Real-Time Pricing
Today's Volatile Capital Markets Demand Real-Time Pricing
Increasing market volatility, growing volumes and system upgrades are making it more important than ever to keep pricing systems current – retaining and increasing profitability demands it.
The experience gained from years of extensive deployment of the Apama platform to support pricing across multiple asset classes has lead to the development of the Progress® Apama® Real Time Pricing Accelerator, which addresses the three primary considerations that drive the nature of a pricing system:
- Prices are generated from a variety of data sources, which may be other related market prices, internal position, trader inputs, or more. These data sources may also require statistical analysis for richer price generation.
- The trader controls should be capable of monitoring prices and adjusting parameters that control the price generation.
- A risk management component is required to manage risk when prices are executed.
The Apama Real-Time Pricing Accelerator's features include:
- Pricing Framework. A general-purpose pricing framework that can provide additional data cleansing, data throttling, index generation, data-source failover, statistics, spreading, skewing, and publishing capabilities.
- Aggregator. The Aggregator composes data and quote data into a single aggregated order book. The aggregator includes many capabilities such as auto-removal of stale rates (on time out or connection loss), handling of quote streams, auto-netting (i.e. calculation of brokerage costs in producing the consolidated book), synthetic cross-rate calculation (for FX) and more.
- Adapter configuration and order normalization. All Apama Adapters are delivered in a low-level form and, as part of the Accelerator, these adapters are normalized for their order entry and market data. This can include order type mapping – e.g. mapping normalized order types to the specific order types offered by the underlying ECNs, banks, market data vendors, and internal systems.
- System Monitoring. An administrative view is provided for monitoring system configuration, inspecting parent and child orders and algorithmic parameters, and to provide a more administrative view of the operation of the server.
The Industry's Leading Cross-Asset Trading Environment
Apama is suitable for all types of market making; here are two examples:
Apama Foreign Exchange Market Making enables banks to provide prices for their customers based on both inter-bank and internal liquidity. By leveraging Apama's FX Aggregation Accelerator and Apama's Real Time Pricing Accelerator, banks can use the aggregated FX market liquidity in order to generate tighter and more accurate spreads. These spreads can take into account market volatility (narrow or wide spreads), market liquidity (how deep is the bid and offer), and can be tiered according to different customers. Risk management is an important component, and by routing trades through the Apama FX Aggregation Accelerator the orders can be hedged on the aggregated liquidity.
Apama Fixed Income Market Making enables banks to fulfil their market making obligations on markets such as MTS in Europe and respond to electronic RFQs. When sourced from a bond pricing engine, the current market, the futures market, and the internal bank position, these prices can be more accurately and profitably generated. As the bank's prices are being compared competitively, if the bank is delayed and on the wrong side (too cheap when selling or too expensive when buying), the result is a bad trade. If the bank widens its spreads too much then it is no longer fulfilling its obligation or servicing its customers. Latency is a key factor in deploying Apama. Trader interaction is frequently focused on the individual bond level, both monitoring and controlling the particulars of a bond being priced. The trader may change the data sources, parameters, and override the pricing mechanism entirely. Risk management is an important component, with trades being hedged in the futures market in order to manage bank risk.
