Xenomorph - High Frequency Data Analysis

http://www.xenomorph.com/downloads/whitepapers/high-frequency-data/

High Frequency Data Analysis

Considered decision-making with TimeScape

This paper illustrates how Xenomorph’s real-time analytics and data management system, TimeScape, enables extremely rapid and extensible analysis of tick and intraday timeseries data delivering competitive advantage in pre- and post-trade decision support.

View complete High Frequency Data Analysis white paper PDF. (This document requires the free Adobe/Acrobat Reader.) 20 pages, 860KB

Introduction

A Time of Change and Opportunity

Data management in financial markets are being driven through a period of fundamental change. Trade volumes are increasing exponentially as electronic execution delivers faster trading with ever-tighter margins. The proprietary algorithms used in algorithmic and statistical arbitrage trading are becoming more complex. Developments in areas such as credit theory are establishing market relationships that motivate more complex cross-asset trading strategies. Regulations such as MiFID and Regulation NMS are pushing the whole industry towards better and more transparent execution, but are also fundamental drivers behind both huge business change and dramatically increased data volumes. All of these factors are combining to provide both profit and cost incentives to move away from single asset class data silos.

Looking at data management from a trader’s perspective, then a decade ago many practitioners were content with analysing end of day historic data for strategy back-testing and instrument pricing purposes. It should be said that they quite possibly had no choice from a technological perspective; the capture, storage and analysis of intraday data volumes even then was challenging, especially at a time when the relational database was still a relatively new technology. Given however that derivative pricing margins were wider and statistical arbitrage was profitable using end of day prices, then there was also little incentive to store and analyse intraday tick and high frequency data. Much tighter trading margins, cross-asset trading and improved technology have changed traders’ perceptions of what is required and what kind of analysis is possible with high frequency intraday data.

Risk management has previously not been greatly concerned with intraday data. As many risk managers will confirm, obtaining clean data for end of day risk measurement is challenging enough. Risk measurement techniques such as monte-carlo or historical simulation VaR require large amounts of historical data and are calculation intensive. Large data universes or poor implementation may mean that it is challenging to attempt to run these techniques as an overnight batch, let alone perform the calculations in real or near real-time. Increased intraday trading exposure, better understanding of intraday market behaviour and recent regulatory requirements concerning data transparency and data quality are driving risk managers towards more analysis of tick by tick and intraday data.

The changes above require systems that can adapt to the pace of change, delivering high performance analysis even when the quantity of intraday data being analysed is massive. This paper describes how Xenomorph’s real-time analytics and data management system, TimeScape, has been designed to meet these current challenges and to deliver competitive advantage in pre- and post-trade decision support.

White paper contents

• A Time of Change and Opportunity
• Data Transparency – Increased Productivity for All
• Tick Capture – Flexibility and Ease of Use Together
• Tick Storage – Real-Time, Intraday and History All in One
• Data Access - for Both Traders and Technologists
  • Loading Intraday Data with Functions
  • Loading Intraday Data with TimeScape QL+
• Data Validation – Why Waste Half Your Time?
  • Data Frequency and Time Snapping
  • Data Filling, Aligning and Loading Rules
  • Real or Interpolated Data?
• Data Analysis – From Backtesting to Best Execution
  • Chaining Analytical Functions
  • Intraday Time Period Analysis
  • Beyond the Spreadsheet
• Event Processing – Real-Time Analysis Automation
• Your Proprietary Advantage
• Summary