News

Participate Later In the Closing Auction Via Deep Value’s New Route

The new Floor Close route can help trading desks reduce overnight risk moments before the close, and target the closing print better than ever before.

NEW YORK, 26th September 2016 — Deep Value is pleased to announce the Floor Close, a new direct market access route to the NYSE that allows desks to participate in the NYSE closing auction closer to the bell than ever before.

The NYSE closing auction is typically the single biggest liquidity event of the day across stock markets worldwide. For virtually every US cash trading desk across the world, Deep Value’s new Floor Close product may open up new trading opportunities and new avenues to shed risk.

Created via partnerships with Floor Brokers, Deep Value’s Floor Close is a genuine technology advance in the state of the art, and is fully ­compliant with applicable rules and regulations.

Via this technology breakthrough:

● Desks can reduce overnight risks in many hundreds of names moments before the bell

● Respond faster to closing imbalance feed updates, while being compliant

● Avoid the tracking error of “Target Close” algorithmic trading strategies ­­ strategies that target the price of the eventual closing print ­­ and instead simply participate directly in the close

● Buy­side desks can have larger position limits and gross books sizes near the market close

Limitations and disclaimers apply, driven by market quality, compliance and other considerations.

September 26 2016 · Filed in: News

Our New Algo Suite: Negative All-In Pricing After Trading Two Trillion Dollars

We’re excited to be launching a new suite of US equity cash algorithms for the sell-side — a high performance suite of algorithms called the Smart Suite.

There are three differentiating characteristics

  • They are designed to deliver excellent performance
  • Involve no toxic treatment; and
  • They are presented with negative all-in pricing

It is in beta with a handful of clients, and enjoying a promising start.

Negative All-In Pricing
In our pricing schedule we contractually guarantee a mil rate, per type of algorithm used with exceptions for dark pool aggregators and participation in auctions.

Excellent price performance based on over two trillion dollars traded.
If performance is like our past five years worth of TCA data, it is going to be very good — we invest in doing good quant work and good technology footwork to indeed get good price performance. Since 2010, we have traded over 59 billion shares and over 2.05 trillion dollars in the aggregate. We understand the sources of slippage well and, for example, anticipate average slippage of our VWAP vehicle from VWAP benchmark to be in the one basis point range, in S&P 500 names — a level of slippage considered excellent (see important disclaimers regarding forward-looking statements, below).

Guaranteed Rebates Provide Trading Cost Insurance

How do we guarantee rebates? When algorithms perform well price-wise, they generate rebates as an emergent and positive side-effect of good algorithmic work — good algorithms are careful about reaching across the spread and taking liquidity, and mostly fill by intelligent liquidity contribution. And market centers’ fee structures reward liquidity addition. So liquidity rebates and good price performance are positively correlated, and are not tradeoffs.

In practice, there is much variation in net rebates received or fees paid per order, notably and for example, when the market is trending away. We are able to offer contractual rebate guarantees as we have enough scale across all customers, and enough orders trading across our vehicles, that the averages work out.

The sell-side frequently has to pick up the freight costs of trading — a complex guessing game. Even if the averages are positive, with some customers, there can be net-negative weeks or months! We take all that complexity away and replace it with a simple and quite generous rebate schedule. So with every order, every customer using the Standard Suite knows their use of DV algos actually comes with a guaranteed rebate.

No Toxic Treatment — Contractually Guaranteed
In one of the more comical corners of the US cash equities ecosystems, market making desks and other buy-side high frequency desks pay customers to receive order flow. Roughly speaking market makers make PnL off of end-customer’s order flow by giving worse average fill prices. Part of that PnL gets kicked back to desk that send the order flow to the market makers.

The Smart Suite is a material departure from that evidently questionable business model. First, we contractually guarantee “No toxic treatment”: So no market makers will ever see the flow, no prop desks, and not even dark pools run by firms that have prop or hedge fund affiliates. More important, our quants and Ph.D.s are working for you and lowering transaction costs, not trading against your flow!

Like what you hear? Contact our Sales Team ( sales@deepvalue.net ) to find out more.

