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.
