FX Analytics. An Overview

Transcription

1 FX Analytics An Overview

2 FX Market Data Challenges The challenges of data capture and analysis in the FX Market are widely appreciated: no central store of quote, order and trade data a decentralized market a very high volume and velocity of quote data increased scrutiny from regulators increased competition = challenge to retain clients and maintain yields growing sophistication of market participants putting yields under pressure 2

3 FX Analytics as a Service Kx addresses challenges in the FX Market with our solution: FX Analytics-as-a-Service (fxaaas) The service will help you: Identify those relationships that are providing real value to your business Customize your FX service to meet the requirements of every client Optimize your client and Liquidity Provider experience Drive your FX business to more profitability 3

4 Out of the box Analytics The FXAaaS solution from Kx is based on applications developed in Kx technology, the highest performing time-series database available. With existing feedhandlers to all major Fx market venues and liquidity providers, Kx will harmonize all your data sources into a single Kx database. Once in Kx, the data is ready for ultra-fast multi-dimensional analysis by you and your team. We have used our extensive domain knowledge to build a number of FX analytics and dashboards that are out of the box for our clients, showing: 1. Pre-trade data 2. Execution data 3. Post-trade data 4. Profitability 4

5 Execution Analysis Full execution transparency - clear audit of every trade to show execution at best price available. Display market prices around trade execution. Monitor LP hold times and compare to rejections are you being last-looked? This analysis allows you to address any issues you discover directly with LPs, to improve your overall execution. Chart showing market pricing around trade execution Example of trade snapshot Order Audit showing full book of available liquidity available at time of trade Analysis of Liquidity Provider hold times 5

6 Post-Trade Analysis Fill % analysis based on trade size, CCY pair, timeframe Fill % per taker, by LP (& vice versa) Rejection categorization Fill % time series and ranking Volume analysis and comparison Volume per taker, by LP (& vice versa) Volume ranking Volume time series Time series of taker orders (identifying toxic flow) Rejections per client and CCY Client slippage Heat maps of client activity Market pricing and trading activity by time/size Example of volume / rejections per Liquidity Provider Client volume traded heatmap, total traded in lower half Distribution of trades across CCY pairs with single Liquidity Provider 6

7 Multi-venue Order Analysis This dashboard produces statistics based on all Venues. Eg. All trades from Integral, Bloomberg etc. Venue Specify or Select All Shows all rejected trades 7

8 LP Response Times Drill down dash on all LP Streams Average Response Times. Drill down on each ccy pair, volume quantity, fills or rejects. Analyse which streams have slowest response time by size and ccy Example of LP Stream Response Times Heatmap and barchart updates through each drill down Client volume traded heat map, total traded in lower half 8

9 Profitability Analysis Utilizing the power of Kx, FXAaaS dashboards can show you: PnL per client/trader Taker time decay profitability Transaction listings Skew analysis Yield per CCY/client This service will provide the answers to the question: What client flow should I manage, in which way? Dashboard showing price decay pre- and post-trade. Profit reports by CCY/ client account. 9

10 Mark-to Market Overview The Mark_to _Market analysis shows the Market Impact We have taken T+30 (PnL at Trade Time plus 30 seconds) as the reference rate to calculate the Stream Ranking. Account/Stream Continue to drilldown for more granular detail. Graphical representation of Profitability by rank. Ability to remove particular mid points from graphs to see how this would affect market impact. 10

11 Technology and Trade Lifecycle Alignment Trade lifecycle Real time & historical analytics Execution Pre -trade Execution Post -trade Analysis Data Visualization HTML5 Dashboards LP / ECN Aggregation Best Bid : Ask / Spreads Algo Creation (& Price Feed) Fill/Reject Ratios FX Market Analysis (Price, VWAP, VWAS ) Profitability Analysis (Trader) Opportunity Cost Analysis (Time Buckets & Traders) Time Sensitivity Analysis Behavior / Pattern Detection Price Pools A&B Book Multiple Mark Ups Split Trades Business Intelligence Stream for Kx: Unified CEP and Database Platform (data capture, analytics and warehouse Kx 11

12 FXAaaS Deployed Architecture 12

13 FXAaaS Hosted Architecture Trading Venues SBPs Other Data Reference Data Trade Data Feedhandlers Data Loaders Ticker Plant Market Database Alerts Engine Real time & historical databases Workflow Engine Aggregator Reports Engine Feed Monitors LP Dashboard Client Trading Profitability Historic Queries HTML5 Dashboard views 13

14 Contact For more information please contact Kx and kdb+ are registered trademarks of Kx Systems, Inc., a subsidiary of First Derivatives plc 14