ABN Amro Capital Markets has selected Vhayu Velocity to provide real-time and historical VWAP calculations and trade volume profiles for ABN Amro’s proprietary equities trading application.
The implementation follows client demand to capture European equities data received through Reuters RMDS, perform thousands of real-time analytics in milliseconds and publish the results to a customized ABN Amro order management system.
The bank is also using Velocity’s tick capture engine capabilities to store tick data, which is accessed by a Mantas-provided compliance system. As a result, the bank has a single platform for its real-time and historical market data needs with the capability to produce precise pre-and post-trade calculations instantaneously while maintaining a tick storage database for regulatory compliance.
“Trading firms now realize that a simple end-of-day VWAP is no longer sufficient to accurately reflect today’s evolving market,” says Jeff Hudson, CEO of Vhayu. “As firms work to improve their trading performance, the ability to perform rapid VWAP measurements according to their own trading strategies is crucial. By selecting Vhayu, ABN Amro will be able to leverage the Velocity platform to dynamically track VWAP for thousands of equities at customizable intervals over user-defined trading durations.”