SJ Levinson and Sons, a US-based mid-tier institutional brokerage firm, has revamped its Trade Analysis Program (TAP), giving its clients a number of new ways to scrutinise execution performance.
TAP is a pre- and post-trade analysis tool that uses tick data to measure trading performance for the entirety of a firm's order flow against a variety of benchmarks on a T+1 basis. The tool was launched in 2010 and was initially used by six clients including ING Investment Management, J.P. Morgan Asset Management and Texas Teachers.
The tool has been developed to offer institutional firms four perspectives on the performance of their trades.
It allows PMs to analyse the performance of the orders they generate, and compare that with the performance of similar orders from different portfolio managers within the same firm.
“One of the new enhancements to the products allows firms to look at overlapping shares and transactions prospects so the PM can see the potential effects of other PMs on their order,” Matt Celebuski, senior managing director, head of quantitative research and trading, SJ Levinson, told theTRADEnews.com.
The tool also allows clients to monitor the execution performance of their trading desks and brokers against custom benchmarks; traders can measure the momentum – i.e. the movement of a stock after the trade – at the venue level for a period of up to three months.
After consulting with customers, the latest version of the tool, TAP 2, is backed by new technology ¬– enabling faster load times and improvements to the reporting engine ¬– and incorporates more sources of data and indices. It also now supports large data sets, outlier filters, an enhanced graphical user interface and web reports.
“The new version of TAP is really a complete overhaul of the previous product as we changed both the front-and back-end of the tool,” added Celebuski. “We were using the same data model for the first two years, but have now tailored the offering based on customer feedback.”
Celebuski joined the firm in January 2009 from investment bank Bear Stearns, where he was managing director for equity analytics and systematic trading. He has since focused on building up its quantitative trading tools, including proprietary algorithms, transaction costs analysis and an order flow router that runs within a client's own trading infrastructure.