Custom Development for the Buy Side
CompatibL has been developing custom applications for the buy side since 2005. Our buy side customers include asset management divisions of two of the largest international banks.
Below is a partial list of custom buy side applications developed by CompatibL.
CompatibL developed a performance attribution and stress testing application for a top 5 US investment bank including:
- Performance attribution screens implementing the customer's proprietary methodology;
- Drill down capability based on OLAP processing;
- Screens for analyzing the impact of curve shape changes on performance;
- Stress testing tools based on what-if scenario analysis.
Algorithmic Vol Trading
CompatibL built an application for algorithmic volatility trading (equities and interest rates) including:
- Model screens with multiple chart types and drill down capability;
- Visual integration of cross sectional and historical data in a single screen;
- Statistics and pricing model library on top of which the customer developed proprietary quant models;
- Market and reference data integration.
Algorithmic Equity Trading
CompatibL built an algorithmic equity trading application for a US hedge fund including:
- Signal analysis and order creation tools. The orders generated by the algorithm are analyzed by the trader before being executed. CompatibL created a set of screens for the trader to make a rapid decision, including visualization of the signal, alerts to rapidly assess the impact on concentration and incremental VaR, filings search, and news articles search;
- API for creating signal generation algorithms;
- API for creating allocation algorithms, including the ability to cancel the trade or adjust allocations based on rules in case of partial fill;
- Backtesting environment to run the algorithms against historical or Monte Carlo generated data;
- Integration with the fund's proprietary APIs for execution management.
High Frequency Trading
CompatibL built a high frequency algorithmic trading application for equities on one of the European stock exchanges, including software integration at a data center located near the exchange floor. The application included:
- Event processing engine for running the algorithm and backtesting;
- Tick data capture from the exchange for use in backtesting;
- Transaction cost analysis and algorithm parameters adjustment to reflect actual costs;
- Direct market access to the exchange;
- Integration with real time market data;
- Built and deployed the server infrastructure collocated at the exchange data centre.