Multi-Asset and Cross Asset Trading Solutions

The Progress® Apama® Algorithmic Trading Platform supports any asset class that offers electronic feeds and execution venues. Apama has been deployed to support algorithmic trading strategies in equities, fixed income, derivatives, and FX. Additionally, Apama's flexibility creates an ideal platform for support of sophisticated new cross-asset trading strategies.

Equities
Derivatives
Foreign Exchange
Fixed Income
Risk Management

Equities

Apama Algorithmic Trading Platform provides the Equity Trader with powerful analytical capabilities and control over all activities, from complex pre-trade analytics through to order manipulation and management. Such trading scenarios can operate across all required exchanges. Because Apama is asset class neutral, all data from instrument types, such as equities, derivatives, FX, may be utilized in equity based trading scenarios.

Pre-trade analytics can exploit any direct data source, such as quotes or trade prices, in addition to any derived data source or analytic, such as VWAP or velocity. For example, a velocity trading scenario may monitor the live price of an instrument and its latest VWAP and velocity (which is a measurement of price movement). The defined strategy or scenario may decide to buy if the velocity crosses a given threshold and if the price is below the latest VWAP by some defined spread. As in all Apama scenarios, the parameters of the scenario and the analytics may be defined and modified by the trader on-the-fly.

More complex pre-trade analytics include all forms of statistical arbitrage, index arbitrage, historically driven VWAP, cross exchange arbitrage (e.g. use of ADRs) and correlations. In addition to single stocks or pairs of stocks these scenarios can also be based on baskets, or portfolios, of stocks. For example, a pairs based statistical arbitrage scenario may utilize the value of two baskets of stocks (both priced in real-time), or one basket and one stock, or simply two stocks.

Finally FX pricing can be exploited to manage cross-currency equities, this not only enables trading scenarios and strategies to operate across countries, but also allow any equity trader to trade any equity in any currency.

The power and flexibility available in the construction of pre-trade analytics is also available for order management behaviour. This may range from simple re-pricing of a leg in the market, to cancelling the leg if not filled within a given time; to a clipping scenario (also known as wave trading or iceberging) which splits a single order into smaller clips and issues these into the market individually. Moreover, such strategies may decide to impact the order management behaviour with live pricing, forcing a more aggressive order size if the market price is good; or utilising random factors to mask the size and period between successive clips.

The real power of the Apama Algorithmic Trading Platform approach is the ability to utilize any of the behaviours above in a single scenario. For example, a pairs trading scenario may chose to issue single large orders into the market if liquidity is good, or issue them as a series of smaller clips if liquidity is poor. The scenario itself can decide on the threshold of liquidity and when introduce clipping. This can be achieved absolutely in an ON/OFF style (e.g. 10% clip sizes) or incrementally (e.g. as liquidity deteriorates the clip sizes become 50%, 25%, 10%, etc).

Derivatives

Apama provides the derivatives, futures and options trader with powerful analytical capabilities and control over all activities, from complex pre-trade analytics through to order manipulation and management. Such trading scenarios can operate across all required sources. As Apama Algorithmic Trading Platform is asset class neutral, all data from all instrument types (equities, derivatives, FX etc.) may be utilised in any trading scenario.

Pre-trade analytics can exploit any direct data source, such as quotes or trade prices, in addition to any derived data source or analytic, such as VWAP or Black & Scholes price calculation. For example, any form of hedging scenario may be developed which utilises the calculated price of the option, the latest price of the underlying and the Delta & Gamma values to decide when to buy or sell the option and/or underlying. All such scenarios may utilise a range of trader focussed parameters, all of which may be modified on-the-fly.

Other pre-trade analytics include all forms of statistical arbitrage, index arbitrage, correlations, VWAP, One-Triggers-the Other (OTO), One-Cancels-the Other (OCO). All these scenarios may be implemented for a single or pair of instruments, or baskets of instruments of any size. Enabling, for example, a basket (or portfolio) to be bought based on the price movement of a single trigger instrument.

FX pricing can be exploited to manage cross-currency instruments; this not only enables trading scenarios to operate across countries, but also allows any trader to trade in any currency.

The power and flexibility available in the construction of pre-trade analytics is also available for order management behaviour. This may range from simple re-pricing of a leg in the market, to cancelling the leg if not filled within a given time; to a clipping scenario (also known as wave trading or iceberging) which splits a single order into smaller clips and issues these into the market. Moreover, such strategies may decide to impact the order management behaviour with live pricing, forcing a more aggressive order size if the market price is good; or utilising random factors to mask the size and period between successive clips.

