FX ALGO trading system for clients launched


FX ALGO trading system for clients launched

The Royal Bank of Scotland (RBS) plc is launching a spot foreign exchange trading algorithm to help clients automatically manage the gamma sensitivity associated with foreign exchange options portfolios.

28 September 2011

RBS Agile™ is an algorithmic trade engine that understands gamma and can be used in a variety of ways. At its simplest, it monitors the gamma of an option’s position and can automatically buy or sell spot foreign exchange to ensure the position remains within predetermined boundaries. In addition, it can also replicate volatility swaps with different fixings, allowing clients to trade hourly gamma against daily gamma, for example.

While RBS Agile™ is currently the only algorithm of its kind to be made available to clients, it was originally used as a time-saving device for RBS options traders, enabling them to better optimise their time and bring value added expertise to clients.

Commenting on the system, Tim Carrington, global Head of Foreign Exchange at RBS, said: "We are delighted to be at the vanguard of an initiative that will enhance the way clients trade by advising them when to trade. RBS Agile™ automatically interprets and analyses a portfolio position and executes a trade in the marketplace. With RBS Agile™, we are delivering the tools into the hand of the clients which will make trading volatility more accessible for them".

Posted In

Latest news

Women and millennials help drive £17bn+ franchise sector to record levels

New research from NatWest and the British Franchise Association (bfa) highlights changes and profitability in the sector.

Winners announced for Skills & Opportunities Fund

52 winning organisations have been announced for round two of the 2018 Skills & Opportunities Fund.

RBS Multicultural Network meets Eric Holder, 82nd US Attorney General

Simon McNamara, RBS Chief Administrative Officer and Executive Sponsor of the RBS Multicultural Network, recently hosted an event in discussion with Eric Holder, the first black US Attorney General. They discussed career, ethnicity, diversity and even a little bit of politics. At the event, Eric Holder shared his wisdom and experience with attendees from the RBS Executive committee and RBS Multicultural Network. Simon McNamara blogs about his experience meeting Eric, a BAME role model, and why diversity is so important to RBS.

Set Tab for lightbox