Horizon Software has launched an innovative market data recording and replaying module which lets financial institutions replay an entire day of market data for a broad range of asset classes and instruments, including stocks, futures, options, bonds, indexes and ETFs. The can help enables traders test and fine-tune their algo strategies using the day’s data.
The Replayer records real-time market data, which can then be replayed at any time, giving traders the ability to analyze, benchmark and test trading strategies using real market conditions. Simulated tests can also be run to establish a benchmark baseline for repeat tests. Replayer can also provide proof of best execution requirements for regulations such as RegNMS and MiFID.
, says: “The Horizon Replayer is being used for real-time stress testing of trading strategies on the whole list of 50,000 instruments on the Euronext Derivatives exchange,” said Sylvain Thieullent, CEO for electronic rading at Horizon Software. “If an algo is not performing as expected, a trader can replay the whole trading day and fine-tune his algos, significantly improving performance.”
The Replayer works alongside other Horizon Platform functionality, such as algorithmic trading, warrants, delta-one, options trading and market making.