Pipeline Trading Systems, a US-based buy-side only crossing network operator, has launched Alpha Pro in the US and Europe, a tool designed to help traders tailor their trading process from pre-trade analysis to execution performance monitoring.
Alpha Pro uses historic trading activity and real-time market conditions to identify common trading scenarios and predict intraday alpha capture.
After the appropriate trading strategy has been recognised, Alpha Pro creates trade execution strategies which use Pipeline’s Algorithmic Switching Engine and Block Board.
Pipeline’s Algorithm Switching Engine uses predictive technology to select from a range of vendor-provided execution algorithms when trading, while the Block Board consists of an interface that sits on the trader’s desktop and flags large orders that are ready to be executed against.
After execution, Alpha Pro helps clients to measure performance based on the specific trading scenario for each trade, which enables them to measure implementation performance in relation to the expected underlying alpha.
According to Pipeline, the system has so far resulted in implementation cost savings of between 10-40%.
“Our collaboration with Pipeline to develop custom strategies is delivering exciting results,” said Ben Sylvester, head trader at J.P. Morgan Investment Management, who worked closely with Pipeline to develop Alpha Pro.
“Our traders now have the opportunity to quickly access optimal strategies that are specific to exactly the situation each order faces on arrival.
We’re benefiting immediately by our early commitment to next-generation trading technology.”
“In the past, pre-trade TCA and trade optimisation have been focused on the average cost for the average trade, ignoring the specific circumstances of each situation,” added Dmitry Rakhlin, head of quantitative trading at AllianceBernstein. “Portfolio Managers’ investment style, factors triggering a trade, intra-day market conditions were all left outside of a typical transaction cost model. Traders need to make decisions for each specific trade, not for the average one.
We’ve been working for some time to bring information to the traders based on an analysis of each trade arrival.”