Fidessa has produced a new order analytics service for its derivatives community to bring greater precision to the control and measurement of derivatives algos.
Order execution is increasingly becoming an exception handling process as global derivatives markets become ever more dominated by algorithmic trading (Tabb Group estimates that algo execution of US buy-side futures volume alone will grow to 30% this year, up from 4% in 2011*). This is one of the key responses from FCMs as they increase their levels of automation to meet the cost pressures of operating today. But without the ability to monitor how orders are performing in real time, and to automatically identify deviations, it can be a false economy. On top of this, greater regulatory scrutiny means that both the buy-side and the sell-side need to really understand how the algos they are using are working, whatever the market conditions.
Fidessa’s new Order Analytics (OA) service enables users to monitor all orders in real time and adjust algo parameters accordingly. It also provides a post-trade capability that shows execution performance, which is an essential component of demonstrating best execution as required under MiFID II. The ability to monitor the quality of their order executions provides buy-sides with the transparency they require.
Yuriy Shterk, Head of Derivatives Product Management at Fidessa, commented: “We recognized early on that we would need a ground-up approach that reflected the order types and strategies that are unique to global derivatives markets. Demand for this emerged from our FCM customers who, in turn, were being asked for better analytics by their own customers. Being able to put this capability directly onto their customers’ desks is already proving to be another source of competitive edge for those firms. Greater regulatory scrutiny means that the need to understand how orders are performing is becoming a critical issue.”
The new analytics service provides real-time measurement of progress against interval VWAP, TWAP and arrival price through a series of interactive, highly graphical displays, allowing traders to adjust algos ‘on the fly’.