The real power of Apama's approach is the ability to utilise any of the behaviours above in a single scenario. For example, a pairs trading scenario may chose to issue single large orders into the market if liquidity is good, or issue them as a series of smaller clips if liquidity is poor. The scenario itself can decide on the threshold of liquidity and when introduce clipping. This can be achieved absolutely in an ON/OFF style (e.g. 10% clip sizes) or incrementally (e.g. as liquidity deteriorates the clip sizes become 50%, 25%, 10%, etc).

Foreign Exchange

In addition to utilizing FX pricing to augment or fuel trading of equity, derivative or fixed income instruments for price conversion, cross exchange arbitrage or hedging, a wide range of FX specific functionality is supported by Apama Algorithmic Trading Platform. Such features include the flexible calculation and derivation of any currency pair. For example the CHF/JPY currency pair may be derived from EUR/CHF, EUR/USD and USD/JPY currencies. When any of the three underlying currencies change the derived value of CHF/JPY is updated. This enables any currency pair, not just market produced, to be used in any scenario.

Apama supports both the use of live pricing and historic price data to fuel FX focussed scenarios. Use of historic data may be used to calculate a derived currency along with its actual volatility and variance, annualise the data and either present the results to a user or utilise the results in a trading or pricing scenario, or both.

Live pricing may be used by any FX trading scenario, for example, lines of support and resistance can be monitored for breaches. The lines can either be defined by a trader (and be modified on-the-fly) or calculated (through some user defined analytic or utilising standard analytics such as MACD etc). Once the currency breaches a boundary the pair may be bought/sold. Further to this, a dynamic stop/loss limit may be utilised to track the price of the currency and buy/sell at the minimum/maximum price, rather than the first price past the boundary.

Fixed Income

Because Apama Algorithmic Trading Platform is asset class neutral, it treats fixed income instruments as it does equity or derivative instruments. Thus all analytics and scenarios available to equity or derivative users are also available in the fixed income domain. In addition, fixed income specific analytics and scenarios may be employed. These scenarios include bond pricing and automatic hedging; here all cash orders are hedged by taking an opposite position in the futures market. As with all Apama scenarios the parameters defined may be modified on-the fly.

Many other types of pricing and trading scenarios specifically for fixed income trading are supported, such as yield curve calculations, bond switching and basis trading. In the case of basis trading a range of analytics are utilised, such as the calculation of bond basis values and implied repo rates. These can be used, for example, to define a pricing corridor to monitor the implied bid and ask repo rates. Buying and Selling of Bonds/Futures can be specified upon the breach of the pricing corridor.

Risk Management

A move to real-time algorithmic trading will enable a firm to become more responsive and competitive but will lead to strains being placed upon risk management systems. Trading is becoming increasingly based on intra-day movements. Risk systems normally work end-of-day. This mismatch must be resolved to provide an intra-day view of positions and the risk associated with them. Apama Algorithmic Trading Platform can be applied to take key indicators contained within position information, perhaps associated with a value-at-risk calculation, and examine trades as well as market data to determine whether a hedging strategy should be applied. Alternatively, Apama can simply inform a risk manager that attention is required.

Apama Algorithmic Trading Platform uses a powerful Event Stream Processing (or Complex Event Processing) platform that enables BAM applications to be rapidly developed and deployed as real-time dashboards. This leading-edge platform can analyze the real-time business data and extract key business events. These business events can then be visualised via Apama dashboards. A user can easily interact with the dashboard in order to refine the real-time data analysis process.

You may also be interested in:

PRIVACY TERMS OF USE TRADEMARKS SITE MAP CONTACT US

Progress Software Corporation supplies business application platform, soa infrastructure and data infrastructure software that simplifies and accelerates the development, deployment, integration and management of business applications and Service-Oriented Architecture (SOA). Our superior business application platforms include Progress OpenEdge for high performance SOA integration and software as a service (SaaS), and Progress Apama for complex event processing. Our innovative event-driven SOA infrastructure solutions include Progress Sonic Enterprise Service Bus (ESB), Progress DataXtend semantic data integration, Progress Actional SOA management and SOA governance, and DataDirect data connectivity for mainframe SOA and web services. Our data infrastructure products include DataDirect Connect for database driver and data provider connections to relational databases and XML data integration, EasyAsk for enterprise search and e-commerce, and ObjectStore object data management.

Progress Apama is the market-leading platform for building algorithmically-driven applications. With its powerful complex event processing (CEP) engine and tools for business and IT, Apama powers Capital Markets applications like algorithmic trading, risk management, market surveillance, market aggregation, smart order routing in equities, FX, derivatives, and fixed income markets. Outside Capital Markets, Apama supports CEP-powered applications (including real-time Business Activity Monitoring) in a range of different time-sensitive markets, and delivers the real-time correlations that power an event-driven SOA infrastructure.