ABN Amro Capital Markets is using market data software from California-based Vhayu Technologies to provide real-time and historical VWAP calculations and trade volume profiles for its proprietary equities trading application.
Vhayu says ABN Amro has implemented its Velocity platform to power algorithmic trading and compliance applications for European equities.
The installation follows client demand for the ability to capture European equities data received through Reuters RMDS and publish the results to a customised ABN Amro order management system.
Jeff Hudson, CEO of Vhayu, says: "ABN Amro will be able to leverage the Velocity platform to dynamically track VWAP for thousands of equities at customisable intervals over user-defined trading durations. Velocity will provide ABN Amro with the speed and scalability to calculate and publish these VWAP calculations in real-time while managing the escalating trading volumes."
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 offering pre-and post-trade calculations instantaneously while maintaining a tick storage database for regulatory compliance.