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List subscribers may be interested in developments in this direction made by
PATS Ltd. (in which I'm a shareholder). Personal Automated Trading Systems
has developed an order routing system that connects the trader direct to the
DTB. The trading application receives real time prices, showing best bid and
offer, size on the bid and offer and accumulated volume traded at the last
price. There is also a Depth of Market screen which shows the 10 best bids
below and offers above the market. Orders can be entered with a single mouse
click, and are then passed through a risk management program in the broker's
office, which checks each order against predefined limits before
transmitting the resulting "clean" orders direct to the exchange computer in
Frankfurt.
The trading application tracks the status of the order at all times, so the
trader knows his order has been received by the broker system, by the
exchange, filled, partially filled, cancelled, or whatever. Fills on market
orders are immediate. Fills from resting orders and stops take longer to
come out of the DTB computer but the trader can query the system to check
for any such fills.
The system produces a real time P&L in the currency of both the contract
traded and the account base. All working, filled and cancelled orders are
shown, all time stamped at each stage of the transmission process.
Connection can be via any network medium including the internet. We also
have
a version which runs on a PDA using digital packet radio. We have traders
trading DTB products from all over the world. On one heavy volume day a
couple of weeks ago, 6% of the volume in the Bund was done through our
system.
Currently we have one gateway to the DTB, but we will soon be adding NSC VF
(the French exchange which will include Globex 2 ), and also have plans for
links to a number of other exchange systems.
There is absolutely no question that this approach ( or some variation of
it) is the future. The amount of control I now have over my trades is vastly
increased. Speed of execution is now much faster than when I used to trade
Bunds on LIFFE, and that was using a direct line to the broker's booth right
by the pit. I also have a
whole range of other trading information right in front of me.... e.g.
position, P&L, and trade histories . But the simple fact is, I can now trade
a pre configured size in either direction with a single mouse click. I am in
the electronic pit.
Someone commented that electronic markets don't have enough volatility. I
suggest you have a look at the DAX. The tick size is DEM 100 (USD 55 ish)
and the market is currently producing daily ranges of somewhere between 90
to 200 points. Volume averages about 30,000 a day so there's still plenty of
room for everyone.
Iain Bell
ibell@xxxxxxxxxxxxxx
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