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Corvil Insight Fuels Performance

Traders Magazine Online News, March 20, 2019

Shanny Basar

Buy-side firms are looking to use data to provide more granular analysis of the performance of an order across its life cycle in order to help boost returns as the industry faces increased competition and margin pressures.

David Murray, chief marketing and business development officer at Corvil, told Traders Magazine's sister publication Markets Media: “Legacy transaction cost analysis as an obligation has given way to greater sophistication and analysis. The buy-side is demanding more transparency and details
on execution from the sell-side.”

Corvil provides data analytics for electronic trading by capturing and analysing all message and trade traffic with sub-microsecond level precision. The firm has developed transaction quality analysis capabilities, which cover and correlates both execution outcome and performance across the order life cycle. This insight enables market participants to improve execution quality.

Optimal execution typically begins with timely and complete market data.

“You cannot put bad fuel into an engine and expect high performance,” added Murray. “Ensuring the quality and timeliness of market data is key to trade decisions as well as pricing, hedging and execution decisions. Understanding performance across the order lifecycle offers insight to optimize applications and infrastructure. Examining client and trader performance and outcomes allows firms to understand normal behaviors, inefficiencies, and risk to flow. The right analytics drive optimal execution and provide a performance advantage for our clients.”

Last year Corvil launched Intelligence Hub, which was developed over three years to provide analytics and visualisation that can be used easily in electronic trading. Corvil captures trade details such as the precise time of a transaction, how long it took, the counterparty response or outcome, etc. and then normalizes and enriches the information.

Murray explained that investors are no longer satisfied with fill rates of orders to monitor execution,
but now demand a breakdown by order type, or symbol or broker. In addition, as markets have become
more fragmented and execution choices have increased, they want to be able to identify anomalies across venues. Corvil automatically correlates data from each trading venue in real time so clients can make the best routing decisions in response to market conditions or signs of performance degradation.

“We are increasingly using artificial intelligence and machine learning to identify anomalies in real-time, rather than at the end of the day, which allows clients to take action much sooner,” he added.

For example, if the data shows that a venue is having issues executing a particular type of order, a broker or trading firm can modify an execution algo immediately to shift the rest of the order to other venues.

Artificial intelligence can also help firms meet the requirements of MiFID II, the regulations that went live in the European Union last year. For example, the regulation mandates that financial traders have to stay within designated order to trade limits, which can be difficult to monitor intra-day. However, machine learning can be used to predict if the ratio is likely to be breached and alerts can prompt traders to take corrective action.

MiFID II expanded pre- and post-trade transparency and best execution requirements from equities into other asset classes including fixed income, derivatives and foreign exchange derivatives. Murray said there is increasing demand for FX transaction quality analysis, and it is growing in Rates as well.

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