LIST’s FastTrade VOP (Volume Predictor) Module awarded the Most Innovative AI/NLP/Machine Learning Initiative for pre-trade by A-Team Innovation Awards
LONDON AND NEW YORK, 24 March 2021
The A-Team Innovation Award for the ‘Most Innovative AI/NLP/Machine learning initiative for pre-trade’, 2021 was presented to LIST.
FastTrade, LIST’s market defining EMS/OMS trading platform, that connects traders to multiple venues, managing optimal execution for all asset classes, now has an additional module, the ‘Volume Predictor’ (VOP), that effectively forecasts the next day’s trading volume curve by leveraging Machine Learning and Artificial Intelligence technologies.
Achieving an optimal execution strategy for order-driven markets entails mastering multiple challenges, such as reducing the market impact, achieving an execution price as close as possible to the working order benchmark and avoiding information leakage, just to mention a few.
The component is fully integrated with FastTrade and may be seamlessly used in conjunction with the platform algo trading engine.
This module exploits a deep learning approach based on neural networks (NN), trained on specific sets of historical data for each instrument. The best prediction results are obtained using a long short term memory (LSTM), recurrent neural network, trained once a week on two to six months of historical data, depending on the instrument.
The complexity of the prediction process is totally hidden from the end user. Once configured, the solution, fully integrated with LIST’s execution engine, automates the daily trading volume forecast, allowing the trader to select the preferred curve directly from the user interface.
FastTrade’s VOP module was released during the first quarter of 2020. One of the first clients to adopt the new solution is the brokerage desk of a very large European bank, that started using the tool in March. The head of the trading desk that deployed the module first, reported that the quality of algorithmic order execution despite the turbulent market conditions experienced this year, improved greatly, registering measurable benefits both for clients and the bank.
LIST’s Alvise Insalaco, CEO, said: “We are proud and delighted to be recognised for our team’s innovative and hard work in creating this unique and useful solution. We see Artificial Intelligence and high performance data analytics as core elements in all the innovative products and solutions that LIST delivers.”