Independently tracking every single order from generation to completion and providing detailed, completely customisable, live analysis at every stage, Velocimetrics’ technology enables firms to effectively forecast and manage emerging risks, providing a real-time understanding of exactly what is happening across complete trading processes, as it is happening.
Precisely tracing the data that relates to each order, as it progresses across order management systems, smart order routers and algorithmic trading engines, Velocimetrics’ technology is able to intelligently detect the complicated cause and effect relationships that exist between different pieces of trading data.
Tying together all related trading data in real-time, the complete flow of events can be analysed at both a statistical and individual trade level and compared to past trends. In doing so, accurately assessing the data’s quality – its timeliness, correctness and completeness, and how the trading firm is performing against client SLAs, thresholds and trends over time. This approach enables firms to employ predictive analytics so emerging performance issues, sources of operational risk, factors that could limit trading profitability and potential regulatory concerns can be instantly detected. Often enabling proactive steps to be immediately instigated, avoiding the problem in its entirety.
In the event that an issue is unavoidable, Velocimetrics’ technology enables every team involved in the incidents management, including technical groups, business and client-facing staff to quickly access the relevant, actionable insight they require to effectively control the issue’s impact at an infrastructure, trading and customer level.
Read on to learn more about how Velocimetrics’ technology can support trading firms:
Complete operational oversight across complex and fast trading environments
An example of the many points across an equities trading process that Velocimetrics could capture data for detailed analysis
Velocimetrics’ technology provides complete visibility across all systems and networks that form part of the end-to-end trading process, regardless of how complex, fast or dynamic the overall process may be.
This is achieved by capturing data at multiple points throughout the process using an optional range of techniques including:
- High speed, passive network data capture
- High precision in-application instrumentation
- And capturing messages as they traverse middleware
These different approaches can be mixed-and-matched to provide clients with the optimum solution for their environment.
In doing so, users gain a real-time understanding of the activities taking place across all infrastructure elements.
With this level of uncompromised visibility there are no blind spots, so regardless of whether an issue occurs inside an application, or on the network, its exact location can be instantly identified. This approach enables engineers to immediately commence with the issue’s repair, versus first having to determine its location.
Minimise trading losses by identifying and analysing issues occurring at any point throughout the end-to-end trading process in real-time
To effectively track orders and trades, from the moment they enter a business process to when they complete, Velocimetrics’ technology is able to intelligently detect, the often very complex, cause and effect relationships that exist between different data elements. Tying together all data influencing a trading decision, Velocimetrics’ technology accurately identifies, for instance, the precise market data tick that drove an algo to execute an order and the resultant trade.
This diagram demonstrates how Velocimetrics’ technology is able to identify every piece of data relating to an algorithmic trade and chain all of this information together, enabling the trade’s complete end-to-end path to be accurately tracked and analysed
By creating chains, formed contemporaneously as the data is captured, the complete trading flow can be immediately analysed. By recording timings at every stage both hop-by-hop and full order life-cycle metrics can be generated, and adopters can gain a real-time understanding of how changes to these flows are impacting performance, the business or the end user’s experience.
Because Velocimetrics’ technology will do all of this in real-time, users can effectively predict how well their operations are likely to behave during upcoming events and take proactive steps to ensure they can cope.
Rapidly reconstruct trades for post-event analysis
Because Velocimetrics’ technology is able to identify the complicated relationships between different data elements, chain together all related information and analyse the complete trade in real-time, users can be instantly alerted to trading issues. They can also then store the trading data as complete end-to-end flows.
Users can search for trades using a multitude of different attributes such as type, date, latency or the trade ID, and rapidly reconstruct the exact path taken by the requested trade from its origination to fill. This is even possible in situations where an order has been split up into multiple child orders and those orders have been time delayed, or where no unique ID survives throughout the flow.
By examining these reconstructed flows, users can clearly identify the factors that influenced decision-making at different points and retrieve full order life-cycle timings. With this approach the entire flow of events can be examined and any given element investigated in high resolution.
The functionality that allows users to reconstruct trades offers many benefits, for example some firms use it as part of their post-trade analysis to understand the latency experienced at each stage by loss-making trades. In doing so, users can detect if the performance of particular systems may be generating internal processing issues, which are resulting in poor trading results.
Furthermore, because all trading data is tied together contemporaneously at its point of capture, the data is chained together in accordance with the business or algorithmic trading rules in place at the time. So, when users examine the stored data they don’t need to apply these rules retrospectively, reducing the potential margin for error in future analysis.
