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Price Making and Trading firm Chalice Partners required a system that would provide market pricing for their Corporate Bond ETF’s according to a proprietary algorithm. The system needed to place and receive real-time pricing and order information from Bloomberg ESMX.
XTB also needed to develop calculators for their website for products Fixed Income Bonds, Floating Rate Notes and Inflation Indexed Bonds. The overall website and user interface already existed, but the calculators themselves required specialist expertise to develop.
Working closely with the client in an Agile fashion, we firstly developed an Excel prototype which the client was able to adjust to fine tune the layout and proprietary pricing methodology.
Once finalised, we built a robust version using Microsoft .Net, allowing us to use threading technology to enhance the performance of the Bloomberg ESMX interface.
The database is hosted on the Microsoft Azure platform, providing security and the ability to use the application from multiple locations.
For the website calculators we used industry standard formulae and our own iterative techniques. We developed PHP based calculators (including reverse calculations for price or trading-margin-to-yield) that could be plugged into the website as required. Input and output coding was used so that the client was able to perform extensive testing prior to going live.
The system has enabled the client to automate and grow their price making and trading business with minimal ongoing costs. The system has been running for several years and requires very little maintenance. The database continues to be hosted on Microsoft Azure.
The website calculators work seamlessly with the website user interface, with fast response even for the iterative calculations.
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