Source: Option Computers
Option Computers has implemented a market risk management module within its DealHub application suite which allows banks to implement real-time controls over algorithmic trading models.
The solution is now live globally with a major customer and controls models executing via Reuters Dealing 3000 and EBS AI. Additional venues will be available soon.
Banks are able to impose a gross turnover limit and net limits on a total, model or per currency basis. Warning level breaches generate various alerts and can stop the trading API automatically. An audit trail for MIS, brokerage and usage analysis is also created. "Banks need to deploy models trading across multiple venues safely and quickly. This module addresses the key issues of market risk monitoring, automatic failover, disaster recovery and STP in a single delivery," explained DealHub's Peter Kriskinans.