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.
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
Facing a similar big data issue, Deep Value, a developer of algorithms, backtests its algorithms “on a multitude of orders across many months of historic data,” says CEO Harish Devarajan. To gain an edge, it also must simulate how the algos would have worked across hundreds of days of trading. The next phase is to ask “what if” questions of the data from hundreds of machines, which actually creates a new problem–“storing an ocean of data,” Devarajan says.
Are Wall Street Firms Looking to Third-Party Data Centers To Take Advantage of Efficient Cloud Computing? – Wall Street and Tech Article
Two and a half years ago, Deep Value, a Chicago-based provider of algorithms to buy- and sell-side firms that also has a broker-dealer affiliate, began using big data analytics to improve executions. Despite the depressed environment in U.S. cash equities, CEO Harish Devarajan says, the firm’s business has grown well — it executed nearly 3 percent of overall market volume on its highest-volume day this summer.
Taken together, the perception is the industry is losing control. “The complexity of some systems overcomes the best efforts of designers to keep them under control,” says Harish Devarajan, chief executive of Deep Value, a developer of trading algorithms used at the New York Stock Exchange and elsewhere. “All systems start off as things that do our bidding. But some rise in complexity to the point where we masters become the servants of the system.”
Cover Story: Last Vestige for Small Caps – Traders Magazine
Harish Devarajan, CEO of algorithmic firm Deep Value, said Reg NMS and the fragmentation it created had already delivered a huge blow to upstairs block desks before the financial crisis happened, and the thinning out of the Street after the crisis continued to push the buyside toward algos. It was those factors as much as improvements in algorithms that led to algos’ increased share in small-cap trades.
Firm developing effective execution, process and trading strategies for a declining market environment
Chicago, IL, June 19 – Deep Value, developer of high performance trading algorithms, and its broker-dealer entity Deep Value Enclave, are reporting record trading volumes, as well as new customer wins in the first five months of 2012.
“With lower liquidity come higher trading costs,” said Harish Devarajan, CEO of Deep Value. “When you combine this fact with volatile equity markets and a challenging return environment, you have a perfect storm brewing in the cash equities world. We are seeing fund managers and broker-dealers actively re-evaluating existing algo trading relationships, and seeking the highest-value execution performance possible.”
Deep Value is using a big data strategy to analyze terabytes of market data, as well as its own historic trading data to uncover effective execution strategies for low liquidity market environments. This research involves running “what if” scenarios on large amounts of intraday trading data using hundreds of computers.
“The strategy we are pursuing today would not have been possible even five years ago,” said Devarajan. “The big data revolution has made it possible for us to pursue insights using unprecedented scale, so that, for example, we can answer questions like ‘What would have happened to our slippage and fill rates if we showed 10% more size at the inside at a certain market center if some market condition prevailed, and 10% less at other times?’ We can simulate, with that new logic, hundreds of orders trading each day for the last few months across hundreds of machines, and get reliable answers in just a half-hour. We are able to translate such core process innovations into performance gains and customer wins.”
Deep Value is tracking to significantly exceed its 2011 volumes. In the first five months of 2012, the company averaged more than 50 million shares per day across all installed sites. May 31, 2012 was its highest volume trading day, when it processed over 150 million shares, representing 1.9 per cent of total US equity trading volume. The firm has also added a major international bank to its customer base, as well as several sell-side and buy-side firms in the first five months of 2012.
In 2011, Deep Value added 16 full-time employees to its research and development teams, making it one of the largest teams in the world dedicated solely to research and development of cash equities algorithmic trading in U.S. markets. Deep Value will be exhibiting at the SIFMA show (booth 1822) in New York, June 19 – 20.
Deep Value has offices in New York, Chicago, and Toronto in North America, and in Chennai and Kolkata in India.
About Deep Value
Deep Value is focused entirely on developing the world’s best trading algorithms. Deep Value is one of only two providers of algorithms to Floor of The New York Stock Exchange. The company’s world-class algorithms and platform are installed both onsite at client locations as well as at its own datacenters. Clients include the New York Stock Exchange, prominent hedge funds and a number of other prestigious financial services powerhouses. The firm has notable analytical and computational research capabilities, running complex market and strategy simulations on terabytes of data using hundreds of machines as part of its research process. Deep Value also has strong technical capabilities. It has developed its own sophisticated trading platform on top of industry-standard open-source components. This system is fully distributed and fault-tolerant, providing graceful degradation under load and with sophisticated work scheduling frameworks. For more information visit: www.deepvalue.net.
Chicago, IL – Deep Value, developer of high performance trading algorithms, added to its headcount, expanded its offering, strengthened its testing environment and logged record trading volumes in 2011 through its Broker Dealer entity Deep Value Enclave.
Deep Value achieved its single highest trading day in December, processing 1.8 per cent of US-wide stock market trading volume. The company’s second highest trading day was in June with more than 1.3 per cent of US-wide stock market trading volume. Deep Value processed more than a third of a trillion dollars in trades in 2011.
2011 also saw the addition of 16 new full-time employees to its development team in Chennai, India. Deep Value now has one of the largest teams in the world dedicated solely to research and development of algorithmic trading in U.S. markets.
Deep Value introduced 7 new algorithmic strategies in 2011, along with new cluster-based simulation technology that allows the company to innovate, fine-tune and test its algorithms to improve algorithmic performance outside production environments. The process involves tick by tick playback of all market data in a simulated, massively parallelized computing environment that uses 300 machines.
“We are fully committed to best execution,” said Harish Devarajan. “To that end, we invest more than 40,000 hours annually in continuous improvement programs to support specific needs of our clients’ order flows.”
Deep Value has offices in New York, Chicago, Toronto and Chennai.
About Deep Value
Deep Value is focused entirely on developing the world’s best trading algorithms. Deep Value is one of only two providers of algorithms to Floor of The New York Stock Exchange. The company’s world-class technology solution and platform is installed both onsite at several client locations as well as at our own datacenters. Clients include the New York Stock Exchange, several prominent hedge funds and a number of other prestigious financial services powerhouses. Deep Value has developed its own sophisticated trading platform on top of industry standard open source components. This system, which is a container-based system is fully distributed, fault-tolerant providing graceful degradation under load and has sophisticated work scheduling frameworks. It is designed with high throughput and low latency as key elements. For more information visit: www.deepvalue.net
