Underpricing Liquidity FX e-Commerce FX Algorithmic Trading FOCUS on Asset Managers

132 Pages·2006·6.57 MB·English

e-
e -
FOREX
april 2005
F O R E X
e-
FOREX
transforming global foreign exchange markets
visit us at www.e-forex.net
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liquidity...risk management...STP...e-Commerce
...liquidity...risk management...STP...e-Commerce...
liquidity...risk management...STP...e-Commerc
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(cid:83)(cid:69)(cid:82)(cid:86)(cid:73)(cid:67)(cid:69)(cid:0)(cid:65)(cid:78)(cid:68)(cid:0)(cid:73)(cid:78)(cid:70)(cid:79)(cid:82)(cid:77)(cid:65)(cid:84)(cid:73)(cid:79)(cid:78)(cid:0)(cid:84)(cid:72)(cid:82)(cid:79)(cid:85)(cid:71)(cid:72)(cid:0)(cid:73)(cid:84)(cid:83)(cid:0)(cid:87)(cid:69)(cid:66)(cid:83)(cid:73)(cid:84)(cid:69)(cid:26)(cid:0)(cid:87)(cid:87)(cid:87)(cid:14)(cid:83)(cid:65)(cid:88)(cid:79)(cid:66)(cid:65)(cid:78)(cid:75)(cid:14)(cid:67)(cid:79)(cid:77)
(cid:51)(cid:33)(cid:56)(cid:47)(cid:0)(cid:34)(cid:33)(cid:46)(cid:43)(cid:0)(cid:33)(cid:15)(cid:51)(cid:0)(cid:0)(cid:76)(cid:0)(cid:0)(cid:51)(cid:77)(cid:65)(cid:75)(cid:75)(cid:69)(cid:68)(cid:65)(cid:76)(cid:69)(cid:78)(cid:0)(cid:18)(cid:0)(cid:0)(cid:76)(cid:0)(cid:0)(cid:36)(cid:43)(cid:13)(cid:18)(cid:24)(cid:18)(cid:16)(cid:0)(cid:39)(cid:69)(cid:78)(cid:84)(cid:79)(cid:70)(cid:84)(cid:69)(cid:0)(cid:0)(cid:76)(cid:0)(cid:0)(cid:36)(cid:69)(cid:78)(cid:77)(cid:65)(cid:82)(cid:75)(cid:0)(cid:0)(cid:76)(cid:0)(cid:0)(cid:52)(cid:69)(cid:76)(cid:69)(cid:80)(cid:72)(cid:79)(cid:78)(cid:69)(cid:0)(cid:11)(cid:0)(cid:20)(cid:21)(cid:0)(cid:19)(cid:25)(cid:0)(cid:23)(cid:23)(cid:0)(cid:20)(cid:16)(cid:0)(cid:16)(cid:16)(cid:0)(cid:0)(cid:76)(cid:0)(cid:0)(cid:87)(cid:87)(cid:87)(cid:14)(cid:83)(cid:65)(cid:88)(cid:79)(cid:66)(cid:65)(cid:78)(cid:75)(cid:14)(cid:67)(cid:79)(cid:77)(cid:0)(cid:0)(cid:76)(cid:0)(cid:0)(cid:73)(cid:78)(cid:70)(cid:79)(cid:32)(cid:83)(cid:65)(cid:88)(cid:79)(cid:66)(cid:65)(cid:78)(cid:75)(cid:14)(cid:67)(cid:79)(cid:77)
welcomee t-oForex
Spring 2005
One of the growing challenges we face in publishing this
magazine is trying to provide the latest and most Susan Rennie Alan Southam
comprehensive eFX business and technology information [email protected] [email protected]
Managing Editor Subscriptions Manager
for an increasingly diverse readership amongst the global FX
market. Ranging from banks and the inter-bank market, from Charles Jago Louis Riley
corporate treasurers to private retail FX traders, from the [email protected] [email protected]
Editor (FX & Derivatives) Features Manager
professional trading community (PTC) who include fund
managers, CTA’s and hedge funds to trading technology and OMS Charles Harris Anthony Bannan
[email protected] [email protected]
vendors. The list seems to go on and represents a quite
Advertising Manager Commercial Manager
astonishing number of different participants.
