Blizzard is BNP Paribas' smart order router implementation, a system that takes order requests from clients and algorithmically executes those orders. The goal of this project is to develop a general purpose visualization toolkit that could be used to dynamically display and monitor the status of Blizzard, and allow for easy analysis the router. This tool will provide an easier way to detect anomalies and find the impact of factors such as router and market latency and market movement on the performance of the router, as measured by the metric of the fill ratio, or the percent of orders successfully executed. A secondary goal of this project is to use the toolkit, in addition to statistical analysis, to find improvements for the algorithms in place.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Lai, Huan Tu
• Wang, Xiaoyun

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-112910-121011

Advisor

• Dougherty, Daniel J.
• Abraham, Jon P.
• Gerstenfeld, Arthur

Year

• 2010

Center

• Wall Street-FinTech Project Center (Boston or New York) - MQP

Sponsor

• Poulmarc'k, Christophe
• Visconti, Scott
• BNP Paribas
• Jobet, David

Date created

• 2010-11-29

Resource type

• Major Qualifying Project

Major

• Actuarial Mathematics
• Computer Science

Rights statement

• In Copyright