The broker required a solution for its clients to trade using execution algos. The objectives were:
- Offer a range of execution algos: standard and exotic
- Low latency market access
- Solution which could be expanded globally from the local market
- Maintain a historical archive of tick data to allow for TCA and algo research
- Ability to apply unique value added services to clients (e.g. algo research)
- Lower total cost of application and infrastructure
Stage 1: Proof of concept to demonstrate performance metrics.
Stage 2: Procurement and build-out of infrastructure in an Equinix data centre. Implementation of Deltix products. Configuration and documentation of broker’s requirements for algo parameterization.
Stage 3. Live production. This was achieved within three months for standard execution algos (VWAP and TWAP).