A resource for ideas, updates, and what we're working on.

Quantitative Researcher

Proof is hiring! If you are interested in joining us, please reach out to <a href="mailto:careers@prooftrading.com">careers@prooftrading.com</a>.

Proof builds execution algorithms for institutional US equity asset managers.

A hybrid liquidity seeker/impact minimization algo that balances speed of execution with avoiding undue market impact as per our novel quantitative model, with an opportunistic component searching for block liquidity in parallel.

1. Proof

Trades in-line with market volume based on a dynamic volume prediction model.

2. VWAP

An aggressive liquidity seeker that leverages our dynamic volume prediction model and optimizes the scheduler to meet a target POV. The tactical logic is the same as our flagship Proof Algo with a more aggressive top-level scheduling and a parallel opportunistic component.

3. Aggressive

As computer systems evolve, we layer abstractions between ourselves and the lowest level operations of bits. We delegate to hierarchies of teams, tools, and vendors. We allow knowledge to pool into silos of narrow specialization...

Why we publish our algo design

From the outside, an institutional trading platform may seem like a giant black box of code. But beneath the hood, there are many different jobs happening. Here, we’ll dive into the key piece of code responsible for making trading decisions.

How the algos work

Read about our <a href="https://medium.com/prooftrading/proof-engineering-the-algorithmic-trading-platform-b9c2f195433d">cloud-based trading platform</a>, our <a href="https://medium.com/prooftrading/does-anyone-want-an-algo-design-whitepaper-95c2ea6cdd71">impact minimization model</a>, and our <a href="https://medium.com/prooftrading/all-i-want-for-christmas-is-a-broker-dealer-ce3afb2fc741">restructuring as a woman-owned broker</a>.

An inside look at the design of Proof Trading's new algorithm.

Rejecting the Black Box

TCA: Public Analyses

An approach for reducing market noise in transaction cost analyses.

Distilled Impact

A new methodology for estimating closing auction size.

Close Prediction

An initial approach to incorporating real time data into a VWAP algo.

VWAP

A method for modeling the price impact of a proposed trading activity as a probability distribution, based on historical data.

Pretrade Analysis

A new framework for measuring and controlling information leakage.

Information Leakage

A framework for historical simulation of trading behavior.

Simulation

As part of our commitment to transparency, Proof publishes all of the research findings that inform our trading algorithm design.

Allison Bishop

President

Daniel Aisen

Marcio Moreno

Chief Technology Officer

Nila Das

Chief Operating Officer

Robledo Alencar

VP of Engineering

Bill Guinan

Head of Sales

Rodrigo Benites

Software Engineer

Gabriela Guedes

A semi-technical post about how we built an institutional-grade algorithmic trading platform from scratch in the cloud.

The Trading Platform

A Trading and Settlement Calendar for US Equities.

A Holiday Calendar For The Ops Team

The basics of a US equities security master, why it is a challenge, and how we compile a scrappy but fairly accurate security master each morning from free or inexpensive sources.

Security Master

Does a US Equities agency broker need ultra-low latency?

Trading in the Cloud: Market Microstructure Considerations

A discussion on why and how running a low-latency trading system in the cloud is feasible.

Building a High Performance Trading System in the Cloud

A two-part technical article about FIX and FIX gateways.

FIX Gateways

A technical deep-dive describing the custom messaging middleware that powers Proof’s Algorithmic Trading Platform in the cloud.

The Message Bus

How to archive the relevant books and records for my broker-dealer in compliance with SEC Rule 17a-4 and FINRA Rule 4511.

Archiving Books and Records for a Broker-Dealer

In this technical post, we expand upon these thoughts and explore what it takes to set up a productive tick data research environment.

Setting up a Tick Data Research Environment

In this technical post, we talk about the specific characteristics that are important to us in the database serving our Algorithmic Trading Platform.

Selecting a Database for an Algorithmic Trading System

Our institutional-grade, cloud-based trading platform.

There are many different types of broker-dealers and the requirements and application process vary depending on the type of business you’re trying to establish. This post details our experience obtaining regulatory approval for a broker-dealer that trades US cash equities on an agency basis on behalf of institutional investors, as well as on a proprietary basis in a very limited fashion.

Obtaining a broker-dealer license

This is a semi-technical post about how we built an institutional-grade algorithmic trading platform from scratch in the cloud.

The technology

The mechanics of how securities actually change hands are complicated, nuanced, and archaic. With that in mind, we'd like to share our experience evaluating and selecting our clearing partner.

Choosing a clearing firm

Here we present a list of all the vendors and partners we engaged over the past two years in setting up our broker-dealer subsidiary.

Vendors

The composition of our team and how we split up the work, along with some introspection on how we were able to launch our business so few people.

The team

The different venues and ways to connect to them, and how are they designed to serve the needs of different kinds of participants.

Connecting to the stock market

This is the seventh and final post in our series on How To Build a Broker-Dealer. In this post we share a breakdown of the costs we incurred building Proof.

How much does it cost?

Articles we have written and tools we have built to help educate and give back to the industry.

A multi-part blog series on building a broker-dealer from scratch.

How to Build a Broker-Dealer

A single stock exploration tool that can drill down into ticks for a given symbol and match your executions to trades on the tape.

Find My Fills

A quick way of determining and visualizing the differences in cost between different patterns of market data consumption.

Market Data Fee Calculator

An overview of US equity trading landscape to help new hires who aren't as well versed in market structure.