10.14.2011

CEP Technology Expands

10.14.2011
Terry Flanagan

Tick data and complex-event processing reside in a single database.

Financial apps require high-performance databases capable of storing millions of bits of data generated each second, including tick data and complex-event processing data.

“The database need to be able to capture not only CEP data but market data as well because the data needs to be stored for future analysis,” Leonid Frants, founder and CEO of OneMarketData, told Markets Media. “Data could be generated by a sell signal in a hedge fund, for example, that is later needed to backtest and simulate a trading strategy.”

OneMarketData’s flagship OneTick Database is an enterprise-wide system for tick data collection, management and CEP. It captures, compresses, archives and provides access to global real-time and historical data, up to an including the latest tick.

The technology is designed for all asset classes, from less-frequently traded instruments to the most active.

“Firms dealing in low-volume instruments may not have huge data feeds, but they still need to store it in real time,” said Frants. “On the other hand, there are data feeds like OPRA [Options Price Reporting Authority] that are multiple gigabytes per day after compression.”

The demand for real-time tick databases has grown as data volumes have grown.

“The primary drivers for tick-by-tick databases are data volumes and an increase in the number of users of that data,” said Frants. “The percentage of hedge funds that require tick-by-tick for high-frequency trading strategies has grown significantly.”

OneTick has broken traditional database barriers to enable users to combine multiple types of data, from real-time and historical tick data to machine-readable news, within a single strategy, said Frants.

With the ability to store disparate datasets on a single database, OneTick empowers clients to create and test strategies that draw on heterogeneous data, without using multiple systems or creating duplicate code sets. “A single set of analytics can run in either historical mode or can be sent to the CEP engine and run in real time triggered by new data,” said Frants.

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