Robeco has adopted Goldman Sachs pre-trade cluster analytics and market impact estimates within FlexTRADER execution management system (EMS).
The move is designed to optimise the support for Robeco’s best execution obligations.
“We continually look to streamline and augment our trading team’s workflows with the highest quality data and analytics to improve overall trading performance for our clients,.” said Bastiaan Berendsen, senior equity trader at Robeco.
He added, “leveraging Goldman Sachs pre-trade equity data clusters within FlexTRADER EMS delivers the actionable intelligence our traders need to achieve this and enables us to automate our workflows further to improve efficiency and focus on high-touch orders,” he said.
With this integration, Robeco’s trading teams using FlexTRADER EMS can easily access and view Goldman Sachs’ pre-trade analytics as actionable intelligence, embedded within their order blotter, to adjust their trading style and strategy based on intra-day, trading-related information.
In addition, the trading clusters automatically populated within the order blotter enables Robeco’s traders to set parameters and apply dynamic rules within FlexTRADER EMS to automate and streamline workflows to improve efficiency.
The Goldman Sachs Equity Clusters data set classifies each stock according to its individual market microstructure characteristics, using multiple factors derived directly from tick-level data, and organized via a semi-supervised learning approach.
As a result, each stock can belong to one of 13 differently labelled clusters that provide a concise depiction of stocks’ intraday trading behavior.
In conjunction with the clusters dataset, Goldman Sachs’ quantitative execution research team has revamped the modelling and calibration of their market impact estimates, applying an impact propagation framework that is cluster-aware, and offers significantly higher accuracy than traditional models.
“Embedding GS IP directly into traders’ workflow is a significant step in improving efficiency and further informing their process,” said Romanos Piperakis, global head of electronic trading execution research at Goldman Sachs. “The continuous evolution of global equity markets renders staying abreast of trading behaviour characteristics a daunting task.”
Andy Mahoney, managing director, EMEA, at FlexTrade, added: “Enriching the trading blotter with pre-trade analytics and intraday trading behaviour allows traders to speed up or slow down their trading activities accordingly.”
Robeco is the second major buy-side firm to implement the FlexTRADER EMS in the last six months after T. Rowe Price also implemented it in December to support its institutional fixed income business.
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