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
