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Robert Schuessler
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A Smarter Monkey

In this contributed piece, TIM noted that some traders do better than others when using data that has been run through certain analysis - that is, have used some form of machine learning to assist them.

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In his first public speech, SEC Chair Jay Clayton deviated from his prepared remarks and offered his own "off the cuff" comments on market issues. Do you like this change of pace?




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May 5, 2009

NYFIX Revs Up Millennium With More Speed and Capacity

By Nina Mehta

NYFIX moved its Millennium dark pool in the U.S. to a new high-performance infrastructure in March, a year after it shifted its Euro Millennium dark pool to the same HPX technology.

The domestic rollout took longer than the European transition because of the multiplicity of trading destinations in the U.S., which made the launch process more complex, said C. Thomas Richardson, global head of transaction services at the broker-dealer.

This migration is the result of a multiyear investment in NYFIX's underlying technology infrastructure to reduce latency and increase capacity across various systems. "We're investing in technology at a time when others are cutting back," Richardson said.

NYFIX's plan is to deliver all of its services on the HPX architecture, including the NYFIX Marketplace, the firm's large FIX-based global trading network. NYFIX launched this process, starting with its dark pool, because speed and stability are critical in a fragmented environment.

"There is more order flow moving around the system that cares about latency than ever before," Richardson said. "We were clearly missing out on available liquidity because some orders were very latency-sensitive."

Algorithms in particular tend to be latency sensitive, in part because of the many venues they need to access to find executions. The majority of executions in Millennium come from algos working orders.

"In 2006, [the share from algos] was less than 50 percent," Richardson said. "Now it's significantly higher."

"There's too much fragmentation out there to have to wait for an order acknowledgement," the NYFIX exec said. "Firms need to get a fill or nothing done, and move on."

The response time for Millennium is now less than three milliseconds, according to Richardson, which is many times faster than it was before the upgrade to the new platform. Millennium began moving stocks over to the new platform in February and completed the rollover in mid-March. NYFIX has more than 300 Millennium clients. The clients, as well as executed volume, come predominantly from the sellside.

 

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