Helen Rochford Helen Murray
[email protected] Photography
In his article in this edition, Peter D’Amario picks up on this Production Manager
diverse nature of the eFX market when remarking that it is the
unique needs of FX customers which is serving to explain why ASP Media Ltd
the eFX market has yet to witness a long-predicted consolidation, Wing of the Hill, Northend,
Batheaston BA1 8EN
and why, by contrast, the ranks of electronic trading service
United Kingdom
providers continue to expand. He believes we are now witnessing Tel:[phone] (Main)
Tel:[phone] (e-Forex)
in the FX market what should probably be termed a redefinition,
Fax:[phone]
as opposed to consolidation. This is evidenced by new providers
customizing their business models to serve segmented markets Design and Origination:
Phill Zillwood Design Works
such as hedge funds and retail customers.
[email protected]
Printed in the UK by Broglia Press
Certainly there was talk of consolidation last month after the
e-Forex (ISSN 1472-3875)
demise of Centradia, but it’s interesting that contrary to industry is published quarterly in
opinion, Celent believes there is room for all the existing multi- January, April, July and October
www.e-forex.net
dealer platforms. Their sustainability and growth would be driven
not only by increasing trading volumes and e-trading but also Subscriptions
Subscription rates (including postage)
due to the many different types of FX customer for the platforms
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to target which therefore reduces the head-to-head competition Overseas: £150 per year
which is seen in other markets. Who could say what would Please call our subscription department for further details:
happen however, if a centralised, market-wide trading system Subscriptions hotline: [phone]
were to become properly established.
Although every effort has been made to ensure the
accuracy of the information contained in this publication
We look forward to meeting you at the forthcoming 44th ACI the publishers can accept no liabilities for inaccuracies
that may appear. The views expressed in this publication
World Congress in Stockholm and as usual hope you enjoy this
are not necessarily those of the publisher.
edition of the magazine.
The entire contents of e-Forex are protected by copyright
and all rights are reserved.
Charles Jago
Editor
Godfried De Vidts Edward Pla
50 years of ACI Underpricing Liquidity
Companies and organisations in this issue:
