We helped a Managing Director of a global investment bank and his team of quants and technologists set up a new proprietary trading business (a “prop desk”). The client’s aim was to expand and complement the existing business units with new a desk providing non-correlated revenues, based on statistical trading principles.
The main mandate was to design and deploy algorithmic trading strategies, across liquid electronically traded assets, leveraging some of the existing technology infrastructure. As well as partnering with other desks in London, New York and other major financial hubs around the world.
The multi-asset portfolio included Fixed Income, Currencies, Commodities and select Energy Equities. The contracts traded included Exchange Traded Derivatives (futures and options) and Over The Counter (forex and metals). Some of the trading strategies were high frequency, some low frequency.
Some of the deliverables of the project activities we led:
- Business & technical specifications
- Trading strategy development & deployment processes
- Risk management processes
- Asset specific algorithm development plans
- Backtesting system and graphical user interface
- Market/ reference data (proprietary, Bloomberg and Reuters)
- Software and hardware infrastructure (OS, servers, data storage, networks)
- Relations with other desks, IT and other functions
- 3rd party relations, such as CME, ICE, Euronext, Eurex and LME
In addition, we helped monitor Phase 1 of Production (live trading) and Risk ($25 million Value at Risk for a one-day holding period).
It took us about a year to help launch and manage the new business successfully. To help manage the change and the business, we adopted an approach based on some PMI standards, combined with our knowledge of capital markets and the structure, culture and politics of the bank.
Contact the Team Lead who worked on this project: