Bloomberg Tradebook Strategy Analyzer (STAZ), a pre- and working-trade analytic product built for Tradebook clients over the Bloomberg terminal, looks at tick level data in real time and provides insight on how much a stock will trade in the dark, total volume, auction volume and price range using sophisticated analytics. It then uses this information to recommend an algorithm.
“In terms of what the high touch trader has available today — tools to make appropriate quantitative decisions — there is a dearth,” said Kapil Phadnis, global head of algorithmic trading at Bloomberg Tradebook. “I see a major change in the way workflow and traders behave, and STAZ is trying to bridge that.”
STAZ is a mature tool that has gone through multiple iterations over the past several years, the most recent being the Dec. 2014 launch of its third generation. Its primary goal is to make sense of all the data that is being thrown at the algorithmic electronic trader today. It does this in two different ways. First, it provides an optimized suggestion or recommendation on which strategy to pick given a certain stock and order size across all the markets that Tradebook trades. “Tradebook offers a full suite of algorithmic trading tools, and it has a dizzying variation of parameters that it offers in those tools,” said Phadnis.
Kapil Phadnis, Bloomberg Tradebook
Second, STAZ provides aggregate statistics and predictive analytics based on various quantitative models “to help the trader make sense of the volumes of data being thrown at them,” Phadnis said. “For example, what does the day’s dark volume look like? What is today’s predicted volume going to look like? We have models that predict end-of-day volume.”
Tickers such as Microsoft have a lot of variation in their daily end-of-day volume and STAZ predicts some of these metrics.
“You can imagine a trader coming in at 9:30 with an order to trade 20% of the day’s volume, and knowing whether Microsoft is going to trade 50 million shares or 75 million is going to make a big difference to how he trades,” said Phadnis. “This is one way that STAZ helps them make educated decisions in today’s marketplace.”
One of the problems that Bloomberg initially tried to solve with STAZ is assisting new clients with order-type selection. “We have a trading desk and they can always reach out to them, but there’s times when a client just wants to enter an order. So it started out as an order-entry help recommendation tool and it’s grown from there,” said Phadnis. “We also have an exhaustive database that manages a lot of the statistics that we compute. I think showing that to the trader was the next obvious step, when he’s trying to make a decision to pick the algo.”
STAZ started out as a pre-trade tool, which means the trader pulls it up before entering an electronic trading strategy. The latest version is an “in-trade version,” or what Phadnis calls “STAZ on steroids.” “All the numbers and statistics that we see are going to be live in real time in the next version, which is coming out the end of February or early March.”