London Stock Exchange Group

The advanced trading suite with algorithmic support for

buy-sides, sell sides, exchanges & hedge-funds

algorithmicpath

The POWER to LEAP AHEAD !

HIGHLIGHTS

• Designed for buy-side and sell-side traders

• Equipped with built-in industry standard algorithmic strategies and intuitive user interface to build proprietary models in a very short time

• Enhanced compiled Python as host language to write actions to be assigned to graphically defined AND-ed or, OR-ed events

• Flexible internal matching engine with live real-time data to test strategies as in real markets in terms of prices and events

• Back-testing environment to evaluate new strategies and play back existing ones on pre-defined scenarios

• Easy integration with DMA platforms from third parties

• Parallelism ensured at strategy manager level and at strategy level

• Systematic Strategy/Data distribution (Global & local)

• Locally processed data distributed & readily available across collocation centres

• Scalability and load balancing ensured by multiple strategy servers within the same network

• Fault detection and handling ensured by multiple strategy managers

www.gatelab.com

Quick Overview Designed for buy-side and sell-side traders, algorithmicpath is a scalable high-performance low-latency Complex Event Processing (CEP) environment providing easy access to built-in industry standard algorithmic strategies as well as an intuitive user interface to build proprietary models without bothering to tackle the complexity of algorithmic solutions.

Seamlessly integrated with traderpath (EMS/OMS) platform, algorithmicpath allows traders to design, test, validate and maintain their own models for trading, quoting, pricing and hedging via an intuitive point-and-click user interface and a standard language for timely release into the production environment.

Strategies can be conceived as a set of AND-ed or OR-ed events triggering related actions. Enhanced compiled Python has been chosen as the host language to write actions to be assigned to graphically defined AND-ed, OR-ed events. Multithreading and high performance are guaranteed as well as expansibility by end-users.

Architecture Core of the algorithmicpath CEP architecture is a high-performance distributed blackboard (across several servers) used not only as a central repository for low-latency market data and historical data, but also to share internal data produced by each strategy. By writing new/updated data on the blackboard, Events (simple, OR-ed, AND-ed) will be fired, triggering the execution of corresponding Actions.

The algorithmicpath CEP engine can process high volumes of fast-moving market data (notified through the traderpath DMA platform) from several sources and perform actions in the market in two-digit microseconds to decide, monitor and analyze execution activities.

Fast prototyping and highly reduced time-to-market are guaranteed in a massively parallel environment.

Functional Features

Strategies: multi-asset cross-market strategies, a toolkit of pre-packaged open-source algorithms for immediate use or for further end-user customization, enhanced compiled Python language support for fast and easy building of complex trading strategies, financial and technical analysis libraries immediately embeddable in strategies, extensible environment through end-users’ custom libraries.

Test environment: a flexible internal matching engine with live real-time data (cloning real market behavior) to test strategies as if in a real market in terms of prices and events, a back-testing environment to evaluate new strategies and analyze existing ones. External adapters are available through traderpath DMA platform; easy integration with DMA platforms from third-parties.

Additional Features

Parallelism: one or more strategy managers per server, i.e. more strategies handled simultaneously by each strategy manager, or many strategies handled by a pool of threads in each strategy manager, as well as one or more strategies handled by a single thread;

Scalability and load balancing: a plurality of strategy managers might be available within the same network to provide automatic strategy distribution sharing the same blackboard;

Fault detection and handling: multiple strategy managers might be available within the same network to provide automatic recovery from hardware and software faults;

Technology: deployment platforms include: Linux and Windows.

Graphic IDE The graphic IDE is made up by two modules: Point & Clickend-users can focus on business logic (described in terms of events and related actions) rather than on other relevant

This approach enables fast prototyping, allows reduced timesolution. The final compiling and multi-site deploying phases will ensure performances and distribution of strategies.

Strategy Execution and Monitoring

The run-time environment allows executing and monitoring of one or more strategies across multiple servers.

Each set of homogeneous strategies is displayed in a separate pane of the control window. Each row of this pane shows all input and output parameters of the specific strategy, its status icon and any relevant information to

The graphic interface to enter parameter values or change them at rungenerated by the execution environment, while the output messages of each strategy can be displayed in the corresponding output pane.

