Faculty Advisor

Abraham, Jon P.

Faculty Advisor

Dougherty, Daniel J.

Center

Wall Street

Abstract

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.

Publisher

Worcester Polytechnic Institute

Date Accepted

November 2010

Major

Computer Science

Major

Actuarial Mathematics

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Mathematical Sciences

Advisor Department

Computer Science

Share

COinS