BNP Paribas is launching a new algo called Rex, built to enable clients to algorithmically execute a portfolio or basket of orders, instead of just a single order or currency. Following the success of BNP Paribas’ Gamma algo strategy, Rex is the second of the banks 5th Generation algos designed to handle complex client workflows. “Clients have to undergo a lengthy, manual workflow process to execute a basket of orders. What Rex does is automate that entire workflow for them,” says Asif Razaq, Global Head of FX Automated Client Execution at BNP Paribas. “The basket of orders can be fed into the Rex engine, Rex then digests all of those orders, works out what the client’s exposure is and then deploys our existing FX algo strategies such as Chameleon, Viper or Iguana to execute those orders in the market.” Rex’s true power is that it also knows about correlations and is then able to devise an execution timeline for the client so they are able to optimise the execution, Razaq adds. “Real time analytics allow clients to monitor the execution and make changes in flight. At the end, it gives clients the complete TCA to measure the performance of the portfolio, rather than just the performance of one leg.We believe the concept behind Rex is a real first for the market.”
