The Tradetech Daily

BNP Paribas

BNP Paribas

BNP Paribas'' SOR has been built internally and leverages the bank''s expertise in market access technology and quantitative research. Each regional SOR uses the same fundamental systems and technologies but have been designed and tested for the area in which they are used. The bank can also tailor the router to suit a range of clients from statistical arbitrageurs to retail aggregators. Typically, eligible venues, order split rules and priority parameters are items that are most frequently modified.

Access and algorithmic integration

Clients can access BNP

Paribas” SOR through vendor

and FIX-to-FIX connections

or in conjunction with any

algorithm in the bank”s

BEATS suite.


BNP Paribas” SOR accesses a

range of markets in Europe,

North America and more

recently Asia. This includes:

22 markets in the US; Chi-X

Europe, BATS Europe,

Turquoise and BNP Paribas”

internal crossing engine in

Europe; and markets that

dual list stocks in Asia,

primarily Japan.

Additional European dark

pools will be added in Q2


Order types and client reporting

The bank”s SOR can send

immediate-or-cancel, kill or

fill and limit orders to the

available exchanges and

venues. Immediate-or-cancel,

pegged and no limit orders

are used in the dark.

Best execution reports are

available daily, showing

execution details, price and

volume improvements.

reports over a longer

period of time can also be

run, analysing trading

performance according to

client-specified benchmarks.

Data feeds

BNP Paribas” SOR

incorporates data feeds from

all available exchanges and

venues, using internally built

data servers and technologies.

It uses both historical and

real-time data.

Routing logic

Routing is based on price and

available liquidity, with both

aspects continually

monitored on all accessible

venues. Heat maps are

currently used in the US only.

The SOR has a latency of

under one millisecond and

can process a few thousand

orders per second. It is part

of the bank”s execution

platform, which has a

complete fail-over set up that

is made of a combination of

hot and cold redundancy

servers. Clients can also

customise the SOR to suit

their needs.

Future plans

New venues and heat

mapping functionality will be

implemented in Europe

during this year.