Linkedin

Algorithmic Trading Implementation

Contact us

Case: Implementation of Algorithmic Trading including a framework

0 M

Duration

0 FTE

Consultants

Table of Contents

BACKGROUND

A Client in the Energy sector wanted to speed up the move to automated and algorithmic trading for their energy trading unit. They were in search for a scalable solution with the right skillset cross departments. Although originally looking for implementation of algorithms, the background became larger in the first two weeks of the assignment.

 

In this case:

  • Automated Trading: refers to the set of processes in the trading value chain that are fully automated.
  • Algorithmic Trading: involves algorithms that independently set order parameters and execute trades without human intervention.

CHALLENGE

The project required a in depth look into the strategy, operations, governance, technology and skillsets available. As changes were needed on many levels, buy in from the management became a crucial success factor. 

Existing software was supposed to be used to develop algorithms from scratch, while ensuring a proper framework and a high level of control over the activity.

ASSIGNMENT

Porteg was to deliver a strategic advisory document to obtain buy-in and establish the base algorithmic trading framework. This included taking into account risk aspects, legacy infrastructure and regulatory compliance. A clear roadmap had to be produced with multiple options for management to decide.  Furthermore we had deliver Minimum viable product in 12 weeks for Algorithms in existing toolings.

APPROACH

Porteg assembled a team of 4 FTE. 1 Senior Partner / Business transformation expert, 1 Senior trading Expert, 2 Senior Developers. Porteg started reviewing the current setup and collected requirements through interviews and questionnaires. A deep analysis was performed on the existing departmental / activity structures, the processes, the load, the people expertise, the IT Infrastructure and the Data structure. Based on this a blueprint was made with indication of potential quick wins and bottlenecks. The management than had a choice in different business models that could be deployed to speed up automated trading. In parallel Minimum Viable Products were developed to proof that development of simple automated trading solutions could occur in 12 weeks. This required senior developers and a certain base setup to present. We also ensure the right governance (MIFID II compliant) to execute the activity

RESULT

A strong position document was delivered while already resolving some low hanging fruit inside the current environments. Alignment in the governance (cross departmental) took place to ensure the entire trading life cycle (value chain) was able to cope with changes. Bottlenecks were identified and prioritized in a program setup after the advise was given.


Four algorithms we trading live after 11 weeks as well, including the controls needed (such as monitoring, limits etc).