software, therefore choosing the code name was kind of obvious :).

 

The Firebolt broom

Warsaw Stock Exchange certifies our Trading Platform

 

Empirica’s Algorithmic Trading Platform has successfully passed the XDP protocol communication certification, issued by the Warsaw Stock Exchange.

From now on Empirica is officially listed as the ISV (Independent Software Vendor) for the Warsaw Stock Exchange.

WSE uses Universal Trading Platform delivered by NYSE Technologies. The same system is used by many other European and world stock exchanges. Fulfilment of technical criteria of Warsaw Stock Exchange makes certification for those markets only a formality for our platform.

Empirica in the press – ‘The age of robots … ‘

On the first of July 2014 large polish economic magazine Puls Biznesu published an article “The age of robots comes to Warsaw Stock Exchange’. Article is quoting, among others, Empirica’s representatives speaking on the topic of the growth of algorithmic trading in Poland. Excerpts below.

‘Popularization of algorithmic trading on conferences like this one is step in good direction, says Michal Rozanski CEO of Empirica, a company which delivers Algorithmic Trading Platform. Expert says that computers will never replace a human in all the tasks. First and the foremost machines are taking over the processes that human traders had to perform manually. ‘I am sure that the development of algorithmic trading will not change the soul of the markets. It will not change to the race of engineers. It is and always has been the race on new, better ideas.’ says Michal Rozanski. 

 In his opinion both small and big investors will benefit. ‘Appliance of algorithmic trading tools increases liquidity and descreases bid/ask spreads which in turn decreases transaction cost born by all investors’ adds expert.

Michal Rozanski stresses that appliance of algorithmic trading does not limit to transactions with shortt time horizon, e.g. counted in miliseconds. Each trader can designs algorithms adjusted for it’s own requirements. ‘Let’s imagine an investor who would like to open a large position on KGHM shares or futures on WIG20. To make it happen it’s best to divde the order to tens or hundreds of smaller orders, which allows to hide her intentions from other market participants. Investor remains anonymous and minimizes market impact of her large order.’ explains Michal Rozanski. 

‘I am convinced that development of algorithmic trading can be a breakthrough moment in the history of our market, as long as we will treat the matter seriously and deliberately. On Wall Street share of algorithms in total turnover is estimated at 50%, in Europe at 40%, and in Poland still at below 20%. ‘ says Adam Maciejewski, CEO of Warsaw Stock Exchange.

Link to article…

artykul_pb_era_robotow

Empirica holds workshop on Warsaw Stock Exchange

Algorithmic trading workshop took place on 27th of July 2013 as a part of the second conference held by economic magazine ‘Puls Biznesu’ and Warsaw Stock  Exchange.

Michał Różański, representing Empirica, held workshop on the practical aspects of selecting tools for algorithmic trading by financial institutions. He stressed and covered in detail, especially one aspect of algorithmic trading which is from our practical experience constantly undervalued – namely proper testing of algorithms.

Very interesting was also a lecture of Emil Lewandowski who showed an algorithm which was able to detect a flash crash an hour before it actually happened. Algorithm was implemented, backtested, executed and presented to all the participants our Algorithmic Trading Platform. It was indeed very interesting example of application of algorithmic trading!

Among other guest were representatives from IBM, Sungard, List and M10.

Link to event:

http://konferencje.pb.pl/konferencja/705,handel-algorytmiczny-cz-ii

Empirica with lecture at ‘Algorithmic Trading Conference’

Conference on the subject of ‘Algorithmic Trading’ was held at Warsaw Stock Exchange headquarters on the 28th of February 2013. The event was open by the WSE president, Adam Maciejewski. Among the invited guests were:

  • Peter Van Kleef, Lakeview Capital president
  • Michal Rozanski, CEO of Empirica
  • Andrzej Endler, CEO of M10
  • Michal Kobza, Warsaw Stock Exchange.

Michal Rozanski from Empirica made lecture on topic ‘Tools supporting financial institutions in algorithmic trading’. He showed not only common functionalities and architectures of available solutions, but also talked about practical aspects of hard decision every financial institution faces – to build software tools by own IT department or to buy from external vendors.

Very interesting was lecture held by Peter Van Kleef. Among other topics he shared his experiences from high frequency trading and how it has changed during last years.

We have informations that organizators intend to prepare soon another event relating to topic of algorithmic trading.

Link: GPW conference

Basics of High Frequency Trading

Nanex’s High Frequency Trading Model (Sped Up)

Nanex released a video showing the results of half a second of worldwide high frequency trading with Johnson and Johnson stock. I simply sped up the footage to get a better feel of what it looked like. Blow Your Mind.

High frequency trading in action

CNN’s Maggie Lake gets a rare look inside the super-fast trading industry.

High Frequency Trading Explained (HFT)
Dave Fry, founder and publisher of ETF Digest, and Steve Hammer, founder of HFT Alert, discuss high frequency trading operations, fundamentals, the difference between algorithmic trading and high frequency trading, fluttering, latency and the role high frequency trading had in the May stock market flash crash in 2010.
 
TEDxNewWallStreet – Sean Gourley – High frequency trading and the new algorithmic ecosystem

Dr. Sean Gourley is the founder and CTO of Quid. He is a Physicist by training and has studied the mathematical patterns of war and terrorism. He is building tools to augment human intelligence.

Watch high-speed trading in action

Citadel Group, a high-frequency trading firm located in Chicago, trades more stocks each day than the floor of the NYSE.

Wild High Frequency Trading Algo Destroys eMini Futures

One of the scariest high frequency trading algos ran in the electronic S&P 500 futures (eMini) contract on January 14, 2008 starting at 2:01:11Eastern. During its 7 second reign, there were over 7,000 trades (52,000 contracts), and the price eventually oscillated within milliseconds, the equivalent of about 400 points in the Dow Jones Industrial Average!


HFT trading ideally must have the lowest possible info latency (time delays) and the maximum potential automation level. So participants prefer to trade in markets with high levels of integration and automation capacities in their trading platforms. These include NYSE NASDAQ, Direct Edge and BATS.
HFT is controlled by proprietary trading firms and spans across multiple securities, including equities, derivatives, index funds and ETFs, currencies and fixed income instruments.For HFT, participants want the following infrastructure in place:
– High speed computers, which need costly and regular hardware upgrades;
– Co-location.
– Real time data feeds, which must avert even the delay which could affect profits; and of a microsecond
– Computer algorithms, which are the heart of HFT and AT.

Benefits of HFT
– HFT is beneficial to traders, but does it help the total marketplace? Some market that is overall gains that HFT assistants cite contain:
– Bid-ask spreads have reduced due to HFT trading, making markets more efficient. Empiric evidence contains that after Canadian authorities in April 2012 imposed fees that deterred HFT, studies indicated that “the bid-ask spread rose by 9%,” possibly due to diminishing HFT trades. And thus facilitates the effects of market fragmentation.

– HFT assists in the price discovery and price formation process, as it is centered on a high number of orders (see related: How The Retail Investor Profits From High Frequency Trading.)