A I
ABN AMRO page 127 IFX Markets page 19
ACI page 22 INDATA Systems page 103
ACM page 81 Integral
ACT page 20 Development Corp page 11
Advanced Financial
Engineering page 103
J
Advent page 103
J.P Morgan page 73
AIG Trading page 18 Peter D'Amario David Mallinder
Apama page 73
Avecia Ltd page 7 L e-Forex growth FX e-commerce & beyond
Latent Zero page 72
B Lava Trading page 87
Bank of England page 20 Linedata Services page 103
Banc of America
Securities page 73 M
Bank of Tokyo-Mitsubishi page 8 Macgregor page 103
Barclays Capital page 6 Mellon Financial page 7
Baxter Solutions page 27 McElhannon Group page 12
BIS page 80 MG Financial page 14
Bloomberg page 57 Microsoft page 62
BNP Paribas page 9
Miletus Trading page 103
British Bankers
Misys page 10
Association page 20
Brown Brothers Harriman page 41
N
C NFA page 14
Calyon page 45 Nordea page 21
Celent Communications page 32
Centradia page 32 P
Charles River Portware page 103
Development page 106 PriceWaterhouseCoopers page 20 Peter Harwood Brian Maccaba
Chicago Mercantile Principal Search page 48 FX Recruitment Price distribution
Exchange page 84
Citibank page 6 R
CFTC page 14 Radianz page 64
CMC Inside RBS Financial Markets page 110
Back Cover
Refco Capital Markets page 75
Cognotec page 33
Reuters page 34
Commerzbank page 58
Currenex page 15
S
D SAP page 42
Danske Bank page 67 Saxo Bank Inside
Deutsche Bank page 28 Front Cover
DST International page 103 SEB page 18
SmartTrade page 79
E Standard Chartered Bank page 31
EBS pages 4 & 5 State Street Global
eSignal page 115 Markets page 17
eSpeed page 52 Stentra page 60
Eurobase Systems page 38 Summit Systems page 97
Euromoney page 8
SuperDerivatives page 16
Eze Castle Software page 103 SWIFT page 66 Mitchell D. Mittman Katrin Lütjens
F Swissforex page 16 FX Algorithmic Trading White Labelling Surgery
FFastFill page 16 Synthesis Bank page 118
Financial Models page 103
Flextrade page 103 T
FXall page 23 Telerate page 51
FXCM page 89 360T Treasury Systems page 90
FX Concepts page 98 Towergroup page 72
FX Engines page 12 TNS page 76
Tradertools page 46
G Tradingscreen page 72
GAIN Capital page 105 Traiana page 18
Global Forex Trading page101 Townsend Analytics page 88
GL Trade page 103
TWIST page 66
Greenwich Associates page 28
U
H UBS Outside
Handelsbanken page 71 Back Cover
Heidelberger
Druckmaschinen AG page 42 W
HotspotFX page 13 Wachovia page 63
Scott Owens Andrew Kidd
HSBC page 92 Wall Street Systems page 14
Historical Testing e-Forex Interview
2 april 2005 e-FOREX
contents
April 2005
Foreword 72. Algorithmic trading – FX market perspectives
Heather McLean gathers some industry views on the
22. Looking forward to the next 50 years of ACI future of Algorithmic trading in the FX markets.
Godfried De Vidts, President of the ACI, looks at why
2005 is an important year for the ACI as it celebrates
76. Extranets: Providing a secure framework for eFX
its 50th anniversary.
Alan Schwartz considers the two basic network
Leader options for electronic FX trading, the standard Internet
and secure Extranets.
24. Underpricing Liquidity – ePlatforms increasing
systemic risk 80. SPOTLIGHT - Automating FX Give-Ups in an
Edward Pla talks about the debate surrounding FX Electronic Age
Liquidity and why it’s heating up.
Features 84. CME FX on Reuters - Combining the best of two
worlds
28. Could the expansion of EBS Prime unleash a new Rick Sears examines the potential impact of bringing
phase of e-Forex growth? the two largest pools of buyers and sellers into one
While EBS Prime is some way from establishing itself unified trading environment.
as a true buy-side system, the implications of its
possible success cannot be overstated argues Peter 88. VIEWPOINT- Open Access and unbiased flexibility
D’Amario. for Forex Traders sets RealTick® apart
Underpricing Liquidity
32. Trends in the electronic cash Foreign Exchange 90. SURGERY– FX White Labelling – questions from
markets the sell-side
Jodi Burns outlines how the forex market is going
through many of the exciting market trends seen in 98. IT Integration of FX Electronic trading platforms:
more developed asset classes such as equities and the impact on the buy-side
fixed income. Kelly Adams looks at the proliferation of buy-side
electronic FX platforms and how this is creating some
34. How the FX e-commerce shopping basket is major integration challenges on the IT side .
changing
Mark Redwood describes how banks are now faced 120. Historical Testing – Leveraging online tools for
with a new set of decisions that will have significant more consistent FX Trading
impact on their future position in the marketplace.
Scott Owens examines how automated trading
systems now allow the trader to construct custom
38. FX-e Commerce & beyond – Providing Treasurers
strategies for attacking the market with consistency
with more than just execution tools
and discipline.
For corporate treasurers, e-commerce is moving E-commerce shopping basket
towards providing a holistic set of products and
124. LOG-OFF - Improving connectivity between the
services. David Mallinder shows how this isn’t limited
trader and the market
to just FX price discovery and execution.
The e-Forex Roundtable
42. Case Study- e-Forex talks with Bernd Hampele,
Senior Project Manager, and Bernd Bublies, 92. Single bank platforms – offering clients innovative,
Head of Front Office, at Heidelberg-based multi-product capabilities
Heidelberger Druckmaschinen AG. 5 major FX banks debate questions on this key topic
48. Global FX Recruitment: How is e-Commerce FOCUS – eFX & Asset Managers
shaping the future?
Peter Harwood examines how e-business is affecting 102. Trading Technologies: Competition drives decline
the pattern of Global FX recruitment. in prices
Denise Valentine looks at how technology vendors are
54. Real-time transactions, real life issues targeting asset managers and the resulting impact
Brian Maccaba looks at how banks are approaching that greater access to automation and external FIX and FX trading
the challenges and opportunities of price-distribution connectivity is having on more of them.
in a new foreign exchange trading environment.
106. FX Automation: It’s not about “electronic” it’s
60. API’s boosting access to eFX solutions about “workflow”
James Kemp takes a look at the growing importance The key is for asset managers and technology
of API’s and the benefits that both buy and sell-side providers to partner and leverage technologies says
derive from them. Richard Enfield which will help create an
implementable workflow.
64. FIX – aiming to improve the FX Trading process
Chris Pickles discusses how FIX will enable change
110. FORUM: eFX – adding value to the investment
and increased efficiency within the FX industry.
management process
4 major players discuss the main issues
68. e-FX paves the road for FX Algorithmic trading
The advent of e-FX has made Algorithmic trading The e-Forex interview
possible in the FX world. Mitchell Mittman highlights
the increasingly important role Algorithmic trading 127. With Andrew Kidd, Executive Director, European Extranets versus the Internet
will play in FX. Head of FX eClient Development at ABN AMRO.
april 2005 e-FOREX 3
EBS®™ Prime
The level playing fi eld
just got wider.
