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Algorithmic Trading

Rapidly Implement Strategies for:

  • Quantitative Trading
  • Algorithmic Execution
  • Smart Order Routing
  • Monitoring Execution Progress

The speed, volatility and fragmentation of today’s markets present new challenges for trading automation. An increasing amount of trading is being handled programmatically, whether it’s a quantitative trading strategy that capitalizes on market opportunities, an execution algorithm to handle block trades efficiently, or an order routing application that determines where to send an order based on current market conditions. These automated trading applications have to deliver against a demanding set of criteria:

  • High Performance, Low Latency: the time it takes to react to market movements is critical. Milliseconds matter.
  • Scalable: market data rates are skyrocketing. Trading applications have to have the capacity and scalability to handle it.
  • Flexible, Rapid Deployment: the market changes fast and your applications need to change just as fast. A long development/dep,loyment cycle is simply unacceptable.

Traditionally, analysts have relied on programmers skilled in building real-time applications in C++ or Java to translate trading strategies into application code. However, by the time the development and testing processes are complete, significant opportunity may have passed—and the underlying trading strategy may have already changed. Over and over, our customers tell us: “We don’t have a shortage of ideas. We have a shortage of programmers to implement them.”

At Sybase, we recognize the need for a more efficient way of translating a trading or order routing strategy into an algorithmic trading solution. Our Complex Event Processing (CEP) platform allows you to work at the level of business rules, rather than application code. You can monitor and modify trading system logic using visual modeling tools that let you define the data flow, operations and computations to be performed. Algorithms can be implemented in hours or days, rather than months, and can be quickly deployed into production since they are implemented on a proven, robust platform. It adds a third choice to the buy vs build dilemma—allowing you to have the flexibility and tailored fit of a custom solution, with the lower cost and shorter implementation time of an off-the-shelf solution.

The powerful Sybase modeling tools and scripting language let you easily implement logic to:

  • Cleanse and validate market data
  • Aggregate prices and liquidity across markets
  • Correlate values across securities, asset classes and markets
  • Develop basket and indicative pricing calculation engines
  • Execute block orders over time, adjusting dynamically to market conditions
  • Monitor progress of block execution algorithms
  • Determine where to send each order, based on current price and depth across different markets

Algorithmic Trading Diagram

Features include:

  • A range of off-the-shelf connectors for market data, FIX, message buses, databases and other common systems
  • Optional use of Sybase Market Liquidity Analysis server to analyzing and locate liquidity and measure market fragmentation
  • Real-time integration with Microsoft Excel®
  • Sybase’s SPLASH scripting language for greater flexibility and control

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