2011. 8. 11. 10:24 Market Data

TREP-VA for Quantitative Trading

Algorithmic trading is a machine-driven approach to trading, with the goal of reducing commission and other costs and, ideally, improving the time of execution by reducing latency. At its simplest, it means placing a buy or sell order of a defined quantity of a given asset into a quantitative model that automatically generates the timing and the size of the order based on goals specified by the parameters and constraints of the algorithm.
Increased liquidity in the electronic marketplace is key. The acceleration of exchange consolidation, and growth in program and algorithmic trading all are contributing to a dramatic change in how firms find and tap liquidity. An array of technologies, including Thomson Reuters Enterprise Platform for Velocity Analytics, support this continuing shift. Event-driven architectures and applications will draw on real-time, integrated market data to identify liquidity sources.
Increasingly sophisticated buy-side firms (especially hedge funds) are looking to build their own algorithms and are a target for Velocity Analytics as well.

HOW VELOCITY ANALYTICS MEETS THESE NEEDS

Algorithmic trading requires lots of streaming market data to be compared in real-time against historical data, as well as high-speed analysis and data handling.
Because of its proprietary technology, Velocity Analytics can load all this data (which is updated in milliseconds) into its persistence database, calculate preconfigured algorithms (such as VWAP) or customers’ own algorithms, shoot out trade signals to traders or orders directly to an OMS system, and store the market data.

Velocity Analytics comes pre-loaded with standard analytics (VWAP) enabling a customer to get up and running quickly. We deliver a ‘white box’ VWAP giving customers the easy ability to re-configure time frames and include or exclude any instrument type. Easy integration with Thomson Reuters Enterprise Platform for Real Time allows these calculated VWAPs, based upon streaming market data, to be used by other applications in a low latency environment.

With accurate market data captured and easily accessible, customers can also build new algorithmic trading strategies choosing from Velocity Analytics’ library of application programming interfaces (APIs) and scripting and interfaces to statistical packages including Excel, MATLAB and S-PLUS. And with its easy integration to third-party or proprietary, customer-developed analytics, customers can back-test these strategies as well. 
customers : 고객, 단골, 거래처, 놈, 녀석
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Posted by karlsen

2011. 8. 11. 10:14 Market Data

TREP-VA for TCA

In order to improve execution performance it is necessary to measure the actual outcome of your trades against your expectations of that execution. Simply put, post-trade analysis helps you make better trading decisions.
Most post-trade analysis is focused on Transaction Cost Analysis (TCA) to uncover the total cost of trade decisions. An holistic approach to TCA includes not only commissions paid, specified benchmarks (e.g. VWAP) against realized execution and market impact, but also a comprehensive analysis of whether the execution ultimately meets the strategic goal of the portfolio manager. And the results of post-trade analysis are fed back into future trading decisions to fine-tune the trading process.

EXAMPLES OF POST-TRADE ANALYSIS

REAL-TIME CORRECTION AND FEEDBACK BASED ON POST-TRADE ANALYSIS 
Post-trade analysis is being used in realtime by the sell side. The result – immediate
results on whether you obtained best execution, as well as instantaneous feedback while working an order, allowing an order to be re-worked if a strategy is not successful. During the hours it can take to complete the order, the strategy can be switched or a wholly new approach used.

TRANSACTION COST ANALYSYS
Transaction Cost Analysis isn’t simply a matter of comparing trades against where the market was when the trade was executed Thomson Reuters Enterprise Platform for Velocity Analytics can certainly enable the buy side and sell side to monitor executed trades against the market; but it also delivers a platform where you can store and analyze trade and market data to provide an holistic view of TCA based on your strategy objectives

THOMSON REUTERS VWAP MODULE 
Velocity Analytics comes pre-loaded with standard analytics (VWAP) enabling a customer to get up and running quickly. We deliver a ‘white box’ VWAP giving customers the ability to reconfigure time frames easily and include or exclude any instrument type. And with Velocity Analytics’ patented technology for high performance, industry-strength application programming interfaces (APIs) and scripting, customers can build their own ultra low-latency in-process analyses, making it possible to develop customized post-trade analytics.

