Commoditized execution services and regulatory changes for best execution mandated by Reg NMS and MiFID have pitted brokers against each other to offer value added algorithmic trading services to their institutional clients. Some firms have invested year’s worth of time developing algorithmic strategies which undergo extensive back testing and fine tuning only to realize that their competitors have already built a better mousetrap. Brokers are now leveraging CEP solutions that enable them to build software tools for their customers to evaluate investment opportunities, execute on them and measure transaction costs. The availability of CEP technology that can provide both real-time and historical in a single platform has provided some brokers with a strong competitive advantage.

A leading broker dealer was commencing operations of a program trading desk. Their intent was to build and test complex trading strategies for internal use that would eventually be offered out to institutional fund managers. The broker wanted a way to search for real-time opportunities and automatically apply an appropriate algorithm based on pre-trade decision support tools. They also wanted to build other tools on the same platform to measure the results versus various calculated benchmarks to enable concrete validation. The goal was to combine real-time equities data, historical TAQ data and internal reference data on the same platform to support three different front ends built in Excel, C++ and S-Plus. After going through a detailed RFP process, the broker decided on Vhayu. All internal and client supported applications are currently running on a single server that has built in fault tolerance. The solution was developed, tested and in production in less than 3 months.

• Single CEP platform to power algorithmic applications with real-time and historical data
• Enables deployment of custom analytics in hours
• Provides a consolidated data store for real-time data and up to 20 years of historical tick data
• Calculates thousands of simultaneous analytics in milliseconds
• Manages corrections and corporate actions
• Allows for user customizable queries and event based triggers
• Develops custom execution benchmarks to publish into proprietary TCA reports