Are you part of it?
Greater liquidity, wider community and better rates – exclusively through
the growing network of EBS Prime banks.
EBS®™, EBS®™ Prime and the EBS logo are trademarks of EBS Group Limited and are registered in a number of countries with applications pending in others.
EBS Prime banks:
Find out more about EBS Prime.
Go to www.ebs.com
news
Citigroup
releases enhanced
CitiFX® White Label
Barclays Capital Citigroup have announced the release of a new version of CitiFX®
introduces
White Label. This latest version will provide enhanced liquidity
routing for forward outrights, a new credit limit API and new
additional decimal places
functionality to manage trade breakouts and spreads. The bank has
also expanded their customer management functionality.
Barclays Capital has introduced additional decimal places across its
e-FX products. Precision pricing is a pioneering move designed to
reflect prices more accurately and will give clients more flexibility
on pricing decisions. Where previously all banks were making the
same spread, Barclays Capital will now be able to shade prices by
increments of a pip. The extra decimal place will be represented as
a small figure for clarity. The firm will also be using these prices on
multibank portals and FIX API connections which will be switched
on as and when the channels allow this format.
The Citigroup White Label solution offers a host of benefits
including a very extensive range of currencies available 24 hours a
day; a functionally-rich and very flexible technology platform that
can be customised to meet different partner bank requirements;
The currency pairs included in Precision pricing include EUR/USD,
pricing into multi-bank portals; specially designed screens and
GBP/USD, EUR/GBP, USD/JPY, EUR/JPY, USD/CHF and EUR/CHF.
functionality for end clients, sales teams and traders.
Trading models now live on
Asset Managers’ volume on
BNP Paribas
FX Portal
FXall
grows by 146%
BNP Paribas FX Strategy Technical Trading Models are now
available live on the BNP Paribas FX Dealer Portal, providing FXall has revealed that trading by asset managers in 2004 had
customers with live trading signals on 19 currency pairs, including increased 146% to $1.036 trillion. FXall’s overall volumes in 2004
emerging market currencies as well as the majors and euro reached $4.9 trillion, up 104% from 2003. The company also reports
crosses, 24-hours a day. The trading models can be used for that its total number of asset manager clients has risen to 135.
hedging, overlay or trading purposes.
Extensive statistical performance analysis has also been recently
added, providing the capability to track the performance of
individual currency pairs or a portfolio - detailed performance
history since 2001 is available on the FX Dealer website. The These clients manage estimated total funds of $15 trillion,
performance statistics can be examined on a monthly or annual representing a high proportion of the funds under management in
basis and provide not only detailed analysis of returns, but also risk the global investment industry. The average trade size on FXall has
analysis information. Automatic e-mail notification of changes to risen 83% in the last year as asset managers push higher volumes
the trading model positions and signals is also available. through the platform.
6 april 2005 e-FOREX
news
Global Link
releases
Competitive Swaps module
RBS
Major deal using FiX Global Link, the e-finance platform of State Street Global Markets,
has recently released a Competitive Swaps enhancement to their
The Royal Bank of Scotland Financial Markets (RBS Financial Markets) award winning eFX execution platform, FX Connect. This new
in conjunction with RBS Structured Finance has transacted a € 495 release is now being rolled out to the FX Connect user community
million foreign exchange deal for Avecia Ltd, a leading fine and which includes buyside clients as well as 45+ liquidity providers in
speciality chemicals company, using the bank’s RBS FiX electronic over 130 dealing locations worldwide.
trading system. Avecia was undertaking the sale of its main business
unit, NeoResins, based in Holland, generating euro receivables.
The module allows clients to request a single or two-way price from
up to 4 banks simultaneously. Consistent with other trading on FX
Connect, clients can enter swaps of any currency pair or size, and
also any style, such as Fwd\Fwds or mismatches. In keeping with
Avecia decided to transact the deal using RBS FiX system, which market convention, banks can initially price using just the points, or
generates foreign exchange benchmarks. This provided them with both spot and points.
a transparent market benchmark price that is independently
audited and published to the market.
Calyon
selects Reuters to
Mellon deliver FX trading platform
enhances IDeal Forex
Calyon has selected Reuters, as its technology partner in delivering
Mellon Foreign Exchange has recently unveiled the latest
enhancements to its IDeal Forex online trading platform. IDeal its foreign exchange trading platform for its corporate and financial
Forex can now process an unlimited volume of international customers. Calyon’s revamped service, called Aquarius, forms part
transactions. It accepts desktop, Web file upload and file of its web-based range of services, which are used by a wide range
transmissions, and now enables users to remit payments by of clients including corporate, financials and internal users serviced
SWIFT, check and EFT. out of their London, New York and Hong Kong offices.
