USER CASE

Evaluating Arbitrage Strategy in a New Market Target: Front Office Strategy and Trading Platform Developers, Quantitative Traders and Analysts, Project and Product Managers.

CHALLENGES AND GOALS

► Quickly and economically estimate demand, opportunity and potential profitability of constructing new exchange platforms or adding new products to existing platforms.

► To determine optimal location and capacity of infrastructure supporting new products

CASE DESCRIPTION

The first step was to create a virtual copy of a production trading environment. For that, we used BEST Constructor components: Network Simulators, Client Simulators, SOR Simulators, Exchange simulators and company's own applications embedded inside the environment.

Then, we run general body of tests such as performance, profitability, and hedging quality. The results were compared with historical and if necessary, we tuned virtual environment to match production characteristics. All new and /or additional market simulators for high-fidelity statistical simulation were parameterized. After that, we run initial performance and business/trading analysis in the new environment. We analyzed the performance of the strategy and attribute profitability to IT or business characteristics.

Then we created an improvement plan, based on the results of the analysis. We focused on a pair of version of infrastructure and capital commitment. Using Constructor Components and Standard Testing Libraries and Scenario Packages, we created Functional, Performance and Business Testing Environments. We developed and tested the software and keep testing the system through standard design and development process. Index and Store results of tests, business simulations and code versions for further analysis using BEST Evolution tool.

REQUIRED COMPONENTS

► BEST Studio

► BEST Data Manager and Data Converter, or client’s own high frequency data storage solution

► Market Data Simulators

► BEST Performance Testing package

► Exchange Simulators with Performance and High-Fidelity Simulation packages and Library containing rules of specific exchanges

► BEST Monitor with Performance and Business & Trading Package.