Case Study
Sponsored Liquidity Provisioning System for Tadawul
Designed and delivered a market-making system for the Tadawul stock exchange, providing continuous two-sided quoting with inventory-driven spread control and KPI tracking aligned with exchange requirements.
Challenge
Rimath Group was engaged as a sponsored liquidity provider on Tadawul but lacked the trading infrastructure required for systematic market making. Limited native exchange API access and partial market depth visibility required an architecture that could deliver microstructure-aware quoting without full L2/L3 data, while meeting formal KPI obligations around presence ratio and spread contribution.
Solution
Helios built a hybrid market-making infrastructure combining Interactive Brokers for execution and L1 data with a custom order book simulation dashboard that enabled 10-level manual depth input. The strategy engine provided continuous two-sided quotes with inventory-driven skewing, dynamic spread adjustment by volatility regime, and hard/soft risk limits with automated safety controls. Volatility forecasting and regime detection models drove adaptive quoting behaviour. A KPI tracking suite measured Tadawul-specific metrics — presence ratio, market dominance, spread contribution, and execution vs quoted volume. The system was designed from day one for seamless migration to full L2 data and native Tadawul broker APIs.
Technical Responsibilities
- Designed a liquidity provisioning system for Tadawul with continuous two-sided quoting and market quality improvement focus
- Architected a hybrid infrastructure combining IBKR execution/L1 data with a custom order book simulation layer
- Built a market-making strategy engine with dynamic spread adjustment, inventory-driven quote skewing, and conservative adverse selection handling
- Implemented real-time inventory tracking, hard/soft risk limits, automated safety controls, and exposure decay and rebalancing logic
- Designed volatility forecasting and regime detection models enabling adaptive quoting aligned with changing market conditions
- Built a comprehensive data ingestion and recording pipeline capturing L1 quotes, manual order book snapshots, strategy quotes, executions, and inventory states
- Designed a manual order book input dashboard for 10-level depth simulation with real-time propagation to the strategy engine
- Developed KPI tracking aligned with Tadawul market-making requirements: presence ratio, market dominance, spread contribution, and execution vs quoted volume
- Built monitoring, logging, and alerting systems for strategy health, data freshness, inventory breaches, and connectivity failures
- Designed migration-ready architecture enabling transition to real L2 data, native exchange APIs, and fully automated queue-aware market making
Outcomes
- Production market-making system delivering continuous two-sided quoting on Tadawul
- Inventory risk managed in real time with automated safety controls and exposure rebalancing
- KPI tracking suite reporting presence ratio, market dominance, and spread contribution metrics
- Migration-ready architecture ready for upgrade to native APIs and full market depth