12.11.2012
By Terry Flanagan

Prop Trading Firms Expand Multi-Asset Capabilities

Proprietary trading firms are expanding their multi-asset class trading capabilities in the face of shrinking margins from equity trading.

The proliferation of electronic futures, options and FX trading is driving demand for technology to support high-volume data intensive analytics and applications.

“In the rapidly-evolving world of quantitative trading, firms need to be resilient in adapting to each new development, processing higher volumes of data faster and driving comprehensive real-time analytics,” said Fintan Quill, senior engineer at Kx Systems.

Kx Systems’ kdb+ database is used to process large amounts of real-time and historical data, and perform complex analytics with minimal latency.

The database gives traders an accurate and instant view of the global markets and enables them to rapidly roll out new trading strategies.

“The prevalence of high-frequency trading in equities has forced trading firms to adopt unconventional approaches,” said Quill. “Rather than being the fastest in the game, they are building out their capacity for trading multiple asset classes, some of which like foreign exchange, have lagged equities in terms of electronic trading.”

Chicago-based Sun Trading is expanding its use of the kdb+ database to support growth across its global proprietary trading activities. The firm uses kdb+ database for real-time, high-volume data analysis

A Kx Systems client since 2008, Sun Trading will utilize the kdb+ database at its Chicago and London sites as it continues to grow its cross-asset trading activity across new markets and geographies.

“As a long-time user of the Kx database, we have been consistently pleased with how the real-time analytics and speed of the platform has allowed us to quickly bring trading ideas to the market,” said Kurt Lingel, chief information officer at Sun Trading, in a statement. “We will use the Kx technology to address our growing research and analysis needs as we continue to diversify across multiple asset classes and markets.”

The growing volumes of derivatives and trading volumes in FX and equity markets, as well as regulatory requirements, all result in institutions having to store and analyze vast quantities of data.

The optimized code in kdb+ utilizes processor-specific instructions available at run-time. “Testing saw very significant speed increases when running calculations using Intel’s Advanced Vector Extensions instructions, available on Intel’s latest generation of Sandy Bridge family of processors,” said Quill.

Through the kdb+ database, Kx Systems, a provider of high-performance database and time series analysis, enables Sun Trading to capture and analyze large volumes of trade data in real-time for quantitative trading.

“The expansion of our work with Sun Trading showcases how these capabilities underpin the growth of electronic trading strategies as opportunities continue to open up in new markets,” said Quill.

Kdb+ includes q, a general-purpose programming language that can access data directly, avoiding the performance degradation of first reading in data, then sending the data to an external routine.

“A columnar database with an array-processing language is a natural fit for capital markets apps, as opposed to shrink-wrapped systems,” said Quill. “Global institutions are using kdb+ as the central database to capture, store and analyze massive quantities of time sensitive data.”

Related articles

  1. Algorithms have become more prevalent in the spot FX market.

  2. Congress Unlikely to Act on HFT

    QB’s Algo Suite for futures market trade execution is also being co-located to HKEX.

  3. Breaking data silos is key to deploying automation beyond 'nuisance' orders.

  4. They can be used on quantum hardware expected to be available in 5 to 10 years.

  5. Regulation and Liquidity Top Concerns in Fixed income

    Streaming blocks change the basis of matching and price discovery so institutions can find new liquidity.