In response to the Knight Capital loss and the HKSFC consultation on electronic trading, this leading Australasian investment bank approached GreySpark to assist in an independent review of the current risk control framework for the algorithmic trading business.
For regulatory purposes, the client’s electronic FX and Fixed Income businesses have identified a need to document and evidence their catalogue of eTrading algorithms, detailing and evidencing a series of predefined control metrics.
Under the obligation set out by the OCC and CFTC the client required assistance in developing the foundation elements for a Algorithm Risk Management (ARM) framework.
Under the obligation set out by the OCC and CFTC the client required assistance for full self-disclosure in the form of documented due-diligence of their Automated Trading Programs (ATP) across their Securities and FX business.
Following a preliminary Pre-Trade Risk review done by GreySpark, this leading Australasian investment bank required GreySpark to perform the actual assessment for its entirety of Electronic Execution Systems (EES).