Proof Trading Progress Update: Q3 2023

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Proof Reading

5 min readOct 4, 2023

This summer Proof was humming on all cylinders, launching exciting new technology and research initiatives and celebrating major successes on the sales front (please see below under Major Updates). We seem to have finally entered a phase of the company where we have a virtuous cycle of client feedback and word-of-mouth introductions, leading to excellent new product ideas and sales wins, and keeping everyone on the team very busy. We hope to keep this incredible momentum going through the end of the year and into 2024. As always, the best ways you can help us are 1) making warm introductions to prospective clients 2) providing feedback/collaboration on our various product and research initiatives. Thank you!

Major updates from Q3 2023

Released our 3rd algo into production!: an aggressive liquidity seeker. More details to follow in a blog post by our CTO Marcio in the coming weeks.
Continued strong momentum on the sales front with 3 new clients going live, and several more imminently going live, along with several new clients beginning the onboarding process this quarter.
Presented our information leakage research at a workshop and submitted it to a peer-reviewed journal. We are still in the early stages, but this foundational research shows a great deal of promise toward enhancing our algos.
Began work on our 4th algo: an into-the-close algo, along with accompanying quantitative research into closing auction volume prediction and impact minimization.
Began work on a framework for basket trading while maintaining various constraints such as cash neutrality and/or sector neutrality. We are incorporating the ability for the algo to have sub-basket constraints — i.e. an algo that can trade a basket of baskets, where all the orders in an individual symbol are combined and traded as a single order to avoid undue impact, but where constraints can be enforced across each individual sub-basket, and all updated on the fly depending on opportunistic fills. I am particularly excited about the possibilities where this project may take us — I think it has the potential to significantly improve how many buy-side firms trade, especially if, for example, we expand to other regions/asset classes, venture into the world of licensing our technology, and/or start offering outsourced trading services (no plans to do so, just thinking hypothetically a few steps ahead).
Developed an initial version of a Proof API by which clients can directly query and interact with our quantitative models.

Goals from our previous update

Technology

Review and enhance our failover procedures around cloud, network, and market data failures.

(8/10) We did an extensive review in all our failover procedures, and we are now going through the process of further automating/streamlining our support functionality to the extent possible. This initiative should be completed by the end of this quarter.

Migrate Exegy Xcapi to the latest version.

(10/10) We upgraded to the latest version with no major issues.

Complete any outstanding EMS/OMS integrations for next wave of new clients.

(10/10) We successfully completed certification with Trading Screen.

Product/Research

Complete testing of the new aggressive liquidity seeking algo and fully release it in production.

(10/10) Our aggressive algo is released and fully available in production!

Add feature to allow clients to enter relative limits on orders based on a reference ETF or Index.

(9/10) Development is complete. We are just finalizing integration tests and then this functionality will be released topProduction.

Publish our quant researcher training materials as a freely available course.

(3/10) This initiative was de-prioritized to focus on more product-oriented goals, but we do have a full draft that we will be editing and then releasing soon.

Build on our information leakage research and incorporate it into products.

(4/10) We have started the next phase of our information leakage research and will be releasing a blog post about it soon.

Perform initial research on trading behaviors around closing auctions.

(6/10) We have some promising initial research that we are working on shaping into a first iteration of a model to predict closing auction size.

Sales/Marketing

Go live with at least 3 new clients and begin the onboarding process with at least 2 new clients.

(10/10) We successfully onboarded 3 new clients this quarter, and expect at least 3 additional clients to be onboarded in short order at the beginning of Q4. We continue to make excellent headway on the sales front, with multiple new sign ups and steady progress working through the onboarding process of last quarters’ sign ups. We noted last quarter, our latest wave of sign ups have included larger asset managers which often times has meant lengthier onboarding, but are happy to report good momentum on this front.

Continue implementing a more systematic business development strategy.

(7/10) We spent time building out a sales forecast, have new marketing materials in development, have had product opportunities on reverse inquiries from clients, and worked on potential new outlets for marketing and partnerships. There’s still progress to be made on this with regards to organizational tools (i.e. onboarding a CRM) , but overall it’s been a good quarter on the business development front.

Operations/Regulatory

Obtain NY State WBE Certification for our broker-dealer subsidiary, Proof Services LLC (most likely in Q4), and explore WBE certification from other widely recognized organizations as well.

(5/10) The NY State WBE certification process is still underway, and after a bit of back and forth we believe we have now gathered/supplied all of the requisite documentation to obtain certification. Our hope is still to get official sign off by the end of the year.

Goals for the next 3 months