Disclaimers
This information is not intended to be used for trading or investment purposes, is for the intended recipients only, may contain information proprietary to Deep Value and which may not be reproduced. The information here is not “research” as that term is defined by applicable regulations. Past performance is not a guide to future performance. The firm accepts no liability for any loss that may arise from any use of the foregoing. The Smart Suite is offered by Deep Value Execution Services, under an arrangement between Deep Value, Inc. and Benjamin and Jerold Brokerage, LLC, member FINRA, NYSE, ARCA and SIPC. See the full disclaimer for important additional terms.

April 6 2015 · Filed in: News

Deep Value 2014 Highlights

Deep Value, a developer of high performance trading algorithms, traded 605B USD in the aggregate in 2014, and hit a daily high of over 400m shares, or 4.4% per cent of that day’s total US-wide stock market trading volume on June 27th.

“It is a priviledge to have the customer trust to trade such volumes,” said Harish Devarajan, CEO. “Firms trading at our scale distinguish themselves on stability, performance and service, and we are glad to see our investments and focus bringing value to customers.”

Deep Value continues to invest in building out its research and technology capabilities. The firm focuses heavily on empowering its researchers and technologists by providing easy-to-use development environments, accurate market models and tools to try out quantitative innovations, and manage outputs from bid data calculations. A key to its success have been its big data simulation infrastructure, which leverages Hadoop to run massive simulations that make it possible for the company to create fine-grained improvements to production performance.

Deep Value has offices in Boston, New York and Chennai.

About Deep Value

Deep Value is focused on developing the world’s best trading algorithms. The firm contributes between one to two percent of overall equity trading volume to US stock markets daily, and represented 4.4% per cent of overall US stock market volume in its 2014 daily high. The company’s world-class technology solution and platform is installed on-site at client locations as well as at co-located datacenters. Clients include prominent hedge funds and other prestigious financial services powerhouses. Deep Value is the dominant Exchange-sponsored provider of algorithms to all brokers on the Floor of the NYSE. Deep Value has developed its own distributed, fault-tolerant trading platform on top of industry standard open source components. This trading platform can also be run in a cluster based simulation framework allowing Deep Value’s research organization to bring to bear large clusters of machines to run sophisticated analysis aimed at improving performance. For more information visit: www.deepvalue.net

January 15 2015 · Filed in: News

Deep Value Posts Record Trading Volumes in 2013

-Deep Value Processes 5.26 per cent of the US-wide Stock Market Trading Volume-

CHICAGO, ILLINOIS — (Marketwired) — 02/26/14 — Deep Value, developer of high performance trading algorithms, reached a new milestone executing 481,401,795 shares or 5.26 per cent of total US-wide stock market trading volume on September 20, 2013.

Since it began publicly reporting its annual performance, Deep Value has seen substantial year-over-year growth. In December 2011, Deep Value achieved its single highest trading day, processing 1.8 per cent of US-wide stock market trading volume, up from a previous high of 1.3 per cent in June of the same year. In September of 2012, the company hit a new high-water mark, processing 3.7 per cent of US-wide volumes or more than 300 million shares.

“We hold ourselves to a high standard,” said Harish Devarajan, CEO of Deep Value. “Our rapid year-over-year growth is evidence that we are continuing to deliver superior performance levels.”

Deep Value trading volumes in 2011 totaled 10.3 billion shares valued at 265 billion dollars, compared to 12.6 billion shares in 2012, representing 400 billion dollars. The company topped 15.8 billion shares traded during 2013, representing in excess of 568 billion dollars.

Deep Value continues to invest in building out its research and technology capabilities. The firm focuses heavily on empowering its researchers and technologists by providing easy-to-use development environments, accurate market models and tools to manage and understand outputs from large calculations. A key to its success is its simulation infrastructure, which leverages Hadoop to run massive simulations that make it possible for the company to create fine-grained production improvements.

Deep Value has offices in Chicago, Toronto, New York, London, Bangalore and Chennai.

