Learn more about our quantitative research

You want full transparency into your algorithmic brokers’ strategies down to the underlying infrastructure. We believe it should be a clear box, not a black box. That’s why we invite you to check out the microstructure research and analysis behind our algos, as well as our QB Simulator. Let us know if you’d like to discuss something in more detail, or just want to give us feedback. Our success depends on transparency and collaboration with our clients. We keep our research coming regularly—so and stay informed.

QB Simulator Performance Report

QB’s execution simulator is an important tool for developing and evaluating our algorithmic execution. Here we present a summary of a comparison of its performance against real executed orders. Read the Report…

QB vs. Bulge Bracket Bank Algos

This analysis covers over 1.56MM futures contracts traded in Revolution’s Mosaic Institutional Program from April 10, 2013 to April 17, 2014. Markets included are the E-mini S&P 500 and NASDAQ, Eurex Bund and Bobl, LIFFE Long Gilt, US 5-, 10-, and 30-year Treasury futures, and NYMEX Heating Oil, Crude Oil, and Natural Gas contracts. Read the whitepaper…

Mixed FIFO/Pro Rata Match Algorithms

Effective May 29, 2013, the NYSE LIFFE exchange announced a change to the pro rata trade matching algorithm for three month Short Sterling and Euroswiss futures contracts. (Update May 30: LIFFE has announced that they are rolling back the changes.) This note summarizes the content of this change, and compares it to the CME mixed time priority/pro rata match algorithm. Read the whitepaper…

Interest Rate Trends May 2014 Newsletter

Our monthly newsletter reports trends in the Eurodollar and Treasury futures markets. Trends include the month’s largest trades, average daily volumes, open interest, average bid/ask liquidity, average trade size, floor vs. electronic volume, and more. Read the May 2014 newsletter…

High-Frequency Event Analysis in Eurex Interest Rate Futures

We investigate the effect of scheduled information releases and auctions on high-frequency trading of interest rate futures on the Eurex exchange, and compare with similar products on CME. Our study differs from earlier ones in two respects. To learn more, read the white paper. Read the whitepaper…

The Roll Tracker

When is the optimal time to trade your Treasury rolls? The Roll Tracker forecasts the shift of open interest for the current roll cycle using real-time data updated every 5 minutes. We leverage this data for orders placed using our algorithm The Roll. Learn more about our forecast analytics by watching our video, or just jump right in and track the roll now. Launch The Roll Tracker… Watch the Video

Report: US Treasury Futures Roll Microstructure Basics

This report highlights the fundamental microstructure components of the US Treasury futures roll. When trading US Treasury spreads, proper analysis and implementation of an algorithmic trading strategy can contribute to an advantageous reduction in transaction costs. Read the Report…

Effect of the Unemployment Report on Interest Rate Futures

We track 62 unique macroeconomic events and calibrate our volume forecasts to the effect of each data release. Because the data releases are scheduled, market participants can anticipate the announcements and react, resulting in fascinating intraday patterns in liquidity and price formation, which we explore in this whitepaper. Read the whitepaper…

Transaction Analysis: An Example

We show you an example of a real algorithmic execution to illustrate how our algorithms work. By analyzing price and volume at the inside quotes and into the order book, the algorithm is able to make optimal order placement decisions and save money for the client. Watch the video

The Presence of Implied and Hidden Liquidity

Robert explains how the complex order types on the CME can combine to generate “implied” quotes. Second generation quotes are calculated but not displayed. The QB analytics engine identifies this hidden liquidity to improve customer trade results. Watch the video

CME Matching Engine Basics: Part 1

An introductory look at the CME matching engine for Eurodollar and Treasury futures. Understanding the matching engines helps our algorithms spot opportunities for better executions. Watch the video