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Special Report Inside Market Data May 2012 waterstechnology.com/imd ANALYTICS SPECIAL REPORT Sponsored by: 1 blink = 10,000 orders Profit now from a latency of 0.000037 seconds Greatertradingsuccess:WithX-streamINETbyNasdaqOMXyoucan profitfromthefastestandmostadvancedsharetradingtechnology. Together with co-location, this reduces average round-trip latency to 37 mi- croseconds.Findoutnowabouttheadvantagesofourhigh-performance trading:Call+41583992460. www.six-swiss-exchange.com/trading Swiss Exchange LETTER FROM THE EDITOR Analyzing Analytics Analytics—the tools that help traders and investment professionals to identify opportunities and spot trends in raw data, spanning the gambit from basic price and volume charts to technical analysis that can spot and predict trends, to behavioral research engines, and even systems for creating market- derived prices—are in a state of constant evolution. And as data volumes increase, markets become commoditized and strategies become more sophisticated, analytics are becoming ever-more impor- tant in the search for alpha. “The fixed income markets are becoming smarter…. The corporate bond and CDS markets have been the first to evolve to embrace pre-trade transparency, but it won’t be long until we see this in other asset classes,” says Tim Grant, managing director at Benchmark Solutions. “Clients are starting to demand the types of value-added analytics that have been more prevalent in equity markets, such as liquidity metrics, transaction cost analysis and quantifications of market impact.” This trend is also being reflected in how clients operate, with fundamental and technical traders increasingly sharing common ground. “In the past, we had two camps—quantitative analysts and technical analysts. [Now] these two approaches are meeting in the middle, and a new class of ‘quan- tamental’ strategies are emerging,” as quants seek more data to differentiate their strategies and as fundamental analysts use quantitative processes to advance their screening processes, says Rich Brown, head of quantitative and event-driven solutions at Thomson Reuters. Some attribute this to the availability of data, and the tools by which a broader audience can access it: “More and more, we see the emergence of a trading style that is composite or hybrid in nature. This is in part possible because of the commoditization of data that has occurred as a result of the prevalence of the web,” says John Shortt, vice president of research and development at technical analysis software vendor Recognia. But in addition to being a delivery channel, the web is also a rich source of information, and financial firms are seeking out market-moving information being made public through blogs, Twitter feeds and other forms of social media—which together present far more updates per second than any market data feed, and will drive the evolution of Big Data storage tools and the next generation of analytics. n Max Bowie Editor, Inside Market Data Inside Market Data Max Bowie, Editor Elina Patler, Head of Editorial Operations Subscription Sales Tel: +1 646 490 3966 Dominic Clifton Tel: +44 (0)20 7968 4634 [email protected] Claire Light, Senior Marketing Manager [email protected] [email protected] Vicki Chan, US Reporter Incisive Media Customer Services Tel: +1 646 490 3967 Incisive Media Haymarket House [email protected] 55 Broad Street, 22nd Floor 28–29 Haymarket New York, NY 10004 London Faye Kilburn, European Reporter Tel: +1 646 736 1888 SW1Y 4RX Tel: +44 (0)20 7316 9143 Tel (UK): +44 0870 240 8859 [email protected] Incisive Media Tel (International): +44 (0)1858 438421 32-34 Broadwick Street Lee Hartt, Publishing Director London W1A 2HG Tel: +44 (0)20 7316 9443 Tel: +44 (0)20 7316 9000 [email protected] Fax: +44 (0)20 7316 9250 E-mail: [email protected] Jo Garvey, Global Commercial Director Tel: +44 (0)20 7316 9474 Incisive Media [email protected] 20th Floor, Admiralty Centre, Tower 2 18 Harcourt Road, Admiralty, Hong Kong Tel: +852 3411 4888 Fax: +852 3411 4811 © 2012 Incisive Media Investments Limited Unauthorized photocopying or facsimile distribution of this copyrighted newsletter is prohibited. All rights reserved. ISSN 1047-2908. waterstechnology.com/imd May 2012 3 Inside Market Data Analytics Special Report NEWS ROUNDUP NYSE Tech Bows Hosted TAQ ‘Analytics Lab’ NYSE Technologies, the data and trading platform, MDAL allows clients to run ana- data for the exchange’s US equity markets, technology arm of NYSE Euronext, will lytics against large volumes of TAQ data in and the exchange is looking to expand the unveil a new service this quarter, dubbed NYSE’s cloud, reducing demands on their service to cover other asset classes traded Market Data Analytics Lab (MDAL), own infrastructures, though the vendor on markets within its parent group, such as which will provide access to a central, man- will continue to deliver the data via FTP derivatives and bonds, as well as data from aged database of its historical trade and and email for clients who prefer. other exchanges, Fuller says. quote (TAQ) data and a range