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Automated Security Pricing

Market makers in all asset classes need to continuously quote competitive rates. In today’s fast-moving electronic markets, setting prices in the OTC market’s requires an automated pricing engine (also known as an auto-quoting system) to adjust quotes based on real-time changes in market conditions. A finely tuned pricing engine can reduce latency in responding to the market and allow you to quote tighter spreads, which ultimately makes you more competitive.

While off-the-shelf pricing engines are available as components within some e-trading platforms, in most cases you can’t get the specific functionality you need without purchasing functionality you don’t. What’s more, these systems provide limited flexibility. In contrast, building a pricing engine from scratch isn’t always a viable option due to the cost and complexity of hiring a team of skilled programmers to develop the solution, in addition to ongoing maintenance expenses and overhead.

Sybase Event Stream Processor (ESP) provides a more practical alternative: the ability to implement a custom pricing engine quickly, without requiring any custom Java or C++ programming. Sybase ESP allows your users to define the business logic they need themselves, without the help of a programmer.


Simplified Integration of Multiple Real-Time Data Feeds
One of the most critical components of a pricing engine is the capability to accommodate real-time market data feeds as input. Sybase provides a comprehensive lineup of pre-built connectors to integrate market data feeds or to work with your existing market data platform.

Sybase’s high level authoring tools include a visual modeling environment that enables users to define their own business rules. You have complete control over data cleansing and validation rules and pricing algorithms. You can also reuse existing algorithms that may already be available as C++ or Java functions via the Sybase user-defined function interface.

Sybase’s pricing logic balances accuracy and flexibility in a three-step process:

Additional input to the cleansing and pricing algorithms can include historical data and unique tuning parameters under the control of a trader.

Output in the form of updates to your firm’s prices can be published as a continuous stream onto a message bus, a market data system, or directly into one or more downstream applications. Prices are also available as on-demand snapshots for requesting applications.

The diagram illustrates a typical Automated Security Pricing system configuration.

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