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Market Data Quality

Detailed in-stream insight to accurately assess the content of

market data streams

Detailed, real-time market data quality metrics

The inability to rapidly detect quality issues impacting the data used to formulate algorithmic trading decisions can be a costly business!

Velocimetrics’ Market Data Quality offering delivers detailed in-stream insight, enabling users to examine every single market data tick against an extensive range of metrics, continuously comparing the data’s characteristics to what is normal for the particular instrument. In doing so, accurately assessing the quality of data being actively employed into trading decisions and instantly alerting users to the emergence of abnormal price movements or tick behaviours.

By incorporating machine-learning capabilities, users can now access this valued insight with minimal resource effort, as determining what is “normal” for the thousands of instruments being traded, and adapting these definitions as behaviours change over time, is now an automated process. Thus, radically reducing deployment timeframes and on-going maintenance effort.

Enabling trading firms to save millions of dollars every year, this offering examines the data’s correctness, completeness and timeliness.  It will not only notify users of major issues, such as a consolidated feed failing in its entirety, but also raise real-time alerts if more subtle issues are detected. Notifying users if, for instance:

  • A particular market, matching engine or instrument that should be included in the feed has been lost, whilst all other elements appear to be ticking as normal
  • A particular instrument is ticking slower than normal
  • An individual instrument is ticking but only on either the bid or offer side, or ticking on either side at an abnormal rate
  • The price movement of a particular instrument exceeds expected parameters

Velocimetrics’ Market Data Quality offering enables emerging issues indicating data degradation such as delayed market data, missing ticks, anomalies in the data content and embryonic transport issues to be instantly detected.  Simultaneously, performance is compared to historical trends to identify patterns.

The instant an issue is detected, users can immediately access the powerful, actionable insights necessary to quickly and effectively determine how they can stem the flow of stale data to algorithmic trading systems.  In doing so, providing the information necessary to determine if they should halt trading or consume data from an alternative feed. Therefore, avoiding off-market pricing or flawed trading decisions that in today’s high-speed automated environments can very quickly result in significant financial loss.

Velocimetrics’ Market Data Quality offering is able to accurately assess the data inputs for equities, fixed income, FX and derivatives trading, enabling users to benefit from:

Meaningful decision making analytics

Velocimetrics’ Market Data Quality solution provides detailed insight through an intuitive console, alerting users to issues at a network, channel, feed and content level with both direct and consolidated feeds that may otherwise go unobserved.

By providing instant access to real-time analytics, managers have at their fingertips the information required for accurate and effective decision-making, enabling risks to be mitigated before they escalate to critical levels.

With these powerful analytics, users can, for instance, rapidly investigate delayed data alerts, flow rates and latency by quickly assessing the performance of individual feeds, markets or feed handlers and swiftly detect the root cause.

Furthermore, should a user be alerted to the fact that data may be missing or content degradation issues are occurring, users can examine stale or suspect data and sequence gaps by individual feed or market.

 

Detailed market data quality assessment for increased trading profitability

This innovative approach enables firms to put in place real controls, providing an early warning system that can make a significant difference to trading performance.

Velocimetrics’ Market Data Quality solution enables users to be assured of the quality of the data they are employing into trading decisions. With this approach, users can be confident that they will be instantly alerted to data abnormalities or the breaching of thresholds. Offering access to real-time analytics, Velocimetrics’ Market Data Quality solution provides the insight necessary to enable users to very quickly instigate action to limit an issue’s impact on orders, trades and ultimately the businesses’ profitability.

 

Avoid regulatory issues by more effectively controlling the quality of data passed onto clients

Being able to effectively control trading systems and prevent the generation of erroneous orders is becoming increasingly important from a regulatory perspective, along with the need to limiting an incident’s impact on clients and, as such, control the quality of data passed being on. As market data progressively drives the trading decisions made by automated systems, introducing measures that demonstrate that the data is being effectively managed is becoming increasingly important for many firms.

Velocimetrics’ Market Data Quality offering enables users to detect degradation in the quality of data being passed onto clients and access relevant, actionable insights, so users can proactively notify all affected clients, thus helping clients to limit the impact on their business.

 

On-demand and scheduled reporting

In addition to providing instant alerts, and access to detailed analysis, Velocimetrics’ Market Data Quality solution also enables users to create customisable reports on-demand throughout the business day or to run scheduled reports at specific times.

Once created, these reports can then be automatically sent to a pre-agreed list of email recipients.

 

Customisable analysis

Velocimetrics’ Market Data Quality solution enables data to be sliced and diced in a multitude of different ways, with the desired intelligence displayed through highly configurable charts.

With this approach different users within the same business can analyse the data from a variety of perspectives. For instance, in an FX environment users could examine the number of incoming price contributions on a per provider basis. Alternatively, if users are interested in analysing outputs they could, for example, explore tick rates broken down by client, lot size or currency pair. In doing so, Velocimetrics’ Market Data Quality solution is able to provide full support for the analysis of pricing tiers / ladders.

 

An extensible solution

Velocimetrics’ Market Data Quality solution is extensible enabling additional information to be assessed alongside the data it is analysing. Therefore, allowing users to benefit from customisable business insight. For instance, it can be configured to take a description of which feeds the user expects to be detected within an environment, so as the solution is initialised it can check if all feeds are present to begin with. Should a feed fail to be detected within an agreed time period, Velocimetrics’ Market Data Quality solution will alert users to the fact that the particular feed is missing.

 

Machine learning capabilities, minimising deployment timeframes and the on-going maintenance effort

Velocimetrics’ Market Data Quality solution has been designed so users can very quickly and easily get up and running, and start benefiting from the detailed insight delivered.  Featuring machine-learning capabilities, it is able to automatically adapt and rebase what “normal” looks like for the thousands of different instruments being assessed.  For every single instrument this involves independently determining, for instance:

  • How regularly the particular instrument should be ticking
  • What constitutes normal price movements
  • How measures vary at different times during the trading day and across days
  • How “normal” behaviour changes in respect of specific market calendar events

Having learnt this from observation, it can then detect and alert users to abnormal patterns.  Additionally, Velocimetrics’ Market Data Quality offering will automatically adjust to environmental changes over time such as amendments in tick behaviour and intelligently identify the addition of new instruments and the removal of others.

This capability enables adopters to benefit from considerable time savings as the product is implemented and continue benefiting from a reduced maintenance effort on an on-going basis.

Interested in learning more about Velocimetrics' market data quality capabilities?

Contact us, we'd love to hear about your businesses requirement's and discuss how Velocimetrics' approach to assessing market data quality may be able to help

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With Velocimetrics' Market Data Quality solution users will be alerted if:

Latency issues emerge due to:

  • Differing performance levels between A and B feeds
  • The timestamp delivered differs unexpectedly to that provided in the feed

Missing ticks are detected due to:

  • Sequence gaps
  • The lack of a tick after the market opens within an expected timeframe
  • An instrument is ticking but either the bid or offer price is not updating
  • The market itself is not ticking
  • A particular matching engine is not ticking even though the market as a whole appears to be healthy
  • The absence of a tick within an expected timeframe, assessed on both:
    • An absolute latency basis
    • An adaptive statistical latency basis

Data content issues emerge due to:

  • Anomalous price movements versus what can be reasonably expected
  • An indicator has been tagged as “suspect” in the feed

Transportation issues are identified due to:

  • Congestion and microbursts
  • Switch congestion
  • Market data consumers not able to keep up, resulting in TCP re-transmits or UDP drops