Data: threatening to derail the Algo FX bandwagon?

With Justyn Trenner, Jim O’Hagan, Yaacov Heidingsfeld and Dmitry Bourtov.

First Published: e-Forex Magazine 27 / Algorithmic FX Trading / April, 2007

A supply of granular information such as tick level data is essential to create sophisticated algorithms. However, most FX trading venues do not currently provide market data of sufficient depth, frequency or quality for really advanced modelling. This raises a number of questions including what efforts banks and trading platforms should be making to compile more comprehensive and improved data sets for use in Algorithmic FX applications. Some interbank platforms already sell historical tick data which can be utilised for back testing of strategies and research, which is encouraging. The question remains however, whether a lack of quality data will rapidly dim the current interest surrounding Algorithmic trading for FX. To debate the issue we invite: Jim O’Hagan, Product Manager, FX Market Data, ICAP, Yaacov Heidingsfeld, Chief Operating Officer at TraderTools, Justyn Trenner, CEO and Principal of ClientKnowledge, and Dmitry Bourtov who runs US-based Solaris Market Neutral Fund.If one accepts the...continued

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