Overview of the Algorithmic Trading Accelerator
Note: The Algorithmic Trading Accelerator (ATA) is deprecated and will be removed in a future release.
The Algorithmic Trading Accelerator (ATA) installs with the Capital Markets Foundation (CMF). Unlike solutions that offer commoditized, pre-defined strategies, the ATA enables you to quickly develop, refine, and deploy unique algorithmic trading strategies built upon your own intellectual property. The ATA relies on Apama's patented Event Stream Processing (ESP) platform to apply strategies against high volume market activity, enabling users to achieve trading objectives.
Apama includes an extensible framework for integrating with market data feeds, middleware technologies, order management systems and databases. And it offers a rich dashboard environment for graphical monitoring of algorithmic trading execution. The following illustrates the runtime architecture of a solution based on the ATA.
In a production environment, adapters feed events to an Apama correlator, which filters events and applies trading strategies. An administrator can set up risk firewalls to prevent unauthorized trading. Traders can view the orderbook and trade using the supplied Apama dashboard or a customized trading user interface. For an example of a custom trading interface, see the FX Aggregation solution, which is also based on the CMF.
ATA includes tools to monitor market flow and depth and to execute orders through one or more of the following:
Basic Direct Market Access (DMA) with explicit buy and sell orders.
Execution distribution strategies such as Volume-weighted and Time-weighted Average Price (VWAP and TWAP), order slicing, iceberg, and Percentage of Volume (PoV).
Market-responsive analytic strategies such as momentum trading, and crossover.
Complex algorithms such as statistical arbitrage that are sophisticated in terms of the logical constructs that define them as well as the technological requirements to run them effectively.
All order activities can be monitored by several overlapping trading firewalls that are defined for sets of users, venues, and instruments. Each firewall monitors prices, quantities, positions, and client balances to alert traders at one threshold, and reject orders at the outer limit. The firewalls protect the client's interests when order submission and trade execution are virtually immediate.
Using ATA as a starting point for a custom solution allows you to:
Develop unique automated trading strategies in a graphical modeling environment.
Package existing algorithmic modules for reuse in new strategies.
Build upon a foundation library of trading algorithms.
Evaluate and refine strategies by testing against historical data.
Execute thousands of trading scenarios concurrently.
Use packaged connectivity for access to financial feeds.
Optimize trade opportunities for both sell-side and buy-side firms.
Out-of-the-box, ATA provides a trade simulator and start-up scripts, which make it easy to explore ATA and learn about its capabilities. The following illustration shows the demonstration architecture.
This document shows you how to set up the Algorithmic Trading Accelerator, run it in demonstration mode, explore its client screens, set up distributed clients, and use Software AG Designer to create custom trading algorithms.
