21st Century Pricing Engines


In todays markets, there are a number of drives that influence the buy vs build of a pricing engine irrespective of asset class.  Those drives probably include the following:

  • Consistent pricing
  • Minimising the number of trade away %
  • Ability to on-boarding clients in a timely manner
  • High availability, low latency of both price construction, and price delivery

This leads to a number of requirements which i suspect maybe mandatory in certain organisations:

  • Liquidity steam per user (not client) sourced from a liquidity pool – historical 3-5 tier pricing probably isn’t good enough these days
  • High availability – consistent pricing from multi data centres
  • Injection of CIV to influence price construction
  • Ingestion of order and traded away data to improve the core price generation
  • Parameter driven configuration
  • Influenced by the latency from end to end – slow/fast consuming clients

Which then leads to the questions, do you build or buy an off the shelf product.

 

~ by mdavey on October 22, 2014.

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

 
%d bloggers like this: