Credit Suisse, Equiduct Trading, LiquidNet Share CEP Use Cases

Pre-trade analytics, liquidity seeking and anti-gaming top Wall Street’s list of CEP applications.

by Penny Crosman,  WallStree&Technology

What are the most useful ways Wall Street firms are using complex event processing (CEP) technology? To come up with new trading algorithms, to test the legitimacy of dark pool counterparties and to calculate best price across dark pools, said panelists at Wall Street & Technology’s Accelerating Wall Street event yesterday.

WS&T Editor-At-Large Ivy Schmerken posed several questions about the best use cases for CEP, both present and future. ……….

“CEP is core to our business,” said Dmitri Galinov, director and head of liquidity strategy at Credit Suisse Advanced Execution Services. As his group monitors 35 markets around the world, it uses CEP to analyze stock movements to find trends for which it might want to create a trading algorithm. …………..

Anti-gaming activity was the initial use case at LiquidNet, related CIO Kevin Lupowitz. “Users would come to us with their concerns about suspicious activity,” he said. ………

Kevin McPartland, senior analyst at Tabb Group, noted that CEP is also being used by Wall Street for compliance purposes. And when it comes to pre-trade analytics, “it’s not just about equities trading any more, it’s spreading into options and futures.” …………..

Schmerken also asked the panelists what their greatest CEP challenges were.

One hardship is that writing CEP logic is not as easy as it looks, noted Lupowitz. “It seems easy to get started, a lot of CEP engines come with a tool that lets you build a VWAP application right out of the box,” he said, and developers get excited about using the software. Later, disappointment sets in when they realize more complicated programs are much harder to build.  Report