Wavelabs has opened up its eLiSA execution management system (EMS) to non-users with modular versions of the system’s analytics products, The TRADE can reveal.
Traders using EMS from other vendors or simply looking to access analytics modules included within eLiSA as a standalone product can now do so.
eLiSA is designed to reflect a credit trader’s workflow using an API based model to route and complete orders. Its flagship offering is centred around artificial intelligence-based predicative analytics aimed at automating the liquidity seeking process. A user can access the analytics either via API or through a small user interface which can be integrated with a trading environment.
Among the key products to now be available to traders and portfolio managers in a modular format is the EMS’ predictive fair value (FV) model.
Based on TRACE data for US bonds and Neptune and Glimpse data for bonds in Europe, the model uses artificial intelligence to predict the fair value of an instrument by analysing historical data from a group of similar ones.
“Fixed income trading is all about pre-trade analysis,” Miles Kumaresan, CEO of Wavelabs told The TRADE. “We want to open our armoury of analytics to those using EMSs from other vendors or those who simply only want analytics. Traders and PMs can then pick and choose the ones that are relevant to them.”
eLiSA has seen increasing buy-side interest of late after it onboarded its first hedge fund client earlier this month. Groupama asset management has also been working with Wavelabs on its European fair value initiative.
“It is very interesting angle to share the power of FV forecast as an external data feed,” Groupama AM head of trading, Eric Heleine told The TRADE. “Having in pre-trade a clear fair value of the bond can authorise more duration in the execution of the bond to provide additional alpha for the portfolio manager.”
Over the last few years, Heleine has facilitated controlled live test trading of eLiSA both bi-laterally with JP Morgan as well as through venues, Wavelabs said.
Wavelabs is now working with a large US asset manager on a systematic portfolio screening tool. The new tool uses historic bond pricing and CDX constituent information from S&P Global to identify ten liquid bonds every day that have a “high chance of excess short-term momentum”.