Commentary

Brijesh Malkan
Traders Magazine Online News

Solving the Last Mile Problem in Investment Research

One executive takes a forward look at how will the research value proposition change over the short to medium term, and what are the products and strategies managers will turn to?

Traders Poll

Do you think it's a good idea to conduct an access fee pilot to assess the pricing models used by many trading venues?

Yes 0%
No 0%
Should have had a pilot program a long time ago. 100%

 

Free Site Registration

December 1, 2002

The Renaissance OMS: Key selling points

By Editorial Staff

Fee Simple

Due to shrunken spreads most institutional Nasdaq trades are now done for a commission-like fee rather than a bid-ask spread. Accommodating this critical pricing change has kept OMS vendors busy for much of the past year and a half. Renaissance says its conducts fee-based trading better than the other guys. "The solutions we've seen from our competitors are very manually intensive," said DeGigilio, Renaissance's chief technology officer. "They force traders to spend time directing shares to the right destination. That should be on autopilot. Traders should be addressing order flow and making markets."

In contrast, allocation strategies can be completely automated in Renaissance, says the exec. That's because Renaissance continuously monitors traders' order books, positions, the market and incoming order flow. "For every print that comes in from the Street, we take a real-time view of their book to see how many customer orders would be eligible for those shares," DeGigilio said. "We only apply to that bucket the number of shares that are needed to meet the demand of those client orders." That saves the trader from trying to figure out on his own how to divvy up an execution, he added.

Tradin' Along

Often a market maker will commit capital for a customer in the morning, lose some money and request that he share in the customer's profitable prints of the afternoon. Renaissance's allocation features allow the market maker to instruct the system to automatically pass some of those profitable prints into his own account. "I think we're the only solution that takes trading along into consideration when we do the allocation into the buckets," DeGigilio said.

Autopilot

Robbie Stephens was an institutional shop but it still handled a fair amount of retail flow, according to DeGigilio. Renaissance was built to automate as much of the small order handling as possible. The aim was to free the trader to focus on blocks.

Renaissance will automatically execute orders based on the stock, the customer, the market maker, the time of day, Manning, etc. It can automatically price improve, cross orders and display limit orders. "You can make more names with the same number of traders," noted DeGigilio. "You can put a whole bunch of things on autopilot."

Again, the system continuously monitors the book, the trader's positions and the market to determine the applicability of auto-ex in any given situation.

Out for Lunch?

If a trader must leave his desk or focus on a single stock, his pad can be transferred to a colleague "with one push of the button," DeGigilio said.

The co-worker can pick up where the trader left off with all or just some of the names on the pad. A supervisor may have the authority to "give" the pad to another trader while one trader may have the authority to "take" the pad from the first trader, depending on configuration.

Time Stamp Madness

To provide an audit trail Renaissance time stamps every twitch of an order. That means when it enters the system, when it executes, when a cancellation message is sent, when a cancel is acknowledged, etc. And with each stamp the system provides a snapshot of the market at that particular millisecond.

That means the bid-ask spread, the market maker's quote, his volume, the market volume, etc. "We time stamp every systematic thing done to the order down to the millisecond," said DeGigilio.

Stopping

Renaissance takes stops into account when allocating prints. If a market maker stops his customer at one price, he doesn't want to worry his OMS will print the customer at the actual execution price. It could be inferior.

Often dealers will guarantee their clients a certain price, but wind up trading the stock at an inferior price. They must eat the loss. Renaissance will take into account one stop or multiple stops, says DeGigilio.