Day: 15 May 2018

CTAs Register Narrow Gains in April

The flash estimate for the Barclay CTA Index, compiled by BarclayHedge, indicates a 0.23% gain in April. Year-to-date, the index is down 1.42%.

“New US sanctions targeting Russian oligarchs pushed aluminum prices to six-year highs, while crude oil prices rose to their highest level in four years after threats of US withdrawal from the Iran nuclear deal stoked fears of increasing Mideast instability,” says Sol Waksman, founder and president of BarclayHedge.

The Currency Traders Index gained 0.71% in April, the Discretionary Traders Index was up 0.63%, the Diversified Traders Index added 0.24%, and the Systematic Traders Index rose 0.07%.

Biggs Joins CFH Clearing

CFH Clearing has appointed Andy Biggs as head of liquidity, a newly created role aimed at bringing a stronger analytical focus to its liquidity offering.

In this new role, Biggs will manage CFH teams in London and Hong Kong and will also work in partnership with CFH’s technology team in Copenhagen. His remit includes developing CFH’s liquidity suite, advising clients on the most appropriate tailored liquidity solutions and managing relationships with liquidity providers.

Biggs joins from IS Prime, where he was head of liquidity for the last three years. Prior to that he was in institutional sales roles at both Sucden Financial and ICM Capital.

CME Launches Ether Reference Rate, Real Time Index

CME Group has launched a reference rate for ether, the native cryptocurrency of the Etherium network.

The CME CF Ether-Dollar Reference Rate, which will provide a daily benchmark price in US dollars at 4 pm London time, and CME CF Ether-Dollar Real Time Index, which will allow users access to a real-time ether price in US dollars.

Both the Ether Reference Rate and Ether Real Time Index will be calculated by Crypto Facilities and will be based on transactions and order book activity from two cryptocurrency exchanges: Kraken and Bitstamp.

Thomson Reuters Shifts MTF to Dublin Ahead of Brexit

Thomson Reuters is planning to move its FX Multilateral Trading Facility (MTF) from London to Dublin as a result of Brexit.

In a release issued today the firm says that it has commenced the process of applying to the Central Bank of Ireland (CBI) for authorisation to operate its FX UK’s planned departure from the European Union on 29 March 2019.

The Thomson Reuters MTF – which includes forwards matching and FXall RFQ and dealing – are currently operated by Reuters Transaction Services Limited (RTSL), a Thomson Reuters company incorporated in England and Wales, which is authorised and regulated by the Financial Conduct Authority (FCA).

Taking it One Step Further: Using Machine Learning to Improve Trading

Hasan Amjad, head of algorithmic trading at GAM Systematic Cantab, explains how machine learning tools and techniques have enabled his firm to improve almost every aspect of its trading capabilities.

“It goes all the way really,” he says, “Starting with portfolio construction, all the way to the final trade and the post-trade analytics.”

For example, Amjad points out that machine learning can be used to improve pre-trade analytics by more effectively identifying what kind of trading the firm should be engaging in during current market conditions. He concedes that there are other techniques that enable firms to determine market conditions, but that “machine learning just takes it that one step further by being able to ingest a lot more data and give you the answer”.