QB Enhances Futures Roll Tracker Tool; Provides Faster Analytics Across Multiple Exchanges; Uses Real Time Model to Interpolate Intraday Open Interest Shifts
“QB’s Roll Tracker” Covers Global Fixed-Income, Equities, FX, Ags and Energy Markets on Multiple Futures Exchanges
NEW YORK, February 11th, 2021 — Quantitative Brokers (QB), a global provider of advanced execution algorithms and data-driven analytics for global futures and interest rate markets, today unveiled significant enhancements to its online futures roll analytics tool. The enhancements leverage QB’s cloud computing to interpolate intraday open interest shifts every 5 minutes based on real-time trading activity.
Exchange-listed futures contracts have defined expiration dates. Futures rolls involve trades that transition established positions in the expiring futures contract to a contract with a later expiration date. This is referred to as a “roll” transaction which are concentrated around a set number of dates each month or quarter. Roll transactions can incur significant slippage or implicit cost to institutional investors if not timed and optimally during the roll window.
Launched in late 2011, QB’s Roll Tracker is now used by over 100,000 users per year, who monitor it intraday to optimally time their monthly or quarterly roll trades and see the comparative rate of the current roll’s trading versus previous cycles for the same product. The roll tracker has a real time forecast of open interest using trading volume across the term structure and statistical learning methods. QB’s web-based Roll Tracker and exclusive Roll Forecasts are often used in combination with QB’s roll execution algorithm - The Roll which supports fixed-income, equities, foreign exchange, and commodity futures.
“QB’s innovative, data-driven analytics and suite of intelligent algorithms aim to reduce implicit trading costs and solve execution challenges for our clients. These new enhancements further cement QB’s Roll Tracker as the leading tool for dynamically monitoring roll progress across major global futures markets.” said Tim Gits, Chief Sales Officer at QB.
Enhancements to QB’s Roll Tracker announced today include: data updates every 5 minutes (previously every 10 minutes); tracking historical average pace of the previous 10 cycles for ease of comparison; leveraging QB’s cloud presence to boost Roll Tracker scalability to add additional products, exchanges, and the speed of computation; and expanded market coverage in 2021 to provide analysis on additional European, Canadian, and Asian exchange-traded futures.
ABOUT QUANTITATIVE BROKERS
Quantitative Brokers (QB) is a global financial technology company, provides advanced algorithms and data-driven pre- and post-trade analytics to clients in the Futures, Options and interest rate markets. The company is built on a research-driven culture, market microstructure know-how, and algorithmic engineering expertise. QB continually develops and innovates an evolving suite of products to reduce and measure implicit trading costs for its clients. Headquartered in midtown Manhattan, QB has branch offices in London, Sydney, and Chennai.
In December 2020, Deutsche Börse completed the previously announced purchase of a majority position in QB.
QB's portfolio of algorithms, simulation tools and analytics are used by many of the world’s largest institutional investors. QB’s suite of algorithms — Bolt, Strobe, Legger, Closer, Octane, The Roll, and Striker — are uniquely engineered for both central limit order books and OTC liquidity streams while accessible via all major execution and order management systems used by the buy-side, banks, and brokerage houses.
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