Denver Currie
Traders Magazine Online News

Who Killed the Kernel?

In his latest blog post, Denver Currie, Product Manager at Vela, looks at how firms are achieving low latency and high throughput in a flexible, cost-effective manner by combining commodity hardware with kernel bypass techniques and an ever-evolving set of software features

Traders Poll

Do you feel today's market data fees are justified given the technological expense required to generate them?

Free Site Registration

September 20, 2010

Levinson Does TCA

By Peter Chapman

SJ Levinson & Sons, an institutional brokerage based in suburban New York, is rolling out a transaction cost analysis product designed by two veterans of quantitative trading. Matthew Celebuski, head of the firm's quantitative research and trading group, held a similar position at Bear Stearns. Art Asriev, Levinson's head of research, worked with Celebuski at Bear and designed one of the original TCA products at ITG.

Levinson's offering, called TAP, for "Trade Analysis Program," is for Levinson's traditional institutional clients. With TAP, they can see analysis of their trades on a post-trade T+1 basis as well devise pre-trade strategies.

TAP is effectively a "delivery mechanism for Levinson's research," according to Celebuski. "TAP requests the data from our servers and transfers it to the client desktop."

Users can analyze their trades against standard benchmarks from any of four perspectives: portfolio manager, trading desk, broker, and venue. They can analyze their trades against the previous day's market or averages across multiple days, weeks or months. That allows them to compare broker algorithms, among other uses, according to Celebuski.

What differentiates TAP from other TCA products, the exec says, is that the software is interactive rather than in report form. Also, perusing the analysis is fast, partly because Levinson crunches the numbers in advance.


(c) 2010 Traders Magazine and SourceMedia, Inc. All Rights Reserved.