April 27, 2022 - Quantitative Brokers (QB) a provider of advanced execution algorithms and data-driven analytics for global futures, options, and OTC fixed income markets, unveiled their new smart order router (SOR) for US Treasuries - Prism. In addition to being a liquidity aggregator, Prism dynamically shifts "child orders" across venues, intra-trade as it sees the potential for price improvement. Prism continuously evaluates trading venues in real-time by leveraging price signals, learned venue statistics and pre-trade market impact estimations. Prism is customisable based on user needs, venue costs, and client preferences.
Prism, already fully integrated with QB's entire algorithmic suite, is the first smart order router of its kind and purpose-built to achieve the best execution in US Treasuries. Prism currently supports all major UST liquidity venues. Further, Prism uniquely handles a wide range of trading protocols such as those of CLOBs, directed or private Request-For-Quote (RFQ) streams. The expanded range of trading venues allows customers to personalize their entire trading route, starting with the front-end, execution algorithm with desired benchmarks and liquidity venues of choice. "Prism is so timely in this rising interest rate environment where liquidity is increasingly fragmented across electronic platforms and protocols. Fixed income traders are seeking new ways to access liquidity while also cutting execution costs," said Christian Hauff QB's CEO and Co-Founder. "We've responded to our clients' requests by providing a solution that makes manual venue selection a thing of the past."
"Trillions of dollars trade in the US government bond market each year. It is an untapped part of the market where we bring our expertise and technology to improve our clients' quality of execution and workflow," said Robert Almgren, QB's Co-Founder and Chief Scientist. QB's Prism is a strategic solution for both the buy-side and sell-side and provides a single entry point to multiple liquidity sources. Prism will also optimize relative value orders such as curve, basis, and FLYs. Prism leverages QB's market microstructure expertise to confirm the quality of quote, market stability, and toxicity. It also uses advanced statistical analysis to analyze each venue's effective liquidity, order fill probability, and transaction costs in real-time and on an order-by-order basis. Prism is available via FIX, co-located at NY4, and native connectivity to the largest liquidity providers for reduced latency.
Quantitative Brokers (QB) is a global financial technology company, provider of advanced algorithms and data-driven pre- and post-trade analytics to clients in the futures, options, and interest rate markets. The company is built on a research-driven culture, market microstructure know-how, and algorithmic engineering expertise. QB continually develops and innovates an evolving suite of products to reduce and measure implicit trading costs for its clients. Headquartered in midtown Manhattan, QB has branch offices in London, Sydney, and Chennai.
In December 2020, Deutsche Börse completed the previously announced purchase of a majority position in QB.
Many of the world's largest institutional investors already use QB's portfolio of algorithms, simulation tools, and analytics. QB's suite of algorithms — Bolt, Strobe, Legger, Closer, Octane, The Roll, and Striker — are uniquely engineered for both central limit order books and OTC liquidity streams while accessible via all major execution and order management systems used by the buy-side, banks, and brokerage houses.
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