Citi Teams with Deltix on Integrated Algo-Trading Solution for FX

Citi has partnered with Deltix to provide an algo-trading solution integrated with streaming market data for backtesting automated FX strategies.

The solution is aimed at small institutions and professionals who want to research and backtest automated FX strategies against high quality pricing data sourced from a selection of key FX liquidity providers to CitiFX TradeStream.

The software consisting of Deltix Product Suite and related services are hosted in Equinix NY4’s data center in Secaucus, New Jersey.

“In our experience many traders of systematic strategies find that the process of back-testing their models against real data, and then implementing these models into a live trading environment lengthy and potentially expensive process,” commented Alex Knight, Head of CitiFX Margin Trading in a statement.

“CitiFX TradeStream provides traders with access to a reliable, tight and low cost aggregated FX feed with the benefit of having Citi as the trade counterparty via a CitiFX Margin Trading Account.

In setting up a joint solution with Deltix, Knight said that CitiFXStream is responding to the demand that they have identified from traders looking to deploy automated strategies.”

The solution is “tailor-made” for buy side firms trading on margin that have a Citi margin trading account. Its key features are: CitiFX TradeStream, an aggregated liquidity stream consisting of liquidity from multiple providers, including Citi. The second main feature is that Deltix’s Product Suite is hosted in Equnix NY4 and is integrated with CitiFXStream liquidity through a low-latency connection.

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While Deltix is providing the servers and connectivity in Equinix NY4, Citi is providing executable FX market data from their own desks and other liquidity sources, according to Stuart Farr, president of Deltix, who responded to questions via email. Deltix records this data for backtesting purposes, explained Farr. Research and backtesting is saved on the platform. In fact, one of the key features of Deltix is the same code developed in the research phase is the same that is deployed for production trading. Further, in this set-up with Citi, the data source and infrastructure are also the same. These are key advantages from cost, time to market and precision perspectives, wrote Farr.

The solution allows eligible users to try the system with support provided by Deltix, build and back-test strategies with real historical data, run the strategies in user acceptance testing (UAT) with live data and then deploy it in production against the same data feed, all in one seamless continuous process.

“More firms are trading FX on an automated basis”, stated Ilya Gorelik, CEO and founder of Deltix, in the release. “Successful managers not only have good processes for researching and testing new trading strategies, but also top quality data feeds, software, infrastructure and support so that these strategies achieve their full potential.”

Citi alone determines if users are eligible for an account with Citi. Likewise, Deltix determines suitability for its software, according to Farr.

Ivy is Editor-at-Large for Advanced Trading and Wall Street & Technology. Ivy is responsible for writing in-depth feature articles, daily blogs and news articles with a focus on automated trading in the capital markets. As an industry expert, Ivy has reported on a myriad ... View Full Bio