Robeco’s equity desk engages Goldman Sachs analytics in FlexTRADER

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Robeco is live and in production with Goldman Sachs pre-trade cluster analytics and market impact estimates within FlexTRADER execution management system (EMS). The service is designed to optimise the support for Robeco’s best execution obligations.

The Goldman Sachs Equity Clusters data set classifies each stock according to its individual market microstructure characteristics, using multiple factors derived directly from tick-level data, and organised via a semi-supervised learning approach. As a result, each stock can belong to one of 13 differently labelled clusters that should provide a depiction of stocks’ intraday trading behaviour.

In conjunction with the clusters dataset, Goldman Sachs’ quantitative execution research team has applied an impact propagation framework to the modelling and calibration of their market impact estimates, which is cluster-aware and intended to improve accuracy over traditional models.

With this integration, Robeco’s trading teams using FlexTRADER EMS hope to access and view Goldman Sachs’ pre-trade analytics as actionable intelligence, embedded in their order blotter, to adjust their trading style and strategy based on intra-day, trading-related information.

Robeco’s traders should be able to set parameters and apply dynamic rules within FlexTRADER EMS to automate and streamline workflows to improve efficiency.

Bastiaan Berendsen, senior equity trader at Robeco.

Bastiaan Berendsen, senior equity trader at Robeco, said, “We continually look to streamline and augment our trading team’s workflows with the highest quality data and analytics to improve overall trading performance for our clients. Leveraging Goldman Sachs pre-trade Equity Data Clusters within FlexTRADER EMS delivers the actionable intelligence our traders need to achieve this and enables us to automate our workflows further to improve efficiency and focus on high-touch orders.”

Romanos Piperakis, global head of electronic trading execution research at Goldman Sachs.

Romanos Piperakis, global head of electronic trading execution research at Goldman Sachs, said, ”Embedding GS IP directly into traders’ workflow is a significant step in improving efficiency and further informing their process. The continuous evolution of global equity markets renders staying abreast of trading behaviour characteristics a daunting task. Our clustering framework, alongside next-generation impact modelling, brings rigorous modeling techniques to traders’ decision-making. Notably, the integration with FlexTrade allows a direct, implementable translation of said techniques to actionable outcomes.”

Andy Mahoney, managing director, EMEA, at FlexTrade.

Andy Mahoney, managing director, EMEA, at FlexTrade, noted, “Clients are continually looking to leverage increasingly sophisticated pre-trade analytics into the workflow to improve the quality of their execution. Enriching the trading blotter with pre-trade analytics and intraday trading behavior allows traders to speed up or slow down their trading activities accordingly. In addition, our open architecture and “API first” approach removes the friction of integrating new data sets, meaning Robeco’s teams can focus on how the data will be used as part of a natural workflow, both manually and in an automated way.”

Alex Harman, managing director, EMEA Execution Services, at Goldman Sachs, added, “We are delighted to have GS pre-trade cluster analytics and market impact estimates available to clients via FlexTrade. GS data provides FlexTrade clients several options to implement into their workflow to optimize best execution obligations, ranging from aiding manual decision making to enhancing algorithm wheel eligibility and strategy selection. Delivery via API into FlexTrade results in a scalable and customizable solution that opens the door for future innovative data provision to FlexTrade & our mutual clients.”

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