Michael Baradas

Implementing multi-asset and cross-asset algorithms presents substantial workflow challenges for many institutions.  Bloomberg Tradebook’s PAIR Multi-Asset platform provides a comprehensive solution to electronically integrate with OMS’s and EMS’s in the marketplace.

In our previous posts, Part 1 and Part 2, we illustrated the mechanics of cross-asset and pair algorithms.  While a broad range of institutional investors are trading multiple asset classes in cross-asset strategies, a good number of them are challenged with certifying the algorithms into their standard OMS and EMS workflows.

Source: Bloomberg Tradebook
Source: Bloomberg Tradebook

Cross-asset algorithms require order parameters that can be different from standard single-stock or list algorithms (Figure 1).  With PAIR’s streamlined user interface, traders will enter single order details (i.e. side, ticker, shares), and parameters for the defined relationship between the securities (i.e. spread limit, order slices, initiate leg).

Controls and constraints are then applied to the individual legs and spread strategy, such as aggression levels and volume participation (Figure 2).  In addition, the specialized data required to nourish a pair algorithm ticket can be more intensive than a single stock algorithm.  This explains why cross-asset or pair algorithms have been slow to implement into customers’ OMS and EMS platforms.

Source: Bloomberg Tradebook
Source: Bloomberg Tradebook

Given the complexity of these cross-asset strategies, the trader can save all the parameters in strategy templates (Figure 3).  At any time, the trader can then activate these strategies on the feature-rich PAIR Multi-Asset blotter.

Source: Bloomberg Tradebook
Source: Bloomberg Tradebook

PAIR Multi-Asset is fully integrated with all of Tradebook’s Equities, Options and Futures platforms (Figure 4).  A Tradebook user is able to manage all of their cross-asset strategies on the Bloomberg Professional Terminal.

Source: Bloomberg Tradebook
Source: Bloomberg Tradebook

However, most institutional clients use an Order Management System (OMS) and/or an Execution Management System (EMS) in their daily workflow.  In addition to executing orders, OMS and EMS platforms are central to managing institutional trading desk processes, such as risk management, compliance, and allocations.  Given these objectives, the PAIR Multi-Asset platform provides sophisticated integration solutions with a client’s OMS and EMS.

Source: Bloomberg Tradebook
Source: Bloomberg Tradebook

Several solutions are available to integrate PAIR Multi-Asset with a client’s EMS (Figure 5).

  1. Drop-copies from PAIR Multi-Asset will send executions back in real-time over FIX to a client’s EMS. A risk-ticketing feature can also be enabled for PAIR Multi-Asset to first check for parent orders in the EMS, before activating a strategy.
  2. Full FIX-staging is available from an EMS to PAIR. As we described earlier, certifying all PAIR features may be burdensome for an EMS.  A Generic ticket solution is provided for FIX-staging the minimum required order parameters to PAIR.  The trader can then set the additional parameters in PAIR before activating the strategy.
  3. A PAIR Multi-Asset FIX schema is also available to fully certify the PAIR algorithms in an EMS.
Source: Bloomberg Tradebook
Source: Bloomberg Tradebook

The same integration solutions are also available for a client’s OMS (Figure 6).

Source: Bloomberg Tradebook
Source: Bloomberg Tradebook

Finally, for clients using an OMS and EMS in their workflow, complete integration is available with the PAIR Multi-Asset platform.

A masonry contractor checks a piece of natural stone for level outside a new home under construction in Dunlap, Illinois, U.S., on Wednesday, March 30, 2016. The U.S. Census Bureau is scheduled to release construction spending figures on April 1. Photographer: Daniel Acker/Bloomberg

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