A. Sukhov, E. Ushakov, V. Leonchik, I. Itkin, A.-M. Lukina
Price: 50 руб.
The safety and stability of algorithmic trading software is an ongoing concern for exchanges, market participants and the society in general. Financial regulators worldwide are trying to create effective rules to prevent self-enforced market volatility and technology crashes caused by computer-aided trading. Specifying relevant requirements for dynamic software verifi cation of algorithmic trading platforms remains is an on-going
task. Yet, there has been little progres in locating effi cient and commonly accepted approaches. In this paper the authors introduce a reference test harness implementation for algorithmic trading platforms.
Keywords: trading platform, algorithm, strategy, testing
REFERENCES
1. Future of computer trading in fi nancial markets: an international perspective.
Government Offi ce for Science, 2012, UK, Retrieved May, 15, 2016, from https://www.
gov.uk/government/publications/future-of-computer-trading-in-fi nancial-markets-aninternational-perspective
2. Report of the staffs of the CFTC and SEC to the joint advisory Committee on
emerging regulatory issues. Findings Regarding the Market Events of May 6, 2010, US,
Retrieved May, 15, 2016, from https://www.sec.gov/news/studies/2010/marketeventsreport.pdf
3. Bethel, W., Leinweber, D., Rübel, O., & Wu K. Federal market information
technology in the post fl ash crash era: roles for supercomputing. Proceedings of the
Fourth Workshop on High Performance Computational Finance (WHPCF ‘11), 2011,
New York, USA.
4. SEC release No. 70694. In the Matter of Knight Capital Americas LLC, 2013,
US, Retrieved May, 15, 2016, from https://www.sec.gov/litigation/admin/2013/34-
70694.pdf
5. Kriger, A.-M., Pochukalina, A., & Isaev, V. Reconciliation testing aspects of
trading systems software failures. Preliminary Proceedings of the 8th Spring/Summer
Young Researchers’ Colloquium on Software Engineering (SYRCoSE 2014), 2014,
pp. 125–129, Retrieved May, 15, 2016, from http://syrcose.ispras.ru/2014/fi les/SYRCoSE2014_Proceedings.pdf
6. Baxter, G., & Cartlidge, J. Flying by the seat of their pants: what can high frequency trading learn from aviation? Proceedings of the 3rd International Conference on
Application and Theory of Automation in Command and Control Systems (ATACCS
‘13), 2013, pp. 56–65. doi:10.1145/2494493.2494501
7. Equity trading initiatives: supervision and control practices for algorithmic trading
strategies. Regulatory Notice 15-09, 2015, Retrieved May, 15, 2016, from https://www.
fi nra.org/sites/default/fi les/notice_doc_fi le_ref/Notice_Regulatory_15-09.pdf
8. Code of conduct persons licensed by or registered with the securities and futures
commission. Securities and Futures Commission, 2016, Hong Kong, Retrieved May,
15, 2016, from http://www.sfc.hk/web/EN/assets/components/codes/fi les-current/web/
codes/code-of-conduct-for-persons-licensed-by-or-registered-with-the-securities-andfutures-commission/Code%20of%20Conduct%20for%20Persons%20Licensed%20
by%20or%20Registered%20with%20the%20Securities%20and%20Futures%20Commission.pdf
9. MiFID/MIFIR Discussion paper. The European Securities and Markets Authority,
2014, Retrieved May, 15, 2016, from https://www.esma.europa.eu/sites/default/fi les/
library/2015/11/2014-548_discussion_paper_mifi d-mifi r.pdf
10. GATElab. The Dive Deep into Liquidity Pools, Retrieved May, 15, 2016, from
http://www.gatelab.com/products/matching.htm
11. Protsenko, P., Khristenok, A., Lukina, A., Alexeenko, A., Pavlyuk, T., &
Itkin, I. Trading day logs replay Limitations and test tools applicability. Proceedings
of Annual International Workshop-Conference Tools & Methods of Program Analysis
(TMPA’2014), 2014, Kostroma, Russia.
12. Regulatory actions. U.S. Securities and Exchange Commission, Retrieved May,
15, 2016, from https://www.sec.gov/rules.shtml
13. Averina, A.A., Antonov, N.A., & Itkin, I.L. Special features of testing tools
applicable for use in trading systems production. Proceedings of Annual IEEE/ACM
International Workshop-Conference Tools & Methods of Program Analysis (TMPA’13),
2013, pp. 39–43. doi:10.1109/TMPA.2013.7163719
14. Alexeenko, A., Matveeva, A., Sharov, D., Protsenko, P., & Itkin, I. Compatibility
testing of clients’ protocol connectivity to exchange and broker systems. Proceedings of
Annual IEEE/ACM International Workshop-Conference Tools & Methods of Program
Analysis (TMPA’13), 2013, pp. 63–67. doi:10.1109/TMPA.2013.7163722
15. U.S. Commodity Futures Trading Commission. Retrieved May, 15, 2016, from
http://www.cftc.gov/index.htm
16. Madhavan, A. VWAP strategies. Institutional Investor Journals, 2002, 2002(1),
32–39. doi:10.3905/tr.2002.673913
17. Bialkowski, J.P., Darolles, S., & Le Fol, G. Improving VWAP strategies: A
dynamical volume approach. Journal of Banking & Finance, 2006, 32(9), 1709–1722.
doi:10.1016/j.jbankfi n.2007.09.023
18. Steinki, O. Trade implementation II. Algorithmic execution. Algorithmic Trading,
Session 8, IE Business School, 2013, Retrieved May, 15, 2016, from http://evolutiq.com/
wp-content/uploads/2014/03/Algo-Trading-Intro-2013-Steinki-Session-8.pdf
19. Fidessa. Advanced Trading Tools. Retrieved May, 15, 2016, from http://www.
fi dessa.com/products/sell-side-solutions/advanced-trading-tools
20. Market conduct rules. Compliance: Theory and Practice in the Financial Services
Industry, Retrieved May, 15, 2016, from http://www.inhouselegal.com.au/Compliance_Course/lecture_4.htm
21. Proposed guidance on certain manipulative and deceptive trading practices.
IIROC Notice 12-0221, Rules Notice, 2012, Retrieved May, 15, 2016, from http://www.
iiroc.ca/Documents/2012/f62c746a-b5c9-448a-b57f-f1c04c88de14_en.pdf
22. ISTQB Glossary. Retrieved May, 15, 2016, from http://astqb.org/glossary/
23. Darrell. Trading 101: The M&Ms for successful trading. Trader Planet, 2012,
Retrieved May, 15, 2016, from http://www.traderplanet.com/tutorials/view/161657-
trading-101-the-m-amp-ms-for-successful-trading/
24. VesnaStraser. What traders need to know: best execution. Trader Planet, 2012,
Retrieved May, 15, 2016, from http://www.traderplanet.com/articles/view/162821-whattraders-need-to-know-best-execution/