Operational Scenarios Sell-side scenario: an Investment bank can adopt algorithmicactivities such as: quoting, spread trading, basket-trading, price discovery. At the same time, use algorithmicpath to provide their customers with sophisticated trading strategies, monitoring volumes and prices within a predefined historical time-horizon. MIFID compliance is achieved as well in terms of implementing the agreed execution policy for each one of its customers.

Buy-side scenario: algorithmicpath can support leading fund managersgaining enhanced flexibility in the choice of trade execution can monitor markets in order to detect abuse and discover trading opportunities. At the samcan rely on algorithmicpath in order to provide investors with high riskmarkets, found in the mispricing among stocks within the same sector. It also helps to capture anomalies, relatistrength or even fundamental differences between two stocks or baskets, while maintaining a market neutral position.

Conclusions Designed as a fully resilient scalable service, algorithmicpathalgorithmic strategies, monitor their execution and tune parameters

Thus giving utmost flexibility and control to end users.

algorithmicpath is available with a toolkit of pre-defined opennew ones can be written in critical areas such as: pre/post trading activities, arbitrage, spread trading, pricing and hedging, market making, across several markets.

These capabilities allow firms to quickly react to rapidly changing environments

Click Event Editor and Guided Action Editor. Using this IDE users can focus on business logic (described in terms of events and related actions) rather than on other relevant

programming aspects such as: state handling, multithreaded development, messaging, historical and live data synchronization, interface with data feeds, performance optimization, graphic user interface to provide/change input parameters.

The Point & Click Event Editor easily allows to graphically depicting AND-ed or OR-ed Events-Actions behavior of the strategy with input, state and relation parameters. The Action Editor allows writing actions in a language sensitive environment using enhanced compiled Python as a standard language.

prototyping, allows reduced time-to-market and provides a lower-risk complex problem site deploying phases will ensure performances and distribution of strategies.

vironment allows executing and monitoring of one or more strategies across multiple servers.

Each set of homogeneous strategies is displayed in a separate pane of the control window. Each row of this pane ic strategy, its status icon and any relevant information to monitor it.

The graphic interface to enter parameter values or change them at run-time for a specific strategy is automatically generated by the execution environment, while the output messages of each strategy can be displayed in the

algorithmicpath for its proprietary desks to perform market making trading, price discovery. At the same time, leading broker banks can

to provide their customers with sophisticated trading strategies, monitoring volumes and prices horizon. MIFID compliance is achieved as well in terms of implementing the agreed

leading fund managers to take direct control of trading strategies, gaining enhanced flexibility in the choice of trade execution - including direct market access. Furthermore, managers can monitor markets in order to detect abuse and discover trading opportunities. At the same time, leading hedge funds

provide investors with high risk-adjusted returns, uncorrelated with equity markets, found in the mispricing among stocks within the same sector. It also helps to capture anomalies, relative strength or even fundamental differences between two stocks or baskets, while maintaining a market neutral position.

path provides a high-level development tool to manage algorithmic strategies, monitor their execution and tune parameters whenever market conditions change.

defined open-source strategies, which can be easily modified, whereas new ones can be written in critical areas such as: pre/post trading activities, arbitrage, spread trading, pricing and

rapidly changing environments.

About GATElab, now part of London Stock Exchange Group, was founded in 1989 with the ambition of playing a leading role in the application of emerging technologies to mission-critical areas of e-trading. Since the ‘90s GATElab has been providing customers with cutting-edge technologies in hard real-time transaction and information handling, for any kind of electronic source or destination such as electronic exchanges, multilateral trading facilities, data vendors, etc Lately, an extremely high-performance low latency matching engine and high frequency trading Risk Gateway has been also added to the list of GATElab products

- GATElab’s multi-asset cross-market suite of components, MiFID compliant, fulfils the needs of buy-side, sell-side, exchanges and hedge-fund partners by offering:

- from a fast single-click trading front-end to a flexible and easily-programmable automated trading and quoting engines,

- from a dealer-to-broker fix interconnection and a fast EMS, to a real-time forwarding of captured trades/orders to position keeping and back-office systems.

GATElab’s professional trading suite is designed to be deployed in facility management, in-house or at a proximity hosting or co-location facility

Headquarters V.le dei Pentri, 161 – 86170 Isernia (Italy) - Tel. +39 0865 8201 Offices 10 Paternoster Square - EC4M 7LS London (UK) - Tel. +44(0) 20 77973200 V. Maurizio Gonzaga, 5 – 20123 Milano (Italy) Tel. +39 02 871261