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Foreign Exchange (FX)
StreamBase CEP is a platform for rapidly developing and deploying real-time trading applications across asset classes and use cases, and foreign exchange (FX) is no exception. Using StreamBase, firms like GAIN Capital and CMC Markets are able to build and deploy applications across the range of FX trading operations, from simple FX trading algorithms to entire FX dealing platforms.
Below are some example use cases our clients are addressing with the help of the StreamBase CEP platform:
- FX Venue Connectivity
- FX Aggregation
- FX Market Data Distribution
- FX Algorithmic Trading, Signal Generation and Execution Management
- FX Pricing and Rates Engines
- FX Quoting and Price Distribution
- FX Dealing
- FX Auto Hedging and Risk Management
StreamBase provides pre-built connectivity to all the major FX liquidity providers, interbank networks, ECNs, and other venues. Available connectivity is constantly increasing, but includes:
- Currenex FX
- Deutsche Bank autobahnFX
- Digitec D3 Streaming Interface
- ICAP/EBS Live XML
- FXAll Accelor
- FXAll Relationship Trading Customer
- FXall Relationship Trading Provider
- GAIN GTX
- Goldman Sachs Electronic Trading FX
- Hotspot FXi FX
- Hotspot ITCH
- HSBC FX
- Integral FX inside
- Market Factory (FX Enhanced Market Data and Trading)
- Morgan Stanley FX
- Nomura FX B-2-B
- UBS FX2B FIX
For a complete list of connectivity options visit the StreamBase Adapters page.
StreamBase adapters provide direct native connectivity to the various venues with ultra-low latency thanks to the multi-threaded, in-process StreamBase adapter architecture. Organizations requiring a normalized view of multiple execution venues can use StreamBase handlers to abstract venue-specific semantics and speed application development. Where appropriate, adapters support the full range of venue semantics, including streaming prices, RFQ, quote submission, and order execution.
StreamBase can also process indicative FX data from consolidated feed vendors, including:
- ACTIV Financial
- Interactive Data
- Thomson Reuters
Trading organizations on both the buy- and sell-side of foreign exchange today need access to multiple liquidity providers. In order to make the best possible real-time trading decisions, liquidity across multiple venues is aggregated into a single picture of the whole market.
Using StreamBase, firms can develop custom algorithms for FX aggregation that can take into account not just price levels, but other transaction costs, counterparty relationships, latency characteristics, historical executions, and any other information available to the firm. The flexibility of StreamBase assures that your trades are based on the most complete view of the most up to date information.
StreamBase offers a range of options for distributing market data to other applications. In addition to the native StreamBase transport, StreamBase supports publishing to popular market data systems and messaging middleware, including:
- Solace Systems
- TIBCO EMS
- TIBCO RV
Using the StreamBase Adapter API and Client API, StreamBase data can also be published into or integrated with a firm’s existing proprietary infrastructure, using C++, Java, or .NET custom adapters.
Trading algorithms need a combination of good data, low latency venue access, and sophisticated analysis. StreamBase as a platform provides all three.
Algorithms are developed in StreamBase Studio, a rapid development environment based on the Eclipse platform, where visual programming and an extensible library of analytics empower quantitative analysts to build complex algorithms. Within Studio, quants can back-test, optimize, test, debug, and deploy into production all kinds of algorithms.
Signal generation algorithms benefit from low latency access to a range of data sources in StreamBase. In addition to FX market data, algorithms can generate signals based on data from other asset classes, annotated news, public sentiment data, key economic indicators, and any other information available within the firm. The most clever signaling strategies combine not only speed and intelligence, but access to novel data sources.
Execution management algorithms can manage a large order across multiple venues or over time. Using the parent-child order tracking that is part of the StreamBase Demo Packages, algo authors only have to think about when to trade and how to respond to their fills. The details of order state management and integration with order management systems are handled by the components provided by StreamBase with source available.
Learn more about StreamBase Algorithmic Trading capabilities.
Dealers and other market makers in foreign exchange need to create prices based on customer relationships, current positions, and market conditions. A good rates engine is the key to a profitable dealing business. Using StreamBase, firms can create custom-tailored rates based not only on traditional customer banding and spreading, but also based on individualized customer profiles and behavior. Combined with auto hedging logic, the rates can be skewed to capture latent customer demand and hedge away unwanted positions.
Using StreamBase Complex Event Processing, firms can develop the sophisticated rates engines required to maintain profitable customer relationships in the current market.
Prices need to be distributed to customers once they are created. StreamBase’s connectivity provides many avenues for price distribution within the firm. Outside the firm, prices are often distributed on specialized networks. Connectivity for price distribution includes:
Prices can also be distributed via single dealer platforms. Single dealer platforms are often based on messaging middleware, or on internet messaging infrastructure. Popular integrations include:
StreamBase dealing platforms also support automated responses to requests for quote (RFQ) over a variety of messaging infrastructures, including direct FIX messaging.
FX dealing refers to providing pricing and execution services to institutional clients. FX dealing has become more challenging in recent years as customers and markets have become more sophisticated, price sensitive, and high frequency.
Combining many of the above StreamBase FX capabilities enables an organization to develop an entire FX dealing infrastructure based on StreamBase. Three large sell-side banks which are available for select reference calls use StreamBase for their FX dealing needs in large part because of StreamBase’s:
- Pre built venue connectivity and extensibility
- Platform customizability and flexibility
- High performance and scalability
- Developer and Quantitative Analyst empowerment
Learn more about FX dealing with StreamBase by viewing the FX Dealing Requirements webinar.
Using algorithms developed in StreamBase, firms can track their positions, realized and unrealized profit and loss, and exposure to market volatility. This enables an automation of traditional FX hedging. Using proper hedging, a firm can lock in profits related to dealing with minimal cost. And by coupling risk management to pricing, risk can be managed efficiently based on existing customer flow.