StreamBase Reuters Edition for Hedge Funds

With ongoing turbulence in the capital markets, hedge funds face increasing pressures to quickly implement the most profitable trading strategies and while efficiently managing risks and costs. The speed with which a trading strategy can be converted into profit depends on ease of connecting to a low-latency market data feed and ease of building, testing, and deploying trading-related applications. StreamBase and Reuters address these problems with StreamBase Reuters Edition—a graphical authoring tool and real-time event processing engine that greatly accelerate development and deployment of applications that consume Reuters market data.

StreamBase Reuters Edition provides competitive advantage to hedge funds in several ways:

• Reduced time-to-market: The graphical authoring tool allows developers to create a very compact representation of the application’s business logic and build fully functioning applications in days or weeks as compared to weeks or months in Java or C#. It also makes the process of revising trading strategies much quicker and less error-prone vs custom-coding, since the StreamBase application diagram is a “live picture” that is easy to modify and refine by traders or application developers.

• Low Latency/High Performance: The enterprise-class StreamBase run-time server is optimized for low latency to handle today’s large and growing market data rates, supporting tens of thousands of messages/second per CPU.

• Seamless Connectivity: Hedge funds greatly value StreamBase’s integrated connectivity to Reuters low latency exchange feeds and Reuters RMDS, support for multiple presentation layers (e.g. Windows Presentation Foundation, Adobe Flex); and optimized interfaces to high-capacity tick stores

Customers are using the StreamBase platform to connect to Reuters market data and build a range of real-time applications including market data quality (clean-up and normalization), real-time P&L, order management and smart order routing, transaction cost analysis, position tracking and pricing, trading signal generation (e.g. “algorithmic trading”), pre-trade compliance, and optimized trade execution.

Examples of applications built by StreamBase’s hedge fund customers are described below:

• Market Data Quality: A top 20 U.S. hedge fund with more than $6B in assets built an application to enhance incoming market feed data in approximately 1 man-month. The application monitors incoming Reuters real-time pricing feeds and discards erroneous ticks, outliers, and duplicates. In addition, the application manages subscriptions to the Reuters feed, and it also uses StreamBase to cache all data fields of interest, so that rows can be updated and alerts issued only when fields of interest have changed.
• Real-time Profit & Loss: A European hedge fund with more than €8B in assets uses StreamBase to continuously update the P&L, position, value, and exposure information across a range of portfolios using real-time market data prices and the underlying cost basis data. Before using StreamBase, the 20,000+ P&L computations were performed across 200 spreadsheets in a batch process at end of day, since the data volumes and complexity made it possible to run during the day. Now P&L is computed intraday for each fund, for each trading strategy within a fund and across funds, and for each financial instrument. The application has dramatically increased trading profits by enabling the firm to reduce investments in poorly performing strategies or instruments in real-time and increase investments in those which are found to be better performing at a given moment in time.
• Order Management and Smart Order Routing: This top 10 Hedge fund with $8B+ in assets built an order management application in StreamBase which watches and tracks all trades placed, and also has a graphical front-end interface for keeping track of positions and order state and for letting traders place or cancel trades. The firm also built a smart order routing application which receives orders from traders, breaks them up and decides where to route them based on order size.
• Pre-Trade Transaction Cost Analysis: One of the top three EU hedge funds with more than €7B in assets under management built a real-time pre-trade analysis application, which identified best execution strategies, reduced slippage, monitored and evaluated broker performance using precise real-time and historical data. By processing more than double the amount of market data than was possible with the previous infrastructure, the firm is now dramatically reducing execution costs and increasing trading profits.
• Position tracking and Pricing: This small, rapidly growing high-frequency algo trading firm built a first application with StreamBase to track market positions in equities and futures and run what-if scenarios to test various strategies against different market conditions. It does this with a complicated matching algorithm that matches theoretically executed trades against most relevant, similar actual trades. The firm’s second StreamBase application performs many complex index calculations using 15,000-20,000 parameters that change daily to price a security. “The first application took 1-2 days of prototyping and 2-3 weeks in total to build. The GUI made a big difference.”
• Pre-Trade Compliance: A top 10 hedge fund uses a pre-trade compliance application built with StreamBase to monitor all trades, and detect those trades which violate a restricted list that is updated daily by the corporate compliance desk. A previous application built in Java over six months of development time failed to offer sufficient flexibility to accommodate changing compliance rules, while the StreamBase application built in just 3 weeks offered the performance and flexibility to meet their present and future requirements.

To download and test-drive StreamBase Reuters Edition, please click here.