JPMorgan made a meaningful enhancement to its FX analytics offering with the launch of Algo Simulator.
This new tool allows clients to explore alternative algorithm configurations that may better align with their trading behaviours. By replaying orders using market data under different configurations, the results are adjusted for market impact based on the bank’s pre-trade cost model, offering a more realistic simulation of live market conditions.
The Algo Simulator is offered in two versions: an automated process and an ad hoc option. The former replays all JPMorgan client orders daily across a set of alternative configurations, providing clients with regular reports comparing their actual performance to the simulated alternatives. The ad hoc version allows for more flexibility, enabling clients to explore specific scenarios, such as hypothetical orders or risk transfer trades.
Clients have seen substantial benefits from the tool, with one client reporting an expected P&L improvement of $1.27 million year-to-date, based on a total volume of $19.37