Risk Management: In the Eye of the Storm
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Keep Out, At Your Own Risk
December 15, 2010
NYSE Euronext already provides comprehensive data, charting and historical analysis tools for all National Market System-listed securities, through its SuperFeed of market data and historical information from OneTick.
Mahwah also is set up with plenty of space for adding storage and computing capacity through another two decades. Each pod can hold 600 cabinets of computing power, with each cabinet holding more processing power with each passing generation of microchip technology.
Even in flat markets, the number of messages generated by trading activity is soaring, notes Steve Rubinow, NYSE Euronext’s chief information officer. This is driving innovation in storage, which is now measured in petabytes, or quadrillions of numbers and characters.
But Tuskey said throwing present or past data at algos is not necessary, if risk controls are used properly. Defining what constitutes a “good” algorithm and a “bad” algorithm is hit or miss. Past conditions don’t necessarily predict how the math will perform in new circumstances. If a particular algo shows a propensity to get stuck in a loop, spitting out orders repeatedly, a risk gateway can simply stop orders that look very similar, in their tracks.
Defining algorithms could be “error prone,’’ said Tuskey. “Whereas, risk management, it’s defined.”
And manageable. “As long as everybody’s applying it,’’ he said.