Set customisable alerts notifying users of trading behaviours generating financial loss or of clients exceeding trading thresholds
Velocimetrics’ technology examines the data moving across trading processes in its business context, allowing users to be notified to a wide range of emerging developments, unusual behaviours and threshold breaches by setting highly customisable alerts. Here are some examples of how these alerts could be used by trading firms:
- If a mispriced product is generating aggressive trading behaviour, Velocimetrics’ technology can be configured to instantly notify users of unexpected activity levels. With this insight users can take remedial action, such as widening spreads to avoid further losses
- Users can monitor trading patterns and be alerted if their clients are potentially conducting systemic abuse. This can be used to identify for instance, if certain clients are consistently trading outside of the formal FX quote validity window, within the discretionary period allocated to accommodate arbitrary technical delays
- If direct electronic access clients are in danger of breaching trading limits and regulatory commitments, by putting in place pre-agreed thresholds users can be alerted as these are reached
Enable different user groups to access the relevant, actionable insight they need to manage and control an issue’s impact from a technical, business and client perspective
By enabling captured data to be sliced and diced in a multitude of ways; different user groups across the business can customise how they analyse the information. This might include examining completed trades on a market-by-market basis, by instrument, individual client or groups of clients.
This means that when an incident occurs not only can technical teams be alerted to the fact that a queue is building or there is a network delay but from a business perspective users can quickly identify, for instance, exactly which trades have been impacted and the clients they belong to. With this approach technical, business and client-facing teams can all access the relevant, actionable insight they require to effectively manage and control the incident.
Address emerging regulatory requirements
Regulators globally are continuing to push for greater transparency and the employment of more effective systems and risk controls, especially in relation to algorithmic trading, as called for by MiFID II.
Because Velocimetrics’ technology traces each and every market data tick, order and trade, from the very moment it enters an environment to its point of completion, and ties together all related information in real-time, it is able to support firms in meeting these requirements. Here are some examples of how Velocimetrics’ technology can be used to meet regulatory commitments:
- By enabling users to examine the complete end-to-end trading flow and, if they wish, forensically investigate any individual part of the flow
- Velocimetrics’ technology enables users to better understand the cause and effect of trading decisions on future developments. This is achieved by enabling any given trade to be rapidly reconstructed and clearly identifying exactly which market data tick impacted the decision of an algorithmic trading engine to execute a trade at a particular price
- By offering non-intrusive network data capture; Velocimetrics’ technology is able to provide an independent and true measure of trading activities
Be instantly notified to the emergence of market data quality issues
The receipt of reliable, complete and timely market data is integral to trading success. With Velocimetrics’ technology users can continually assess the quality of data being employed into trading decisions, by examining:
Market Data Timeliness
Understand if market data is ticking as fast as expected, identify latency variations and make an intelligent assessment regarding the data’s timeliness on an instrument-by-instrument basis. Compare absolute thresholds, content timestamps, historical norms and statistical distributions.
Comprehend the impact that stale data or periodic congestion may be having on an instrument-by-instrument basis and fine-tune detection thresholds.
Market Data Liveliness
Detect market data tick absence at the feed, market, instrument or field level to identify on a live feed, if certain trading venues or individual instruments may be missing.
Comparative Feed Performance
Understand whether stream A or B, or the direct exchange versus consolidated feed is performing more effectively, providing users with the acumen to determine if they should switch to an alternative feed.
Market Data Price Sensitivity
Compare current price movements to a 5 or 30 day moving average to understand if pricing ticks are moving as expected compared to historical norms and be alerted to sudden price jumps, indicating that ticks may be missing.
To learn more about how Velocimetrics’ technology is able to assess the quality of data being employed into trading decisions visit our Market Data Quality solution page.
Independently verify if client service level agreements (SLAs) are being achieved
Due to the highly customisable nature of the analytics that Velocimetrics’ technology is able to provide, trading firms can independently verify if they are satisfying client SLA commitments.
Performance against SLA commitments can be examined on both an individual client basis or by groups of clients, to confirm for instance if order latency is within pre-agreed limits.
Enrich captured trading data with additional information
Velocimetrics’ technology enables firms to enrich captured data with supplementary information of value to their particular users. For instance, if a firm wishes to understand the notional value of all orders trading live but the orders are displayed in a variety of currencies, Velocimetrics can apply a foreign exchange calculator so the equivalent value against a standard currency is displayed.
The ability to enrich captured data has also been used by FX trading firms to determine which pricing ticks drove the generation of particular quotes in synthetic currency pairs. To achieve this, Velocimetrics can be configured to understand an individual firm’s foreign exchange crossing rules and then reverse them to comprehend which ticks drove certain quotes.
More effectively manage performance during periods of market volatility
Using the analytics offered by Velocimetrics’ technology, trading firms can understand if unusual peaks in trading activity may be impacting the performance of different parts of their infrastructure.
By quickly identifying any areas of strain across the complete trading process, users can access this insight and focus engineering effort on these elements, reducing the risk that future periods of market volatility might negatively impact performance.
Employ a scalable solution able to support growing trading volumes
Velocimetrics’ technology is used in a variety of different trading environments and is able to scale to support very high volumes, such as environments consuming extremely large amounts of market data or processing an exceptionally large number of orders.
To effectively support these environments, instead of sending captured data to a single central analysis server, that can only track and analyse a finite limit number of events at any one time, Velocimetrics’ technology is able to employ a cluster of interactive servers that are in constant communication. To learn more about the techniques Velocimetrics uses to manage large data volumes, please click here.
With this approach, users can continue benefiting from detailed real-time operational oversight; instant issue alerting and access to decision-making analytics as market data and trading volumes continue to expand in exceedingly complicated trading situations.