Efficacy in Minimizing Transaction Costs and Slippage
GREAT NECK, NY, May 2, 2005 â FlexTrade Systems today announced availability of Fast Simulator to clients of FlexTRADER, the globally deployed and leading broker-neutral algorithmic trading platform. On average, 6 billion shares are transacted over FlexTRADER each month.
Fast Simulator, a new application within FlexTRADER, enables traders to simulate trading strategies, 25 to 80 times faster than real time using recorded tick data. "Until now, there has not been a trading system that also enables rapid simulation of algorithms and portfolio trading strategies on the same platform without rewriting the strategies on custom back-testing tools," said FlexTrade Systems President, Vijay Kedia. "This tool will appeal, in particular, to quants who are constantly looking to improve their trading strategies and algorithms."
The Oak Group, a long/short equity hedge fund and FlexTRADER client since 2001, is an early and enthusiastic adopter of Fast Simulator. "FlexTrade told us they were developing Fast Simulator last fall; we told them we wanted to be first in line to use it," said The Oak Group Managing Director, John W. James. "Simulating past trading and finding enhancements to improve upon our performance is helping us time our trades more effectively, lower impact costs and slippage. Thereâs nothing on the market today that works better than FlexTRADER."
James explained that The Oak Group handles hundreds of quant trades every day, each driven by highly intensive analysis. "FlexTradeâs sophisticated programming of Fast Simulator and the rules-based features within FlexTRADER enable us to very quickly test strategies using tick data," said James. Tick data, available in real time sequences as bid/ask prices and sizes (market data) and last sale and sizes (actual trades), can be difficult to clean, consolidate and maintain as The Oak Group discovered at an earlier time. "This data is unwieldy and too onerous to deal with. Even if you get the tick data to where it should be, you still need a trading system that can properly use it; most cannot. FlexTRADER is able to store the data as it is coming in from the market so that we can run the tape the way itâs happening: only faster," said James.
The addition of Fast Simulator makes FlexTRADER the first and only solution in the industry that offers traders the ability to conduct back-testing of portfolio-level strategies (research) and live trading, both, from a single platform. FlexTrade has also created a data set containing three years of tick data.
"Fast Simulator lets me test new models faster and with confidence," said The Oak Group Principal, Gajender Singh. "I can go back in time, change any strategy and measure it against a real trade. Taking a portfolio and running an entire day of trading in 20 minutes is unheard of. I have been trading for 13 years and can attest that there has never been a way to fine-tune a strategy using market sequenced data until Fast Simulator. Having the ability to test the validity of my models and perform my trading all on FlexTRADER means that I can use the same code and logic; this is a combination not readily found, at least to the same degree of effectiveness as with FlexTRADER."
A quantitatively enriched, algorithmic trading and order management system covering equities, foreign exchange, options and futures, FlexTRADER is unique in the marketplace for its organically developed and integrated end-to-end functionality including: pre-trade cost estimation; listed and OTC smart order routing; execution strategies; real time access to full depth of books; and transaction quality management. Well known for basket trading, FlexTRADER is also leveraged for its single stock trading and market making capabilities. From a single platform, FlexTRADER clients can access all proprietary and broker provided algorithms.
FlexTRADER is a fully customizable system, with pre-defined trading strategies and tactics for lists as well as single stocks. The ability to easily write and revise customized analytics and quantitative trading strategies within the system makes FlexTRADER a preferred choice among those engaged in agency trading, index arbitrage and other proprietary and standard strategies such as VWAP, transition trading, pairs and long/short trading. This flexibility, for example, gives statistical arbitrage and program traders the ability to act swiftly and with ease in mercurial market conditions, particularly as they look to minimize market impact, transaction costs and risk exposure when trading large, multi-sided portfolios. From a single, neutral platform, orders are routed automatically to various points of execution including approximately 80 broker-dealers, all leading ECNs and primary exchanges. FlexTRADERâs open architecture is configurable for multiple traders over a network, and runs on Sun Solaris, Linux and Windows NT operating systems.