HOW VELOCITY ANALYTICS MEETS THESE NEEDS 
Post-trade analysis demands the ability to process massive volumes of streaming tick data, compare it to trade data, and perform high-speed analysis and data handling. Velocity Analytics’ delivers these functions easily to an existing market data environment. 

Even more relevant to post-trade analysis is the Velocity Analytics persistence database and Velocity Analytics’ scalability, which enables a customer to store almost any amount of market data for any amount of time. Many customers will need to look at the full order book for U.S. equities. This represents 30 gigabytes of data per day. Combining streaming market data from major market centers with corporate action data from Thomson Reuters Tick History creates a customer specific, tick-by-tick database suitable for any type of post-trade analysis. 
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Posted by karlsen

2011. 8. 11. 09:59 Market Data

TREP-VA for Compliance

In today’s marketplace, trading professionals face two challenges: 

BEST EXECUTION/DATA STORAGE/MARKET ABUSE 
How can you get the best price and how can you prove that you did get the best price? Customers need to capture and store real-time tick data and trades, and run post-trade analysis to satisfy the regulators and customers that they achieved best execution. Additionally, firms need to be able to monitor and track insider trading and trading abuse.

TRADING/EXECUTION ALGORITHMS
Customers need market-sweeping algorithms looking at the top of the book across major market centers for a given instrument; intraday snapshots looking at where the market was at a given time; and a record of whether they got the best price for internal queries and reporting purposes.

HOW VELOCITY ANALYTICS MEETS THESE NEEDS 
Thomson reuters enterprise Platform for Velocity analytics – supported by the thomson reuters enterprise Platform for real-time – can help you meet these tough new requirements. Velocity analytics captures and stores tick, order book and internal trade data for as long as you need, helping to build long and deep trade information suitable for compliance reporting. combined with the powerful publishing capabilities of thomson reuters enterprise Platform for real time, Velocity analytics helps meet your quote and trade data transparency obligations.
With Velocity analytics’ extensible persistence database, multiple order books can be searched at once, scanning the market in real-time for best execution. a market-sweeping algorithm is employed to find the best price across different market centers. its real-time order book analysis supports smart order routing. 
Velocity analytics’ order Book analyzer for compliance uses level 2 data, providing a query-based, intra-day snapshot of where the markets were at a given time, and answering the question: “Did i get the best price?” it is an accurate and costeffective means of producing execution performance analytics and transaction cost research for compliance and customer reporting purposes.
We deliver Velocity analytics preloaded with VWAP, the most widely used performance measurement of best execution. Customers can easily re-configure time frames and include or exclude any trade type. Easy integration with the thomson reuters enterprise Platform for real-time allows these calculated VWAPs, based upon streaming market data, to be used by other applications in a low-latency environment.
And Velocity analytics’ ability to stream trade signals to an OMs through the low-latency thomson reuters enterprise Platform for real-time means that the risk of not getting best execution on a given security because of a slow OMS response time is reduced. When this ability is combined with low-latency thomson reuters Direct Feeds, as well as low-latency analysis with Velocity analytics’ persistent database, achieving and reporting on best execution is a realistic goal.

MARKET USE
REG NMS AND MIFID 
New regulations have clearly transformed trading operations on both sides of the atlantic. With pre- and post-trade transparency requirements for equity markets, MiFiD requires european firms to store trading data for years. the market structure reforms imposed by REG NMS, meanwhile, could signal the beginning of the end for the auction trading system in the united states as it hastens the demise of floor trading.
In both regions, meeting the new requirements requires firms to improve data storage, data integration and order management capabilities. 
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Posted by karlsen
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Pricing, hedging, risk-managing a complex derivative product
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