About Deep Value

Deep Value is focused on developing the world’s best trading algorithms. The firm contributes between one to two percent of overall equity trading volume to US stock markets daily, and represented 5.3 per cent of overall US stock market volume in its 2013 daily high. The company’s world-class technology solution and platform is installed on-site at client locations as well as at co-located datacenters. Clients include prominent hedge funds and other prestigious financial services powerhouses. Deep Value is the dominant Exchange-sponsored provider of algorithms to all brokers on the Floor of the NYSE. Deep Value has developed its own distributed, fault-tolerant trading platform on top of industry standard open source components. This trading platform can also be run in a cluster based simulation framework allowing Deep Value’s research organization to bring to bear large clusters of machines to run sophisticated analysis aimed at improving performance. For more information visit: www.deepvalue.net

March 12 2014 · Filed in: News

Interview with Paul Haefele : How Deep Value Leverages Big Data

In this discussion with Alex Tabb of the Tabb Group, Paul Haefele, Deep Value’s Managing Director of Technology, talks about how Deep Value harnesses big data technologies to optimize its high performance algorithms. He discusses how Deep Value integrated Hadoop with their fault-tolerant, low latency execution engine to empower their research department be able to easily test out new ideas, see if they work in simulation, and then straightforwardly move them to production.

To view the complete interview, please visit http://tabbforum.com/videos/harnessing-hadoop-to-perform-back-testing-in-the-cloud

March 19 2013 · Filed in: News

Deep Value Posts Record Trading Volumes in 2012

– Algo developer builds out big data strategy –

Chicago, IL, March 4 – Deep Value, developer of high performance trading algorithms, posted record trading volumes in 2012 through its Broker Dealer entity Deep Value Enclave. The company also significantly increased its development and deployment of big data technology in 2012.

Deep Value achieved its single highest trading day in September 2012, processing 3.7 per cent of US-wide stock market trading volume, doubling its 2011 high of 1.8 per cent. The September high had over 300 million shares and over 12 billion US dollars traded in a single day. Trading 400 billion dollars in 2012, the firm contributed between one-half to 1 per cent of overall daily US stock market volume virtually every day.

Our company-wide commitment to best execution is enabling us to capture increasingly larger shares of trading volumes in the US,” said Harish Devarajan, CEO of Deep Value. “Our success lies in maintaining one of the largest teams in the world dedicated solely to research and development of algorithmic trading in U.S. markets, supported by an equally ambitious big data strategy.

The company’s big data strategy further matured in 2012, augmenting an Amazon EC2 outsourced solution with an in-house cluster comprised of 1,600 cores. Deep Value continued to invest in building out its custom simulation environment, which leverages Hadoop to run massive simulations that make it possible for the company to create fine-grained production improvements. The environment focuses heavily on empowering researchers by providing an easy-to-use development environment, accurate market models and tools to manage and understand outputs from large calculations.

We looked to big data technologies to be able to answer what-if questions on the large data sets we deal with. Applying big data solutions on large data sets creates new big data challenges in how to manage and extract meaning from those outputs. In current work, we are using other software systems from the big data open source ecosystem to analyze automated output data and present what we believe will be insightful summaries,” said Paul Haefele, Managing Director, Technology for Deep Value.

Deep Value has offices in Chicago, Toronto, New York, London, Bangalore and Chennai.

About Deep Value

Deep Value is focused entirely on developing the world’s best trading algorithms. The firm contributes between one half to 1 per cent of overall equity trading volume to US stock markets daily, and represented 3.7 per cent of overall US stock market volume in its 2012 daily high. The company’s world-class technology solution and platform is installed on-site at client locations as well as at co-located datacenters. Clients include prominent hedge funds and other prestigious financial services powerhouses. In addition, Deep Value is the dominant Exchange-sponsored provider of algorithms to all brokers on the Floor of the NYSE. Deep Value has developed its own distributed, fault-tolerant trading platform on top of industry standard open source components. This trading platform can also be run in a cluster based simulation framework allowing Deep Value’s research organization to bring to bear very large clusters of machines to run sophisticated analysis aimed at improving performance. For more information visit: www.deepvalue.net

March 6 2013 · Filed in: News

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