Overbond, an API-based credit trading automation and execution service in the global capital markets, has integrated an AI-powered margin optimisation function into its existing automated trading system. Traders can now train Overbond’s automated system to optimise their hit ratio according to the desired trading parameters of the desk. This increases the number of trade inquiries that traders can respond to without trader intervention.
Overbond has achieved an advanced step forward in fixed income trading by fully automating the margin-optimisation function within the Overbond automated trading system and data streams via API.
The Overbond margin optimisation model optimises the distance-to-cover based on the best executable price in RFQ protocol according to Overbond’s pricing model, COBI-Pricing LIVE. The margin model now incorporates variables that give insight into security, issuer and macro-level market risk and ensure that the automated margin is sensitive to intra-day risk movements.
This data is collected from data vendors such as TRACE and includes bond-specific data such as coupon and amount outstanding, issuer-specific data such as quote counts and the volatility of the mid-price for the issuer, and sector-specific data such as the volatility of the bid-ask spread of the sector benchmark.
