Robeco has adopted Goldman Sachs pre-trade cluster analytics and market impact estimates within FlexTRADER EMS.
The move is designed to optimize the support for Robeco’s best execution obligations.
Bastiaan Berendsen, Senior Equity Trader at Robeco, said: “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.”
“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 seamlessly access and view Goldman Sachs’ pre-trade analytics as actionable intelligence, deeply embedded within their order blotter, to adjust their trading style and strategy based on intra-day, trading-related information.
Further, with the trading clusters automatically populated within the order blotter, Robeco’s traders can 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.
Romanos Piperakis, Global Head of Electronic Trading Execution Research at Goldman Sachs, commented: ”Embedding GS IP directly into traders’ workflow is a significant step in improving efficiency and further informing their process. The continuous evolution of global equity markets renders staying abreast of trading behavior characteristics a daunting task. Our clustering framework, alongside next-generation impact modeling, brings rigorous modeling techniques to traders’ decision-making. Notably, the integration with FlexTrade allows a direct, implementable translation of said techniques to actionable outcomes.”
Andy Mahoney, Managing Director, EMEA, at FlexTrade, added: “Clients are continually looking to leverage increasingly sophisticated pre-trade analytics into the workflow to improve the quality of their execution. Enriching the trading blotter with pre-trade analytics and intraday trading behavior allows traders to speed up or slow down their trading activities accordingly. In addition, our open architecture and “API first” approach removes the friction of integrating new data sets, meaning Robeco’s teams can focus on how the data will be used as part of a natural workflow, both manually and in an automated way.”
Alex Harman, Managing Director, EMEA Execution Services, at Goldman Sachs, said: “We are delighted to have GS pre-trade cluster analytics and market impact estimates available to clients via FlexTrade. GS data provides FlexTrade clients several options to implement into their workflow to optimize best execution obligations, ranging from aiding manual decision making to enhancing algorithm wheel eligibility and strategy selection.
Delivery via API into FlexTrade results in a scalable and customizable solution that opens the door for future innovative data provision to FlexTrade & our mutual clients.”
