Multi-Resolution LP Analysis
In LP Relationship Management we discussed
how LP management is an important factor in running a successful retail trading business.
No single LP tends to excel in all areas of analysis
LPs matter regardless of risk management strategy employed, even if a broker B-Book's their risk, they still have to source good pricing in order to price the risk they take on.
Echo based visualisation of flow can be a useful discussion aid whilst managing those relationships. Have I given an LP good flow? Does their flow improve if we remove certain tags?
This month we've launched some new real-time and simulation view that can be useful as part of multi resolution analysis. We've focused on LP analysis.
Multi Resolution Analysis
With a lot of Mahi's products, we enable our user's to conduct analysis at varying time resolutions.
Tick Level
- Echo TOB provides a forensic analysis. It visualises each tick and helps us understand what our LPs were doing around a single event or trade.
Minute by minute level
Our Trading dashboard provides time series visualisation, enabling users to quickly understand and interpret what may have happened, or what is happening in the last 24 hours.
Each tab is dedicated to a style of analysis, all methods to help understand your PnL. You can easily zero in on anomalous behaviour and in one click move to another resolution of analysis to help solve trading issues fast.
Hour / Day / Week Level
- Echo screens like the spread histograms page present an aggregated view, where behaviour is tracked and analysed over long periods, which can be great for reporting & compliance needs.
Month Level
We capture every single LP tick and it gets sent to our data lake product where we can conduct historical simulations that can answer important trading questions without any capital at risk.
Period on Period Analysis
How a metric is performing relative to last week, allows you to spot when things have changed meaningfully. Perhaps tick by tick the change is not noticeable, but over a course of a week the cumulative effect the impact can be large.
Have I lost predictivity this week? Has my LP widened their spreads against me? How do I check this against all instruments?
Proactive Multi-Resolution Analysis & Alerting
In the evolution of many products we provide views, which require 24/5 monitoring, or polling in response to something else, for example a client complaint.
As we produce new forms of analytics at differing resolutions we are also able to setup alerting and threshold these metrics to automate the task for checking for changes in behaviour, or something that needs actioning.
Adaptive Optimisation & AUTOMATION
As these measures become more familiar and effective at measuring behaviour they can be fed back into online machine learning models that interpret the information and use it in responding to price formation and hedging strategy,