How much time do you need to receive, analyse and respond to market events in today’s world of fragmented liquidity?Even if you have the fastest links to exchanges and dark pools, precious time is not taken in data delivery, but in data analytics. Of critical importance to strategy decision time is immediacy of pricing analytics whether from single or multiple sources.
In the trading world, understanding data is a game changer. Firms are awash in data across a market structure fragmented into dozens of sources and data types. In the Equities markets there are 13 major exchanges in the U.S. alone (soon to be 14 pending MEMX getting SEC approval and launching) and 20+ across Europe and Asia providing trades and book depth. True price discovery… volume and trading patterns can only be achieved by analysis across markets. That old saying, the whole is greater than the sum of the parts fits well in this case. And of course the importance is to find trading opportunities. That is in the immediacy of pricing data… time is of the essence.
By dramatically reducing the time to understanding, we provide a time advantage to spread trading, pairs, reversion, smart routing and risk analysis. Increasing algo sophistication implies more calculations and more analysis – in realtime. This should not be diametrically opposed to latency goals.
Analysis is not just about the here and now and the blending of multiple venues but also understanding the past. History is how we got to now, time is just a continuum. Data analysis reveals unique observations and patterns and the possibility for predicting future values. Only by comparing current values to past activity can it determine unusual behavior, or market abnormalities. Monitoring raw market data may show us the prices, history gives us benchmarks.
So given that basic problem scope, you can divide the solutions into 3 domains; managing scale for data capture and storage; analytics and visualization. Of course they are not mutually exclusive but highly intertwined.
For high precision market analytics to derive real business value it requires enterprise an data management platform able to deliver capture and query performance… and data quality – to ensure prices reflect cancels, corrections, splits and dividends and symbologies across markets. And the data architecture must be able to easily conflate order books across markets – this is critical to the discovery process.
The third is visualization… fashioning analytical metrics into a human readable format. Visual display across deep time allows users to see things they were not aware of. It can simplify comprehension of data and promote understanding.
The terabyte volumes of market data and order activity can be easily consumed and processed by high-speed data management and analytics. However, the single easiest way for our brains to interpret large amounts of information, communicate trends and identify anomalies is to create visualizations against the distilled, filtered and smoothed content.
The right analytical content at right time to the right people creates the competitive advantage everyone seeks.
OneMarketData is a leading provider of solutions and data for the financial industry. OneTick is a comprehensive suite for time-series data management, real-time and historical analytical tools to address the most demanding requirements. Proprietary traders, hedge funds, asset managers and investment banks can leverage the built-in capabilities of OneTick for order book and liquidity analysis, quantitative research, transaction cost analysis, surveillance and backtesting. Built by Wall Street experts, the OneTick suite of products is an enterprise-wide tick data capture and storage solution offering analytical modelling tools, global history across equities and futures markets and reference data. In 2015, OneMarketData acquired Tick Data, LLC, the first and leading provider of historical intraday market data, to marry the industry’s most powerful analytics platform with the cleanest, most reliable historical intraday data available. More information about OneMarketData is available at www.onetick.com and www.tickdata.com
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