Saturday, 4 August 2018

The secrets to OSE option trading and the Canadian interlisted arb

The Kickstarter for "The Accidental HFT firm" closes in twenty-something hours.

The Korean trading will get some more meat on the bone beyond the original piece. We'll have a new meander around how successful trading can work for futures and options at the OSE for the Nikkei-225. This was a feat my old firm failed at after I left. Silly people. It wasn't that hard. We'll talk about the main elements of success for OSE. As a tease, hardware was no help. Tricks were more important than low latency hardware. You'll find out why.

In Canada, the accidental firm struggled to successfully make markets in the first instance. However, a nice solution was dialled in that lead to that accidental 13-and-a-bit per cent of RIM trading in a day from my home office in Duffy's Forest, Sydney. We'll talk about what made the difference. It may be interesting for you.

There will be a few more details on how the implied vol was modelled plus the details on the trading strategy which was used to do over a million index options a day in the KRX. Some people have asked for great technical detail and others have asked to keep it simple, so I'll attempt to break out the technical bits to provide the wanted detail without polluting the stream.

The Zeptonics saga, the development of dedicated hardware, becoming the world's fastest switch, the ATS that nearly was, and the corruption in court we encountered that ultimately sunk it. This includes the drunk appeal judge, the dis-Honourable Judge Gilmour who unusually retired early this year in March 2018. The registrar that refused to step aside and acted in favour of his acquaintances. Judge Michelle Gordon's compromised actions, adultery, political favours, work liaisons, eventual recusal, and then an unjustified appointment to the High Court. An action that was answered before it was served due to the leaking from the court. The court of review that refused to hear about the continual and knowing mendacity from the opposing solicitor Matthew Critchley. Just the tip of the iceberg. Favours, friends, and corruption in the law and the judiciary. No surprises but an interesting, if twisted, tail to the tale. Intriguing for a brief meander, but the book is about trading, not the legal saga.

The good news story about stepping aside from Zeptonics to let an investor take on the old hardware team giving birth to the success of Metamako. We'll hear about the lead-up, but not the details there. That is for others.

We'll hear about risk, strategy adaption and combinations. A brief mention of how to make FPGA market data feeds better, by request, as part of the hardware story. We'll have a fireside chat about market microstructure and what I think makes for a good exchange. It may be worth pointing out some opportunities that still exist in that space.

Life is stranger than fiction sometimes. I hope you will enjoy it.

Happy trading,


1 comment:

  1. Looking forward to this. Happy writing Matt!