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.
Destinations
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
2011.
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.
Ad
hoc
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.