Portfolio Risk2017-07-11T20:45:14+00:00

Portfolio Risk Management

The SpiderRock live portfolio risk system maintains an accurate intra-day view of all positions and trades along with extensive P&L attribution and risk metrics including greeks as well as standard and customizable SPAN slide measures. Our risk system is well-integrated with all major prime brokers and is suitable for integrated equity, future, and option portfolios of any size.

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We engineer solutions that enable our clients to scale their strategies while controlling risk

INPUTS

START-OF-DAY POSITIONS

The Platform allows clients to upload their SOD position files themselves or facilitates a direct upload from the client prime broker systems. Positions are rotated from the previous day. Break checking between rotated positions and prime broker positions is supported and visible via our GUI tools.

RESTRICTED LISTS, LOCATES, ETC.

SpiderRock execution engines can automatically mark client orders long/short or open/close based on live positions as well as working orders. Clients can upload restricted lists and locates so that the system restricts trading in desired symbols and enforce locate requirements as needed.

LIVE MARKET DATA

We intergate live market data for all US listed equity, future, and option markets. We also utilize live volatility surfaces and greeks for all listed options.

EXECUTION ENGINE FILLS

All SpiderRock executions are automatically integrated into our portfolio risk system and include rich analytic data markup that features proprietary short-term performance and risk metrics.

DONE AWAY TRADES

We accept drop copies of done away trades via FIX gateways. Drop copies can be submitted either by clients or their executing broker. The Platform also allows manually-entered tickets for done away trades via the SpiderRock GUI tools.

INPUTS

START-OF-DAY POSITIONS

The Platform allows clients to upload their SOD position files themselves or facilitates a direct upload from the client prime broker systems. Positions are rotated from the previous day. Break checking between rotated positions and prime broker positions is supported and visible via our GUI tools.

RESTRICTED LISTS, LOCATES, ETC.

SpiderRock execution engines can automatically mark client orders long/short or open/close based on live positions as well as working orders. Clients can upload restricted lists and locates so that the system restricts trading in desired symbols and enforce locate requirements as needed.

LIVE MARKET DATA

We intergate live market data for all US listed equity, future, and option markets. We also utilize live volatility surfaces and greeks for all listed options.

EXECUTION ENGINE FILLS

All SpiderRock executions are automatically integrated into our portfolio risk system and include rich analytic data markup that features proprietary short-term performance and risk metrics.

DONE AWAY TRADES

We accept drop copies of done away trades via FIX gateways. Drop copies can be submitted either by clients or their executing broker. The Platform also allows manually-entered tickets for done away trades via the SpiderRock GUI tools.

OUTPUTS

SPIDERROCK GUI TOOLS

SpiderRock provides an elaborate collection of risk GUI tools for analyzing account and portfolio risk, and acting to either hedge or modify account risk profiles. This collection includes the Risk Viewer (RV), the Hedge Tool (HT), the Risk Manager (RM), and the Risk Analyzer (RA).

EXECUTION ENGINE CONTROLS

Our execution engines are well integrated with our risk system, and send live execution notifications to our risk servers to keep an accurate real-time risk picture for individual traders as well as risk managers.

ELASTIC CLUSTER ARCHIVE

Clients can retrieve archived live positions, live market and analytic data as well as risk details from our Elastic cluster interface. These records are uploaded to the Elastic cluster at the end of each trading day or as available.

AUTOMATED TRADING / HEDGING

Our Hedge Tool (HT) computes hedging baskets based on bandwidth targets for complex option portfolios. It targets either day trades, start-of-day positions or both. It can run repeatedly during the day or selectively as needed. Our Risk Manager (RM) can scan the market to automatically generate portfolio-wide risk opening and/or closing orders.

SRSE / SQL SERVER

Clients can retrieve live positions, live market and analytic data as well as risk details from our SQL interface. These records are published live during the day and are visible via SRSE.

OUTPUTS

SPIDERROCK GUI TOOLS

SpiderRock provides an elaborate collection of risk GUI tools for analyzing account and portfolio risk, and acting to either hedge or modify account risk profiles. This collection includes the Risk Viewer (RV), the Hedge Tool (HT), the Risk Manager (RM), and the Risk Analyzer (RA).

EXECUTION ENGINE CONTROLS

Our execution engines are well integrated with our risk system, and send live execution notifications to our risk servers to keep an accurate real-time risk picture for individual traders as well as risk managers.

ELASTIC CLUSTER ARCHIVE

Clients can retrieve archived live positions, live market and analytic data as well as risk details from our Elastic cluster interface. These records are uploaded to the Elastic cluster at the end of each trading day or as available.

AUTOMATED TRADING / HEDGING

Our Hedge Tool (HT) computes hedging baskets based on bandwidth targets for complex option portfolios. It targets either day trades, start-of-day positions or both. It can run repeatedly during the day or selectively as needed. Our Risk Manager (RM) can scan the market to automatically generate portfolio-wide risk opening and/or closing orders.

SRSE / SQL SERVER

Clients can retrieve live positions, live market and analytic data as well as risk details from our SQL interface. These records are published live during the day and are visible via SRSE.

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