ANALYTICS FRAMEWORK

One of the SpiderRock core competencies is a robust, real-time analytical framework which is a key competitive advantage and differentiator of the SpiderRock trading platform.  This framework enables complete cohesiveness between our execution engines and our risk management layer, which substantially simplify the workflow required to manage and scale complex multi-assets trading strategies. 

Key Differentiators

Enhanced Order Routing

SpiderRock operates servers that continually compute implied volatility surfaces for all options expirations with live market quotes. These surfaces reflect a SpiderRock best fit of current markets and are subject to change if or when market conditions change. These live volatility surfaces drive the calculation of live greeks and can be leveraged by our clients to post liquidity at a dynamic limit price that is calibrated on the SpiderRock volatility surface. This method of execution enables traders to implement large scale strategies and lean on our execution engines to work child orders at a dynamically implied mid-market level in exchanges order books. The client can also implement a positive or negative offset from the SpiderRock surface to work child orders more or less aggressively than mid-market implied levels.

In addition, SpiderRock computes live Alpha Probabilities, which are proprietary real-time numerical estimates of expected short-term profitability of available price points, measured a few minutes post fill time. These alpha probabilities are computed using machine learning techniques and are encompassing many market micro dynamics to assist clients interacting dynamically with public market quotes at a certain level of passive/aggressive levels. Similar to the SpiderRock volatility surfaces, they can be leveraged as an expression of a dynamic limit price highly reactive to market conditions.

Enhanced TCA metrics

SpiderRock provides an integrated execution performance analysis, or TCA. The system provides detailed markup of all executions at arrival time, time of execution (public quote, public underlier price, surface volatility and price, probability metrics, exchange liquidity tags, estimated exchange fees, etc) and again at T + 1 minute and T + 10 minute (quote, underlier price, and SpiderRock surface) as well as end-of-day marks. This integrated data capture makes it easy to understand execution performance and manage a complex strategy accordingly.

Often, there is a tradeoff between executing faster and in a narrower range of strikes on the one hand, and achieving a lower total trading cost, inclusive of both liquidity access costs (short term P&L) and direct exchange fees. Our TCA metrics enable our clients to understand their market impact and cost of trading and can help them make some adjustments to their execution style using our dynamic algo parameters to achieve the desired balance between trading cost and trading velocity.

Enhanced Risk Management

SpiderRock leverage proprietary pricing models that are used to compute prices, implied volatilities, common options greeks and various scenario risk slides for equity and futures options.

SpiderRock risk servers are continuously computing performance metrics that help in analyzing and better understanding portfolio performance details. These performance metrics include: Start-of-Day (Open) and Position (Day) P&L on both clearing firm and SpiderRock implied volatility surface marks.

SpiderRock P&L metrics can be, especially for equity options, considerably more accurate that simple NBBO mid-quote marks. This enhanced accuracy can be invaluable when trying to understand aggregate P&L in a complex portfolio. Greek P&L attribution including Vega P&L, Gamma P&L, Theta P&L, Rho P&L, and Phi P&L as well as P&L effects from changes in discrete dividends. Also, option valuation (theoretical) model performance metrics including current valuation theoretical edge as well as P&L performance of positive and negative edge prior day positions and changes in theoretical edge.

Access To Our Analytics

Viewing Live Analytics

SpiderRock live analytics (volatility surface records, alpha probabilities, greeks, prices, etc.) are broadcasted throughout the system. Our analytics can be accessed via our GUI tools whether they pertain to trading or risk. Users have access to the full list of live metrics and can customize their trading and risk management screens however they’d like based on what metrics are important to them.

Programmatic Access

  • All analytics are programmatically accessible via our MySQL API (SRSE). SRSE is organized in distinct databases and all live records flowing through the SpiderRock message bus are kept in-memory under corresponding MySQL tables. Users can bulk query out of SRSE to programmatically access our live analytics running scripts in the language of choice (Python, R, C# etc.)
  • The SpiderRock MLink WebSocket and Rest API provide streaming and query access to the SpiderRock live analytics. MLink listens to all live records traveling through the SpiderRock message bus and makes the current leading-edge data available in two protocols: JSON and Protobuf. MLink adheres to top-tier security standards, guaranteeing dependable and secure transmission of data. 
  • Some of our analytics (Volatility feed) can also be broadcasted to our clients via multi cast channels. You can explore this offering at: Options Analytics | SpiderRock Data & Analytics

Access to Historical Records

For our historical data & analytics offering, please consult our Data & Analytics team.

CONSULT WITH US

Our broad and rich analytics are easily accessible via multiple delivery mechanisms. This empowers you to scale while keeping cost under control.

Consult with our team of experts to explore the SpiderRock data & analytics offering.

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