Proof Trading Progress Update: 3 Years

Published in

Proof Reading

3 min readJan 4, 2022

As we hit our 3 year anniversary and enter 2022, this marks a new phase for Proof. We released our main algo last month (simply called Proof), a liquidity seeking/impact minimization algo. This algo is the culmination of several years of research into impact minimization, combined with the market microstructure expertise our team has built up over our entire careers. We are very proud to have hit this milestone, and we are excited to see how it performs in the real-world. We no longer consider our trading platform to be “in beta,” and we are now ready to expand beyond our initial group of pilot customers (to whom we are eternally grateful!). For the next few months, our focus will be iterating on the two algos and ramping up distribution.

Major updates from Q4 2021

We released our main algo (Proof) into production! The Proof algo is an impact minimization/liquidity seeking algorithm. You can read more about it here.
Published a research paper on the impact minimization model that fuels the new algo, as well as an overview of the trading logic of both algos.
Released our new website.
Fully onboarded our third, fourth, and fifth pilot clients.
Submitted a comment letter to the SEC regarding the recent enhanced SIP fee proposal.
Published our cybersecurity policy.

Goals from our previous update

Technology

Continue integrations with the EMS vendors used by the next pilot customers.

(10/10) We went fully live with Eze OMS and Virtu Triton this quarter.

Create a comprehensive performance test harness, that will help identify future enhancements to the capacity and scalability of the platform.

(5/10) We made good progress on some fronts and have yet to tackle the others. We expect this to be an ongoing process.

Product/Research

Finish testing and release the second algo.

(10/10) We released the Proof algo in production in December!

Publish research on the second algo design, information leakage, and our internal TCA stats.

(4/10) We put out a whitepaper on the impact minimization research underlying the Proof algo. We plan to publish research on information leakage and TCA design next.

Continue to analyze data from early trading activity and incorporate any resulting lessons into the process of improving the algos (this one pretty much always applies).

(5/10) This will be our main focus next quarter now that the Proof algo is released.

Sales/Marketing

Go live with at least 5 pilot customers, and develop our day 2 sales strategy.

(9/10) As of last quarter, we are fully live with 5 pilot customers, and we have developed a day 2 sales strategy.

Publish our new trading data privacy policy.

(5/10) Our trading data privacy policy has been developed, but we haven’t published it yet. We plan to do so this month.

Launch a new website and a new framework for how we think about progress and goals going forward.

(9/10) We launched our new website in December! We no longer have a “goals/progress” section on there like we did pre-launch. It would be nice to have a tracker there as well, but for now we think these quarterly updates suffice. We are very happy with Han’s re-design!

Operations/Regulatory

Hire one or more Senior Software Engineers (or even a VP of Engineering, if we can find the right person).

(10/10) We hired a Senior Software Engineer who starts later this week — we are very excited! We would ideally like to add two or three additional engineering hires in the next six months.

Goals for the next 3 months