The StratBench software was designed to be able to monitor numerous arbitrage opportunities and automatically trade them either when they are in range by crossing the double or by bidding/offering one side of the strategy and hedging when it trades. This same capability allows us to offer a market making capability, where we can make a double on the primary instrument and hedge a basket of underlying instruments (each with their own exchange and denominated in their own currency).

The system typically takes less than 1ms from receiving a trade confirmation to sending hedge orders. Once those orders have been fulfilled, it will go back on screen to bid/offer again. Any underlying hedge positions not matched with the initial order, will have their price amended to ensure execution upon the next price update in the market. In this way, the hedge basket trade is completed quickly.

The bid/offer can be set as a static number of basis points away from the underlying NAV/Fair Value, or can be set to stretch away from the NAV/Fair Value as a position is accumulated. The size of the block bid/offered will be a function of what can be hedged at that point, but can also be limited to a size smaller than that.

The system is capable of simultaneously market making numerous instruments at the same time and is able to dynamically allocate capital between the various instruments as the positions change.

It has been built to connect to brokers using a variety of API’s including Bloomberg EMSX, RealTick/EZE, IRESS, Sungard, Interactive Brokers, GenXs and is set up so that FIX communication can be enabled to new providers quickly and easily. The software has been in production for over 5 years.