Proprietary Trading - FICC

Proprietary Trading - FICC

Trading Signal Computation

A unified high-performance signal computation platform for FICC prop trading — ingesting yield curves, credit spreads, FX rates, options volatility, position exposures, and macro factors in real time with millisecond-level signal generation. Covers rates term structure trading, credit spread arbitrage, basis trading, curve arbitrage, FX carry, and volatility strategies, with a shared codebase across research, backtesting, and live execution ensuring zero logic drift.

Distributed vectorized computation supports parallel real-time fitting of multiple yield curves — Treasuries, policy bank bonds, credit bonds, SHIBOR — alongside cross-instrument spread computation and multi-tenor signal generation, giving FICC prop desks the speed to act on rapid rate moves, credit events, and FX dislocations.

Valuation & Pricing

Real-time valuation and mark-to-market across bonds, Treasury futures, deposits, interest rate swaps, FX forwards, and FX vanilla options — with millisecond-level P&L and NAV updates. Built-in yield curves and volatility surfaces support Black-Scholes, Hull-White, Heston, Dupire, and custom pricing models for structured products and complex derivatives.

A single unified market data and computation layer serves trading, risk, and finance teams with consistent valuation views — enabling standardized mark-to-market, precise P&L attribution, and auditable valuation workflows across the prop desk.

Featured Tutorials & Best Practices:

Trade Monitoring

Full-lifecycle execution monitoring for FICC prop trading — tracking fill efficiency, slippage, and market impact in real time, alongside FICC-specific metrics including execution price deviation from yield curves, liquidity conditions at time of execution, and duration exposure changes.

Live market and liquidity data integration enables dynamic execution quality assessment, with instant alerts on pricing anomalies and excessive liquidity consumption. Full audit trails support rapid intraday response and post-market analysis — helping FICC prop desks refine trade timing, improve order execution, and enhance strategy performance while managing liquidity costs.

Transaction Cost Analysis

Comprehensive TCA for FICC prop trading — covering explicit costs (commissions) and implicit costs (bid-ask spreads, liquidity costs, market impact, timing cost, and financing costs), with flexible attribution by instrument type, tenor, strategy, and counterparty.

Systematic analysis of historical execution helps FICC desks identify high-cost scenarios such as low-liquidity windows, benchmark aggressive versus passive execution strategies, and optimize trade timing and order splitting — striking the right balance between liquidity management and cost control.

Independent Risk Monitoring

An independent risk control layer for FICC prop trading — subscribing to live market data, positions, orders, and fills in parallel without impacting execution latency. Monitors duration, convexity, credit, liquidity, FX, counterparty, and margin risks in real time alongside VaR, CVaR, and Greeks computation. Alerts trigger instantly on threshold breaches, with automated controls linked to the trading system — comprehensive risk oversight without sacrificing execution speed.