Chronicle Hedger

Chronicle hedgers out of the box, or embed your own proprietary hedging algorithms within the framework

What is Chronicle Hedger?

Chronicle’s Hedger module provides an extensible hedging capability. It generates hedging and risk management orders based on available position and pricing data, and risk metrics. Chronicle provides a number of basic hedging components, which can be customised and extended by clients. For those clients desiring a more sophisticated and bespoke auto-hedging capability, the Hedger module can be used as a framework in which proprietary hedging functionality can be easily and rapidly implemented.

The Hedger can be combined with Chronicle’s BookBuilder, Pricing and PositionManager modules as input sources of market depth ladders, prices and risk positions, respectively. It supports the implementation of multiple hedging strategies – for example, one Position Book could be hedged on a trade by trade basis, whilst another could represent an aggregated position and be hedged periodically intra-day.

"Generate hedging and risk management orders based on available position and pricing data, and risk metrics"

Why Choose Chronicle Hedger?

  • Asset class-agnostic
  • Enables clients to leverage Chronicle’s trademark distributed, low latency capabilities high performance Java (with microsecond per message latency, and a throughput of 100k messages per second), whilst retaining control over their proprietary hedging methodologies
  • Supports multiple hedging strategies, configurable at position book level
  • Choose from Chronicle’s out-of-the-box hedging algorithms, or embed proprietary algorithms within the Chronicle Hedger framework
  • When used in conjunction with other modules and components, promotes rapid prototyping and deployment of pricing and trading solutions
  • Integrate the Hedger with Chronicle’s MarketGateKeeper and MarketGateway modules for seamless, fully controlled order generation and execution

How it works?

The Hedger is built on the Chronicle software stack, which itself is designed to provide a flexible, reliable and low-latency framework. Notable features include:

  • High availability and resilience.

  • Configurable failover and resilience support are central to the module’s architecture.

  • Input and output queues are built on the Chronicle Queue technology, providing persistent, resilient and high performance inter-process communication.

  • Ease of integration - like other Chronicle modules, the Hedger can either write its output to one or more Chronicle Queues, for consumption by other modules for order execution, or it can call another module (Chronicle or the client’s own) directly.

  • The ability to take advantage of the many features provided by the Chronicle software stack, such as built-in monitoring and alerting, and replication*.

* Replication, in this instance, refers to the copying of data over the network via TCP/IP, usually done for failover, and/or to create a safe copy of the information on another host server or in another data centre.

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