at Financial Technnology Year
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Features in Statistical Arbitrage Platforms
for Market Making/Proprietary Trading
Quantitative systems identifying and exploiting price discrepancies between related securities through mathematical models and high-speed execution.
We ask vendors to mark their product against our feature list. It is not available for all products and in some cases we have derived data from publicly available sources. The list of features follows. Vendors can add a further 10 key features of their own.
Compliance and Audit
Built-in support for regulatory and internal compliance requirements, with detailed process and data capture.
- Audit Logging
- Immutable logs of all trading activity, user access, model changes.
- Broker/Exchange Certification Tracking
- Maintain records of compliance, certification, and operational status for all counterparties.
- Change Management Logs
- Full tracking of infrastructure and configuration changes.
- Data Retention Management
- Customizable policies and automation for record retention.
- Model Change Approval Workflow
- Formal process for reviewing and approving model changes before deployment.
- Real-Time Regulatory Rule Engines
- Real-time screening of trades and strategies against compliance checklists.
- Regulatory Reporting Interfaces
- Automated export/formatting for MiFID, Dodd-Frank, CAT, or equivalent.
- Secure Data Storage
- Encryption and secure backup of all sensitive trade and user data.
- Trade Surveillance
- Automatic monitoring for potential market abuse or manipulative practices.
- User Access Controls
- Granular roles/permissions for platform features and data.
Connectivity and API Integration
Features for integrating the platform with brokers, venues, and auxiliary systems (e.g., risk, data, reporting).
- API Rate Limits Monitoring
- Track and report on approach to broker/API rate limits.
- Authentication & API Key Management
- Robust handling for secure external connection management.
- Automated Failover
- Automatic rerouting to backup connections on failure.
- Broker API Support
- Direct interface for major broker API integration (IB, FIX, REST, Websocket, etc).
- Custom Order Routing Rules
- Ability to set up rules for choosing routing paths for orders based on flexible conditions.
- Custom Plug-in Support
- Ability to extend platform via custom plug-ins or adapters.
- Exchange Integration
- Native connectivity or adapters for all major exchanges.
- OMS/EMS Integration
- Seamless integration with Order/Execution Management Systems.
- Streaming and REST Data Feed APIs
- Both streaming and request/response data feeds supported.
- Webhooks for Event Handling
- Outgoing notifications for key events/triggers via webhooks.
Core Trading Algorithms
Algorithms and models at the heart of statistical arbitrage, driving the identification and execution of trading opportunities based on quantitative analysis.
- Alpha Factor Library
- Library of pre-built alphas for immediate deployment and testing.
- Automated Signal Generation
- Automatic generation of buy/sell signals based on pre-set mathematical criteria.
- Backtesting Framework
- Integrated environment to test models on historical data.
- Cointegration Testing
- Built-in functions for statistical testing of cointegrated securities.
- Custom Model Implementation
- Ability to create and integrate custom mathematical/statistical models.
- Mean Reversion Models
- Incorporation of mean reversion strategies in model library.
- Multi-Asset Support
- Ability to operate on equities, options, futures, FX, and other asset classes.
- Pairs and Basket Trading Support
- Allows formation and trading of pairs or baskets to exploit relative price movements.
- Parameter Optimization Tools
- Automated tools for hyperparameter and meta-parameter optimization.
- Real-Time Portfolio Analytics
- Instant calculation of P&L, exposures, and risk metrics.
Data Integration & Management
Comprehensive tools for acquiring, synchronizing, and managing the wide variety of data needed for quantitative trading and market making.
- Alternative Data Integration
- Support for third-party or alternative data sets (news, sentiment, etc.).
- Corporate Actions Handling
- Automatic processing and adjustment for splits, dividends, etc.
- Data Latency
- Average time to access/use new market data.
- Data Quality Controls
- Built-in mechanisms for cleansing and validating incoming data.
- Historical Tick Data
- Repository and retrieval tools for historical high-frequency data.
- Low Latency Data Processing
- Processing delay for ingesting live data streams.
- Order Book Depth Storage
- Depth of market (DOM) levels that can be stored and analyzed.
- Real-Time Market Data Feed
- Access to live ticker, order book, and trade data from exchanges.
- Reference Data Synchronization
- Automatic updates and reconciliations of reference/metadata.
- Time Synchronization
- Precision of time alignment across all system components.
Execution Infrastructure
Features focusing on the speed, reliability, and efficiency of trade execution critical for market making and stat arb strategies.
- Atomic Order Management
- Ensures atomicity and consistency in order books and trade records.
- Colocation Support
- Physical operation near exchange data centers for minimal transmission times.
- Direct Market Access (DMA)
- Direct connectivity to exchanges for faster order processing.
- FIX API Support
- Support for Financial Information eXchange (FIX) protocol for streamlined communication.
- Low Latency Order Routing
- Milliseconds or microseconds order delivery to the exchange or liquidity provider.
- Order Throttling
- Controls to manage and rate-limit outgoing order flow.
- Order Types Supported
- Diversity in supported order types: limit, market, IOC, FOK, pegged, etc.
- Smart Order Routing
- Intelligent splitting and routing of orders for optimal fills across venues.
- Trade Capacity
- Maximum number of trades per second platform can sustain.
- Transactional Resiliency
- Ability to recover from failed orders or system outages without loss.
Monitoring and Alerting
Comprehensive real-time monitoring and alerting features for strategy performance, system health, and operational metrics.
- Audit Trail Logging
- Complete record of system and user actions/events for review.
