eFX Algorithmic Trading – Risk Management

Jul 6, 2020 | Case Studies, Case Study - Digital, Practice - Digital

A large European bank was struggling to operate with a legacy risk management system, which could not cope with the demands of today’s algo-trading programmes. The client called on Brickendon to update the system and help the firm to trade more proactively.

The Challenges

  • Enable the client to participate in latency-sensitive trading on a modern platform and at the best prices
  • Dramatically upgrade the legacy trading system, which was now considered obsolete and low-performance
  • Develop all new software in line with the legacy system, which also had to remain functional throughout the process
  • Enable the client to use new algorithms to risk manage positions and skew prices with the aim of increasing profitability
  • Fix all outstanding bugs from the legacy system and provide routine maintenance in parallel to the development project
  • Reverse engineering of legacy code where documentation did not exist
  • Full QA process and testing of the new software updates

Brickendon Solution

  • Implement trading algorithms incorporating systematic trading models, client profiling and rules-based risk management, as specified by the bank’s traders and quants
  • Review and advise the client specifically regarding algorithm performance on real markets
  • Connect the algo-trading engine to a Smart Order Router (SOR), providing more liquidity and better prices for order execution
  • Clean-up the legacy code base, identifying and removing redundant code to enable reduced maintenance costs in future
  • Ensure there is no operational risk to the legacy system, whilst at the same time adding new updates on a weekly basis
  • Provide tactical enhancements to the legacy system to bring immediate business benefits whilst the full upgrade was still in progress

Client Benefits

  • Enables trading to be done more proactively and pre-empt moves in the market
  • Improved sales tools, providing a detailed overview of client profile and client trading, enabling targeted marketing and better client care
  • A more efficient and effective trading system with lower running costs
  • Client was able to try out new trading models and examine the profit and loss impact of different trading strategies

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