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BAXTER RateEngine

BAXTER RateEngine

Market Makers increasingly require rate engines to adapt to a wide range of sources rather than be constrained by the whims and risk of a single source, which may or may not be offering the most up-to-date prices available.  The BAXTER Rate Engine can receive rates from a variety of sources in addition to the standard market data vendors, including internal models publishing via spreadsheets or external parties via FIX or direct API connections.

Extraction Module

The extraction module accepts multiple sources for the one currency, and once extracted, performs a normalization routine on rates from each source to ensure compatibility before forwarding the rates through to the next stage.

Rates can be filtered by, priority/reliability, spread, volatility and staleness.  Spikes are eliminated, thereby ensuring clean prices are sent forward to the next stage.

Cleaning Module

A powerful cleaning algorithm takes the results of the filtering process and assigns a tradability level to each rate which is then made available to the dealer pricing interface.

Cleaning algorithms use a proprietary methodology based on priority, reliability, spread, volatility and staleness.

These algorithms can be configured to the Bank’s own standards. The resulting validated Market Price is sent to the TrackWheel module.

TrackWheel

This is the receiving Module from the rate validation process above.  It presents the Core Price to the Dealers in visual form and allows them to create multiple spread levels and skew pricing to reflect their market position or view. This module contains a GUI (screen) and a Software component. It is from this element that the Front Office manages the price and from here that the Dealer can switch off pricing, if required.

A unique feature of the Track Wheel is its Price management functions whereby spread widening and responses to Market fluctuation warning messages can either be left to the system to control or handled manually by dealers.

Forward Monitor

The creation of forward prices is a science where investment in analytical and calculation resources has traditionally been high.  BAXTER recognizes this and provides various methods of extraction and monitoring Bank forward prices in the Rate Engine.  The tabbed layout of the forward monitor allows an almost unlimited number of points to be defined on the currency curve with each point controlled for tradability within the Rate Engine.

Price Display

The Rate Manager comes with a Price Monitoring Display which can be used to allow the distribution of cleaned prices to any number of users within the organization.  Sales and Management users can see all rates being priced and their status at all times.

Benefits

With the opportunity of offering Executable Streaming Prices to the Bank’s customers, it is essential that the Bank is fully satisfied with the base information it is receiving from the initial Price supplier.  The old saying “Garbage In/Garbage Out” is as true today as it was then, only now the cost of getting it wrong can be astronomical.

Unlike other e-FX vendors, the BAXTER Rate Engine was an integral component of the original development of the BAXTER Price Engine.  The two applications therefore sit together seamlessly, causing no delays in passing clean prices from one to the other.

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