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Real Time Risk / Portfolio Margin

Sterling Trading Tech (STT) provides a comprehensive solution that continuously calculates risk values for equity and equity options markets as well as Risk based haircut calculations for Portfolio Margin accounts.

Deployed as a SaaS model, the solution eliminates the need for users to build their own valuation engines, users can access real time calculations via easy to use API’s – reducing cost, complexity and overhead and providing improved risk management and over sight.

The STT solution consists of three components:

STE: Sterling Trade Engine
SRE: The Sterling Risk Engine
SRM: Sterling Risk Monitor

each of which are abstracted – thus only the components required by the user can be deployed.

SRE: STERLING RISK ENGINE

The Sterling Risk Engine (SRE) uses a sophisticated quantitative methodology to calculate real-time market shocks for a large universe of option contracts including equity options and options on futures. These shocks can be customizable and support several different types such as parallel and volatility-adjusted. The server calculates theoretical values and greeks at each shock level.

Built as an abstracted service, the SaaS model allows SRE to be independent of a user’s trading platform, broker and clearing firm. Thus it offers flexibility, security and quick, low cost implementation and integration.

The Sterling Risk Engine (SRE) also calculates all the Options Clearing Corp (OCC) TIMS methodology shocks. Coupled with a Portfolio Margin aggregator to calculate Risk based haircuts (RBH) and Customer Portfolio margin (CPM), the SRE provides intraday portfolio margin estimates for any OCC supported portfolio.

Once again, deploying a SaaS model enables quick and low cost implementation and integration. A user simply sends their positions in the form of a message to the SRE’s PM API and almost instantaneously receives a results message with the PM calculations with complete details of the OCC shocked values

DELIVERY METHODS:

The service operates in “Request/response” mode or “Continuous Update” mode.

Request/Response is the preferred mode for SRE, in which a user can send the positions in a portfolio, in the form of a simple message format and receives a response back with both the total margin requirement as well as line by line details for each position.

SRE offers ability to request the shocks for a given options contract or subscribe to a continuous feed of theo value and greeks.

From a technology set up perspective, we offer two distinct services:

  • TCP/IP based:
    If a user in located within the same network as our servers, via a cross connect or VPN, then they can send and receive messages from the service via a TCP/IP connection. In this case the message format is a text based message.
  • Web Services:
    If a user is outside our network, we have created a Web Services implementation in which the user communicates using Web Services (Restful/Socket) and sends and receives a JSON formatted message.

In both cases the message formats are simple to understand and parse and thus the implementation into a user environment and GUI is quite quick.

KEY FEATURES:

  • Subscription-based service
  • Seamless GUI/Front-end integration
  • In-house system installation and implementation
  • Remote support
  • Direct network connectivity
  • Real-time and customizable risk shocks
  • OCC defined shocks
  • Real time data / intraday calculations
  • Request/Response messaging service via secure gateway
  • Low latency allows for effective pre-trade / what-if analysis
  • Full implementation and support of house margin rule requirements
  • Flexible and secure architecture integration

Sophisticated analytics, cutting-edge technology:

Combining the power of big data and sophisticated quantitative modelling techniques, Sterling RSQ products are built using a unique “mesh” based algorithm that allows it to calculate real time options volatility, theoretical values and greeks extremely fast using stock hardware with little specialized code.

This breakthrough in options pricing analytics allows the implementation a large set of market shocks and calculate them continuously for the entire market in real time without the use of specialized hardware stacks and software.

ADD-ONS TO SRE: STERLING RISK ENGINE

STE: Sterling Trade Engine
Aggregate Positions

The Sterling Risk Engine (SRE) requires clients to send the positions for which risk shocks or portfolio margin is required via the API. For clients that need a solution to aggregate their positions from various trading platforms to further communicate with the API, Sterling offers a positions aggregation platform, Sterling Trade Engine (STE), which takes drop copies from multiple venues and creates an aggregated repository of positions for all accounts/traders of the firm. The Sterling Trade Engine (STE) integrates seamlessly with the Sterling Risk Engine (SRE).

SRM: Sterling Risk Monitor
Web-Based GUI for Monitoring Risk

The Sterling Risk Engine (SRE) sends the results via the API in a simple, easy to parse message format. This can be integrated into any GUI or display mechanism at the client end. However, for those clients that require a GUI to view the results, we offer Sterling Risk Monitor (SRM), which is seamlessly integrated with the SRE API. SRM is completely web-based with ability to view risk and portfolio margin for all accounts, with drill down capabilities.