- Automated Remediation Actions
- Pre-defined automated actions on alert trigger (e.g., halt trading, rebalance, notify ops).
- Connectivity Alerts
- Instant notification for connection losses or route failures.
- Custom Alert Thresholds
- User-defined triggers for alerts on performance, latency, or errors.
- External Alert Integrations
- Integration with SMS, email, Slack, or incident response tools.
- Latency Monitoring
- Tracking and alerting on order/data processing latencies.
- Operator Dashboard
- A dedicated real-time dashboard for NOC or ops team.
- Real-Time Strategy Performance Dashboard
- Live display of key strategy KPIs, statistics, and charts.
- System Health Monitoring
- Automatic tracking and reporting of component/system health.
- Trade Execution Monitoring
- Live tracking and reporting on trades, fills, and order status.
Portfolio and Position Management
Facilities for monitoring, adjusting, and optimizing portfolios and positions in real time.
- Automated Reconciliation
- Automatic reconciling of internal books with clearing and prime brokers.
- Cash Management Tools
- Forecasting and allocation of capital across portfolios and strategies.
- Cross-Currency Portfolio Valuation
- Real-time valuation of international/multicurrency portfolios.
- Intraday and End-of-Day Reports
- Customizable reporting on performance, P&L, and risk.
- Leverage Monitoring
- Track and WARN on portfolio leverage limits.
- Manual Trade Adjustments
- Facility for operators to manually adjust erroneous trades or positions.
- Multi-Account Support
- Manage portfolios and strategies across several brokerage or proprietary accounts.
- P&L Attribution
- Breakdown of profit/loss by strategy, security, or risk factor.
- Portfolio Rebalancing
- Automatic adjustment of positions to maintain target allocations.
- Real-Time Position Tracking
- Up-to-the-millisecond updates on all open and closed positions.
Risk Management
Essential features for monitoring, controlling and limiting financial and operational risks in automated stat arb and market making platforms.
- Automated Kill Switches
- Automated halting of trading based on predefined risk metrics triggers.
- Credit Controls
- Limits on exposure to counterparties and trading venues.
- Intraday Margin Monitoring
- Continuous tracking of collateral requirements and intraday margin calls.
- Order Size Controls
- Restrictions to maximum/minimum size of individual orders.
- Position Limits
- Customizable maximum position exposure per security/portfolio.
- Post-Trade Risk Analytics
- Computation and reporting of risk metrics after each transaction.
- Pre-Trade Risk Checks
- Verification of margins, limits, and compliance before trade execution.
- Real-Time Exposure Monitoring
- Dynamic calculation of net/gross exposures by asset/market.
- Real-Time VaR Calculation
- On-the-fly Value at Risk calculation based on current holdings.
- Stress Testing
- Simulated extreme scenarios to test platform resilience.
Scalability and High-Availability
Capabilities for seamless scaling of throughput, resilience to failures, and operational stability.
- Auto-Scaling
- Automatic scaling of resources based on trading volume or demand spikes.
- Clustered Failover
- Automatic failover to hot/warm backup system on fault.
- Database Replication
- Data redundancy and read/write resilience via live replication.
- Disaster Recovery
- Geographically dispersed backup and restore procedures.
- Horizontal Scalability
- Ability to add servers/instances to increase throughput/load.
- Load Balancing Support
- Distributes execution and data processing across multiple resources.
- Peak Load Throughput
- Maximum platform capacity during periods of highest activity.
- Rolling Upgrade Capability
- System updates with no significant downtime or interruptions.
- Stateless Microservices Architecture
- Services run independently, reducing points of failure.
- Uptime SLA
- Guaranteed percentage operational uptime.
Strategy Development Environment
Tools for quantitative researchers and developers to design, test, and deploy strategies efficiently.
- API for External Libraries
- Ability to integrate and call third-party mathematical/statistical libraries.
- Automated Regression Testing
- Automatic running of test cases for new model changes.
- Code Auditing
- Automated/static checks on strategy code for known issues or infractions.
- Hot Swap Deployment
- Instant strategy deployment without bringing down the trading engine.
- Integrated Development Environment (IDE)
- Built-in code editors, debugging tools, and version control for strategy development.
- Logging and Diagnostics
- Detailed logs for debugging and analysis of strategy behavior.
- Parameter Sweeping Tools
- Automated exploration of parameter spaces to optimize strategy performance.
- Scripting Language Support
- Support for Python, C++, R, or proprietary scripting for model creation.
- Simulated Trading Environment
- Ability to run strategies in a risk-free sandbox environment using live or historical data.
- Version Control Integration
- Tracking and roll-back of strategy code for audit and collaboration.
User Interface & Reporting
Operational and analytical interfaces for users and management.
- Accessibility Compliance
- Adherence to accessibility standards (WCAG, Section 508, etc.).
- Advanced Charting Tools
- Integration of professional charting and technical analysis libraries.
- Customizable Dashboards
- User-configurable displays of key metrics, performance, risk, and alerts.
- Exportable Reports
- PDF, Excel, or CSV export of all key trade/risk/performance reports.
- Language/Localization
- Support for multilingual and regional settings.
- Mobile Access
- Secure web or mobile app for on-the-go monitoring.
- Private/Public Reporting Links
- Shareable reports with configurable access for stakeholders.
- Real-Time Data Visualization
- Dynamic visualization of trades, order books, and statistics.
- Role-Based Views
- Different interfaces and permissions based on the user profile.
- User Preferences and Themes
- Personalization options for interface layout, color schemes, etc.