Millennium Partners LP: Q&A
A trading firm needed to rapidly increase operational efficiencies and expand its risk management analytics to support its growing trading operations. Since installing the Imagine Trading System to manage its trading risk, Millennium has been able to increase transactions processed 500% without major increases in staffing.
Processing large volumes of trades a day with the help of Imagine…
Q: What system were you using before Imagine?
A: Internally built systems were used. Due to trading demands, our systems evolved to accommodate various security types. Now we are able to use one system, for our equity, options and futures business. We use our own in-house system to execute trades. Electronic trade confirms are captured in a database and are then fed into the Imagine system. Imagine then takes care of all the consolidated real time P&L and back office functions. We have about 40 people using the system every day.
Q: How have you used the system’s risk management functionality?
A: The Imagine system helped in expanding our real-time P&L reporting to include more exotic instruments. For example, we use a lot of the functionality related to options. Risk management runs projections on option portfolios. Traders use the Wizard to price and evaluate option trades. If we didn’t have the Imagine system, we would have had to purchase some other kind of option analytics package and integrate it in our current environment.
Q: What do you think of Imagine’s ASP service?
A: Having a complete global security master file for all exchange traded instruments is a big benefit. Additional staff would have otherwise been required to maintain the security master file. We’re using Imagine’s ASP service to help track corporate actions. In the past, this was all done in house. Now Imagine is doing the bulk of the work, which frees up Millennium resources. Some nights we have several hundred dividend transactions to deal with. The result is our reconciliation process is more efficient and we can provide accurate information faster.
Q: What other functions you find valuable?
A: As a growing firm, we are constantly dealing with data and reporting issues. In our dynamic environment, batch reports are not a good solution. The Imagine system provides users the ability to query data into portfolios and select the fields they wish to see. A function which greatly expands this is dynamically re-aggregating portfolios. This functionality allows you to create rules that dictate how a portfolio is created. The rule can be invoked with a single mouse click. We have portfolios that aggregate traders within a particular trading strategy and with a single mouse click we can re-aggregate the portfolios to show us exposure across industry sector.
Q: What percentage of the system’s functionality are you using?
A: What we find is the functionality we use is specific to a problem we are trying to solve. Generally we are able to find functionality that helps solve a problem. If not, we may recruit Imagine resources to develop the functionality if necessary. One function we recently started using was symbol mapping. If you want to price a particular security in a different manner, you can give it a proxy symbol and feed an alternate price through that proxy symbol.
Q: How has that helped you?
A: A trader who is trading foreign options wanted to use a different pricing service and create some additional pricing fallback logic. Symbol mapping allowed us to provide him with an easy existing solution without changing the firm’s pricing policies.
Q: How has Imagine responded to your suggestions for improvement?
A: We scoped out 80 percent of our needs up front, but 20 percent we realized we needed along the way. We want to continue to grow the system and increase its capacity and throughput. We want to add other products and beef up the commission structure and strategy functions.
I’d characterize us as a pretty happy client. We’re a demanding client. We ask for a lot and we’ve gotten quite a bit.
Q: What impact did the Imagine system have on staffing levels within your IT and Operations departments?
A: There was an initial increase in staff, but soon after that, our volume started increasing tremendously. Now we’re processing four or five times more transactions a day. With the help of Imagine, we were able to handle that increased volume without major increases in staffing.
Managing the risks inherent in their positions, including holding sufficient margin, is absolutely essential for prime brokers. The key question is whether or not they are measuring risks and managing margin effectively and proactively.
This summary is based on research conducted between February and March 2021 with 20 banks looking at current trends and priorities for Prime Brokers in the Margin, Collateral and Data areas.
Zeal Asset Management selects TS Imagine for real-time portfolio and risk management for quantitative investment strategy
TS Imagine, a leader in trading, portfolio and risk management solutions for capital markets, has been selected by Zeal Asset Management, as the platform to run their quantitative investment strategy.