Streambase Systems announced today the availability of a complete library of standard order execution algorithms that are integrated into its algorithm development platform and are designed to help speed up production times for the creation of new algorithmic strategies.

The Lexington, Mass.-based firm is a provider of complex event processing (CEP) technology for a range of trading firm activities, including the development of trading algorithms and real-time risk management.

The new offering comes at a time when Streambase says that a fair number of their customers are refreshing and revising their trading algorithms on a daily or at least a weekly basis. “People are looking for more sophisticated order execution and for some, this means making changes in their (algorithmic trading) strategies on a daily basis,” said Richard Tibbetts, CTO of Streambase.

The firm says that the eight algorithmic execution strategies they have released – including a percentage of volume (POV) algorithm as well as Volume Weighed Average Price (VWAP) and Time Weighted Average Price (TWAP) strategies -- are the basic building blocks of automated order execution activity. Their integration within the Streambase development platform for customization, the firm believes, will allow users to not only more easily modify, adjust and revise basic strategies but develop and conceptualize new and more innovative algorithmic strategies on a far faster basis.

“These are algorithms with their source code fully available that can be fine tuned, benchmarked and re-tooled in all the ways that you can possibly imagine,” said Tibbetts. He believes that their availability will give developers more time to focus on the creation of unique strategies, back testing activities and the revision of the business logic in their algorithms, rather than the details of the underlying infrastructure and connectivity elements of their strategies.

Tibbetts explained that Streambase is targeting mid-tier broker dealers with the new offering as well as buy side firms and in particular, high frequency trading shops with their at least one quantitative trader on staff. He also said that the new algo library feature is simply the latest addition to the standard Streambase development platform and does not require an additional fee. “Broker dealers who might not have complete algorithm development expertise in-house or might be looking to build out their current capabilities are likely candidates for the new service,” Tibbetts said cautioning that the service is not designed for the individual day trader or smaller trading shops that might be lacking the requisite development or quantitative skills.

He said that a typical user might, for example, decide to modify an existing VWAP algorithm to make it far more sensitive to the current market behavior, conduct back testing on the revised implementation using select historical info and when happy with their revised strategy, put the new, custom algorithm into production using Streambase’s screen-based development tools.


He also said that with the existence of pre-built algorithms, he believes that Streambase is able to help developers shave at least a month off of new algorithm development times – reducing the standard three to four month period to two months or less.

The full list of order execution strategies available in the Streambase library include: Volume Weighted Average Price (VWAP); Time Weighted Average Price (TWAP); Arrival Price/Implementation Shortfall; Percentage of Participation; Vector Volume Strategy which adjusts participation rate based on user aggressiveness as well as volume and price changes in the market; Vector Quantity Strategy which adjusts participation rate based on user aggressiveness and price of the security compared to a benchmark; a Scaling Strategy which adjusts trade sizes based on aggressiveness and scaling parameters that determine speed of execution; and Percentage of Volume (POV) Strategy which utilizes a fixed percentage of total volume traded in the market in order to minimize market impact while maintaining participation.

According to Laurie Berke, a principal with research firm Tabb Group, the customization of algorithms is on the top of buy side traders’ wish lists these days when they review and assess offerings from their broker dealers. “They don’t want algorithms that are out-of-the-box or that they can’t tweak or enhance in some way,” she said and therefore, she sees the new algo library offering as “making a lot of sense.”

Adam Honore, a senior analyst with Aite Group, said that the trend among independent providers of complex event processing (CEP) technology is to provide more solutions-oriented and starter-kit type capabilities, rather than pure technology. He views the integration of eight, highly customizable algorithms into the Streambase development platform to speed up algorithm development efforts as a good example of this trend as is the release of a CEP-based liquidity management system by Aleri, Inc. that can deliver an enterprise-wide view of liquidity risk exposure.

“If you can offer a new service or feature that gets customers 80 percent to where they need to be a lot faster or simply saves on development time and costs, that’s a good thing,” and will likely garner interest, he said.

This article can also be found at SecuritiesIndustry.com.

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