Analytics and Modelling
The growth of ecommerce flows in the Foreign Exchange, Fixed Income and Equities markets both in the cash and the OTC markets has placed increased demands on trading staff. The number of transactions that need to be managed has increased by an order of magnitude and the challenges now facing flow traders is how to develop strategies to deal with the increased volume and resultant risk.
One benefit of the increase in flow is that profitable trading strategies can be developed using this information. Analytical models can be used to assist traders by generating indicators to identify market buy and sell pressures.
Successful strategies must be tools based and involve a large degree of automation. They must be able to take account flow quality and handle different flow types. Managing high volume and lower value flows on an automated basis whilst still providing a full service to the customer base is essential.
Worldflow has designed and developed the Flow Management Toolset (FMT) capable of integrating multiple execution feeds and transacting selected flows with the cheapest platform or source of liquidity. These tools provide configurable and integrated analysis environment that will augment the trader's own decision making, based on market buy/sell pressures from selected customers or electronic exchanges.
FMT Analytics Models
All models are available as a set of Java classes, C++ libraries and Excel Macros. The models accept transaction data from multiple sources and use historical data analysis techniques to determine buy and sell pressure in the market. The resultant output is an expected price movement and direction and can be used to assist trading decisions. The models are fully configurable by the user.
FMT Auto Execution
This module is designed to be used in conjunction with the analytical libraries and coordinates the auto execution of transactions with internal and external systems or liquidity pools. The software can be configured to execute at best price, auto-cover flows or execute at the request of the trader.
FMT Auto Hedge
This module is designed to generate hedging strategies for flow products that require real-time management to maintain a low positional risk. Strategies can be set to determine simple threshold, delta-flat, or optionally hedging across a wide-range of flow trading, with the ability to execute the hedge at the cheapest value or simply recommend a hedge process to the trader.