Enhancing Gas Market Trading with the Quant Office Energy Suite
Background
A large producer, trader, transporter, and supplier of gas sought to improve their trading effectiveness by leveraging Deltix solutions for strategy development, market making, and risk management.
Challenges
Deltix identified that the client had the following needs:
- A way to efficiently consolidate and analyze large historic datasets (e.g., level 2 price data).
- Tools to optimize strategy development and back testing.
- Real-time execution for market making, trading on OTC/other markets, and hedging FX exposures.
Solutions
Deltix provided QuantOffice Energy, a comprehensive suite of tools to address the client’s business and technical requirements:
- TimeBase: Consolidated historic and real-time data from unstructured and structured sources.
- QuantOffice: Enabled Python and proprietary strategy development, back testing, and optimization.
- ExecutionServer: Facilitated deployment of strategies for market-making, trading, and hedging.
- Real-Time Aggregator: Streamed live data directly into strategies for paper and live trading and to TimeBase to increment the historic data set for further research.
Results
- Unified historic and live datasets allowed efficient strategy development and refinement.
- Improved real-time execution for gas trading, market making, and FX hedging.
- Increased trading effectiveness directly on Trayport and other energy markets.
- The team using QuantOffice Energy became a key source of positive P&L within the firm.
