Success stories
Competitive market making at trading firm
A proprietary trading firm wanted to increase its market share in a major index options product. The firm was looking for a competitive market making solution to support its experienced traders, both for screen trading and in the OTC market. Significant challenges in the market making activity included quoting of high volumes and tight spreads, especially during market peaks, and fast, accurate pricing of OTC deals. By deploying Orc Liquidator, the trading firm was able to implement a market making strategy that was more than sufficient for competitive market making. Co-location, server-based execution and asynchronous quoting dramatically lowered latency and increased throughput. The trading firm implemented a volatility model suitable for index options based on Orc’s Volatility Model API. By using Orc, the trading firm was able to quote with tighter spreads and higher volumes in all market conditions, resulting in an increased market share in on screen trading. In addition, Orc Trader could support the traders in their OTC trading activity to improve cooperation within the team and reduce the response time when pricing deals. As a result, the firm gave better service to brokers and increased its market share in the OTC market.
Structured products market making at investment bank
A tier one investment bank was looking for a solution to make markets in its structured products listed at multiple venues. Accurate pricing was critical, as was a technical infrastructure that could handle the significant volumes expected. Ideally, the bank also wanted to implement advanced proprietary quoting and quote responding logic, varying between different scenarios and market models. Due to the complex requirements, the bank was considering whether to build or buy a solution. The bank decided to buy, and deployed Orc Liquidator. Utilizing the Java API, a quoting and quote responding logic was implemented. With the help of Orc’s Pricing Model API, the proprietary pricing models used by middle office were integrated in Orc. By leveraging Orc’s extensive market access, the bank saved resources by being able to deploy the same strategies across markets for multi-listed products. Today the bank quotes 50,000 products across several markets using Orc Liquidator, and time-to-market for new issues has been drastically reduced. Co-location for the more competitive markets in combination with proprietary pricing and quoting logic allows the bank to safely quote tight spreads and large volumes without being picked off, which has led to a significant increase in turnover and revenue from issued products.