FOREX TECHNOLOGY
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using OneTick for pre- and post-trade analysis and data storage plus real-time production monitoring and back-testing of strategies and algorithms.
Sybase’s Deacon says: “Rather than firms taking CEP as a point piece of technology to address a specific type of application in a project, they’re now taking it as a breed of technology that provides them with a platform for event-based processing right across their business.”
And, that may span right across the whole trade lifecycle - all the way from market data analytics - providing sophisticated analysis and signal generation, automated strategy execution and continuous performance monitoring. For risk management it can be applied to help keep a “real finger on the pulse”, he says.
CEP can be used not just for FX but other asset classes where there is an inter-relatedness between them, for example where a sophisticated prop trading organisation requires complex cross asset trading signals and analytics.
Deacon explains: “Firms may have complex strategies that require monitoring not only the price correlation between different currency pairs, but also including
other asset class data such at commodity prices or indexes. CEP is an ideal environment for that as those different data sources can be brought together, analysed and correlated and signals streamed when specific patterns occur - all in one platform.” Additional data sources and strategies can be mapped in rapidly and back tested to assess their likely alpha generation capabilities.
Deeper integration
Lovas says of increasing numbers of institutional and retail FX trading firms looking to achieve deeper integration of CEP engines into their trade execution systems: “CEP engines can transparently handle many of the mundane but vitally important tasks for low latency, fault tolerance, broad connectivity and tick capture. Tis allows quants and traders to focus on the important stuff - strategy modelling, back testing and profitability.”
Sybase’s Deacon notes: “What you get with CEP is the ability to step outside of the standard functionality provided by the EMS’s. If you want to evolve your own specific execution algorithms or generate your own signals that are then going to control how you’re going to execute your trading activity, then CEP gives you greater flexibility. It enables differentiation and firms to gain an edge over competitors.”
Tere are nevertheless issues relating to deeper CEP integration. Deacon says: “It’s the age old problem. It’s very easy to build a system, but plumbing it into an existing infrastructure and with other products can sometimes pose a challenge.”
“Where CEP is particularly strong is that it comes with a whole multitude of connectors, adaptors and APIs,” he says. “If there are very proprietary interfaces involved, Sybase’s APIs are extremely open to allowing one to develop specific adaptors for such proprietary requirements.”
Reliability and scalability Louis Lovas
“Trading firms operate in a fiercely competitive industry where success is measured by profit. Tey’re constantly hunting for talent and technology to achieve that goal. CEP is a modern technology platform that firms are recognising is a key to ensure that success.”
98 | april 2012 e-FOREX
Turning to how FX market participants can measure usability, reliability and scalability of CEP platforms, Lovas says: “Ultimately the final measure of any firm is their profitability. For FX firms employing algorithmic strategies, technology is a means to accomplish that goal. CEP improves time to market by providing the quant modeling tools to construct, validate (back test), deploy and evolve those strategies quickly.”
With CEP technology having cut its teeth in the latency charged world of equities, buy-side firms looking to FX for alpha as a means to hedge or trade cross-border can
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