of hosted MDAL also includes a library of pre- Uusers may also upload their own data analytics and tools for querying the data, built, commonly used functions, ranging into MDAL in spreadsheets or CSV files, enabling clients to back-test and imple- from simple equations to “more sophisti- and link them to NYSE’s content to filter ment trading strategies without the cost of cated, moving average-type calculations,” data according to their list of securities. acquiring and managing the entire TAQ says Brian Fuller, business development NYSE will charge a monthly per-user database in-house. manager for global market data at NYSE fee for MDAL, the cost of which will vary An extension of the exchange’s Capital Technologies. according to the number of concurrent Markets Community cloud connectivity MDAL initially provides historical TAQ accesses. n Intrinsic Adds Russell Index Metrixx Taps TT Data for Data in Analytics Push Bond Futures Analytics Equity and fixed income analytics provider Intrinsic Research Decision support analytics and market statistics provider Systems, a subsidiary of company and financial data vendor Mergent, Metrixx has linked its calculation engine to Chicago-based is expanding the content available via its analytics platform, with the derivatives trading software vendor Trading Technologies’ addition of data from Russell Indexes and more global content, as it market data servers and exchange gateways, so TT clients looks to develop additional analytical tools to meet client demand. can run Metrixx’s analytics on data from TT’s trading Intrinsic’s current content set includes company fundamentals, platform. corporate and municipal bond prices and economic data. Under the deal, traders can access Metrixx’s calculations The addition of Russell’s benchmark data will support an expan- directly within TT’s X-Trader desktop, enabling them to sion of Intrinsic’s portfolio analytics beyond reporting and monitor- derive analytics relating to spreads and differentials—includ- ing to enable customers—including hedge funds, mutual funds and ing yield curve duration spreads, Notes Over Bond spreads asset managers—to also run performance attribution analysis. and analysis on cash-to-futures ratios—and directional trends Along with the content expansion, the vendor is also planning to from TT’s data for global fixed income futures contracts. enhance its screening capabilities to enable users to customize the Metrixx’s calculates its analytics in real time and provides product and create their own screening items, such as the ability to them as streaming values that would be time- and resource- apply mathematical and scoring functionality on top of the existing intensive for derivatives traders to calculate themselves, while 1,400 fixed, screening items pre-calculated by Intrinsic, which clients X-Trader users can gain access to Metrixx’s analytics in under can use to provide instant results. n an hour, says Jim Marzano, managing director at Metrixx. n Titan Adds Insider, Predictive Data to Signals Titan Trading Analytics, an Atlanta, nal stream,” says Titan CEO John Coulter. poral analytics” by scanning public sources GA-based provider of trading strategy Jonathan Moreland, director of research of news and information to generate time- signals based on behavioral research, has at Insider Insights, who started collecting lines for individual companies and captur- added two new sources of sentiment ana- insider deal data to support his own fun- ing any mentions of future events, then lytics—insider trading data vendor Insider damental research and trading activities, predicting the impact of that event on Insights and predictive analytics provider then began selling the results to offset his securities prices based on historic perform- Recorded Future—to its behavioral data. research costs, says insider deals provide an ance around similar events in the past. “We have our models based on price, indicator of a company’s—and its execu- “If you can quantify and score news and volatility and our suite of algorithms, then tives’—confidence in its own stock, which, other media, you can provide another view we take the unstructured data and use it in conjunction with other research, could of what’s happening to a company,” says as an overlay … [to] serve up sentiment be factored into investors’ decisions. David Moon, head of financial services at changes and upcoming actions in our sig- Recorded Future creates so-called “tem- Recorded Future. n 4 May 2012 waterstechnology.com/imd Liberum Capital Bows Fidessa ‘Intelligence’ Tool UK-based investment bank Liberum VWAP,” says John Truscott, operations each venue—particularly in respect to dark Capital has rolled out Fidessa’s Real-Time director at the firm. executions—so it has made a tremendous Intelligence analytics tool to allow its sales Previously, Liberum compiled execu- difference to us,” Truscott adds. traders to provide real-time analytics to tion reports manually—for example, by The Intelligence product suite—which clients based on order and trade activity.
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