These enhancements are intended to broaden a corporation’s FX
The RET-AD ASP (application service provider or hosted) option’s
capabilities and may be used for vendor payables, payroll/pension
fast implementation and flexible technology has enabled Calyon to
and beneficiary remittances for stock options and dividends.
Extensive reporting features include payment tracking, access to extend its automated and other FX services to clients. With RET-
more than 100 standard reports and custom reporting upon AD, the bank’s customers will see live streaming rates and be able
request, at no extra cost. In addition, users can benefit from bulk to trade either directly with Calyon or with multi-dealer platforms
pricing and bulk payment features. over a standard internet browser.
april 2005 e-FOREX 7
news
Nordea Analytics
extended by IAS 39 tool
IFX Markets launches
Nordea is cooperating with PricewaterhouseCoopers to advise its
new-look IFX Direct
customers in the best possible way regarding implementation of
the new IAS 39 accounting rules for financial derivatives. One result
IFX Markets has launched a new-look release of its IFX Direct
of this cooperation is a new tool, IAS 39 Hedge Effectiveness Tester,
foreign exchange trading platform, incorporating a range of
for calculating and evaluating hedge effectiveness.
ground-breaking features. These include:
• Simultaneous trading -In multiple currency pairs
• Multi-account trading -Via amounts or percentages
• Client-customiseable windows
• Deal ticket incorporated into the quote window
• Ability to create both simple and complex linked orders
• Online account status – real-time
back office access
• Advanced, integrated charting
and news packages
Managing Director James
Thornton said: “IFX Direct’s new The IAS 39 tool enables customers to perform hedge effectiveness
state-of-the-art platform reflects tests in order to use the rules for hedge accounting. The user inputs
our determination to capitalise on a hedge package which can for example consist of a commercial
our IT strengths in providing our
cash flow hedged with an FX forward. It can then be tested using
customers with unmatched speed
various IAS compliant methods (both prospectively and
of execution, and transparent
retrospectively). The Hedge Effectiveness Tester is offered as an
online liquidity.” James Thornton integrated part of Nordea Analytics thus offering the customers the
possibility of making analysis of hedging strategies, risk- and
liability management etc in a coherent advanced analysis package.
Nordea Analytics has more than 1000 unique active monthly users
Hotspot FXi amongst corporates and institutions in the Nordic market.
Streaming
Prices Best in Euromoney Poll
Hotspot FXi topped the 2005 Euromoney Internet Technology Awards
as Best in Automated Streaming Prices. The Hotspot FXi marketplace BTM goes live with Cognotec's
was also a top-five finisher in other key foreign exchange categories,
including Best Non-Bank Foreign Exchange platform. “Automated Market Rate Manager
streaming prices have always been an important component of
Hotspot's market structure, we introduced live, streaming, executable Foreign exchange solutions provider Cognotec announced that The
prices in 2001,” said John H. Eley, President and CEO, Hotspot FX Inc. Bank of Tokyo Mitsubishi (BTM) has gone live with the Market Rate
"We were pioneers in streaming technology and we are continually Manager (MRM) solution. MRM is part of Cognotec's AutoDeal
improving it to make it more efficient." range of solutions, already used by BTM to service its clients online.
The bank is using MRM to provide a single source of bank-specific
rates to various internal systems and global clients on FXall and
FX@BTM its online service. In addition, MRM's time zone
functionality gives the BTM's London and New York offices more
Hotspot FXi’s executable streaming prices are supplied by 10 top-
independence in providing their own rates to clients. "Historically,
rated foreign exchange dealing banks. These streaming prices,
together with the platform’s client bid/offer capability, full depth-of- eFX systems have relied heavily on generic rate feeds. The MRM
market view and comprehensive anonymity form a robust implementation has allowed BTM's dealers to generate a 'bank rate'
marketplace that is used by the world’s premier hedge funds, more accurately and with complete visibility, thus giving dealers
institutional investors, and corporate treasuries. Volumes on greater confidence in quoting larger amounts automatically. This
Hotspot FXi grew nearly 150% in 2004, putting it in the top rank of has integrated BTM dealers into the overall eFX workflow,"
spot trading venues. explained Denis Sweeney, MD of Cognotec Asia Pacific.
8 april 2005 e-FOREX