Tick, Tick, Tick02.06.2012
Exploding volumes of tick data dictate new strategies.
The vicissitudes of financial markets are driving implementations of tick data management technology.
A more competitive trading environment, tighter spreads, thinner margins and a lower risk appetite results in quantitative traders exploring more cross asset trading models and cross asset hedging.
“The side effect of this is increasing demands for deep data over longer time periods across a multiplicity of markets–Equities, Futures, Options and of course cross-border currencies,” Louis Lovas, director of solutions at OneMarketData, told Markets Media.
Miami International Securities Exchange, LLC (MIAX), a start-up planning to open a U.S. options exchange in 2012, selected OneMarketData’s OneTick Database and CEP as its fully integrated tick data management system to implement and store all of its market data.
MIAX will use OneTick for pre-and post-trade analysis and data storage as well as usage reporting, execution quality, customer support, compliance and real-time surveillance.
The implementation of OneTick will allow the exchange to have all tick data collection functions available within one system, eliminating additional costs associated with integrating multiple solutions.
OneTick’s proprietary compression techniques, which combine high data compression with efficient data retrieval, will enable the MIAX to increase its overall efficiencies while leaving a smaller footprint, an important metric in the data intensive options space, according to MIAX.
Big Data is about linking disparate data sets under some common thread to tease out an intelligible answer.
“The challenge of this data dump is dealing with the vagaries of multiple data sources, mapping ticker symbols across a global universe, tying indices to their constituents, tick-level granularity, ingesting cancelations and corrections, inserting corporation action price and symbol changes and detecting (missing) gaps in history,” Lovas said.
“It’s about finding the cross asset correlations or understanding how to best hedge a position to offset risk, these are the underpinnings for trade models and portfolio management,” he said.
Exchange group reported its best second quarter, following a record first quarter.
Institutions can manage their bitcoin exposures in existing portfolio management and trading workflows.
Enabling a straight through process reduces operational complexity.
The new zero-footprint datafeed removes the need for dedicated market data infrastructure and equipment.
A robust sector taxonomy helps recognize similarities between digital assets which lead to correlated returns.