Santiago Stock Exchanges Readies Algo Offering

Chilean exchange Bolsa de Comercio de Santiago is set to offer its first trading algorithms to members sometime during the second half of the year, according to exchange officials.

During the first phase of deployment, the Santiago exchange will roll out popular trading algorithms like time-weighted average price (TWAP), volume-weighted average price (VWAP) and arrival price modules that traders can customize to use on the local Chilean exchange, as well as the Colombian and Peruvian stock exchanges that make up Mercado Integrado Latinoamericano (MILA), or Andean Exchange, says Andrés Araya Falcone, CIO at the Santiago Stock Exchange.

"Brokerage houses will be able to modify each algorithm to reflect their own ‘secret sauce’ and to differentiate their trading strategies in the market," he adds. "The Santiago Stock Exchange will provide an ‘all-in-one’ solution that includes integrated markets, market data from MILA, and any of over 100 global markets provided by IBM WebSphere Front Office and integrated with our Telepregon HT trade workstation."

After the exchange rolled out its new Telepregon trading engine in 2010, which can support more than 3,000 orders per second with sub-millisecond latency, trading volume on the exchange grew by 68 percent over the second half of 2011, as did the demand for direct market access (DMA) from local and foreign traders.

"This and regulatory changes provide incentives for market-maker activity in the Chilean market—hence the necessity for providing these sorts of tools now," says Falcone. "With the order-routing projects in the Mexican exchange and Brazil exchange starting during the second half of this coming year, we have perfect conditions and momentum for algorithmic trading tools."

The Santiago Stock Exchange tapped StreamBase Systems to provide the complex event processing (CEP) platform to make integrating CEP-based applications with the Telepregon HT workstation easier.

"Using StreamBase, our clients could scale their trading strategies, by providing an open and connected environment for MILA equities and by the end of this year, derivatives markets in Chile and Brazil," says Falcone. "When clients want to scale out and execute sophisticated trading strategies, or put their own proprietary logic into those strategies, or combine trading algorithms with their proprietary analytics, the integrated StreamBase/Telepregon HT architecture will be a good mix."