OneQUANTDATA more
One solution for tick data management and analytics
OneTick is a firm-wide infrastructure designed to handle every conceivable tick data need including:
- Algorithmic, low-touch and program trading
- Alpha research and transaction cost analysis
- Regulatory compliance and surveillance
- Statistical arbitrage and market making
- Data management of massive amounts of financial data
Capabilities Include:
OneTick's proprietary analytical module allows users to specify a complex set of computations on historical or streaming data. Calculations extend far beyond standard VWAP, average spread or volume profile statistics, which are included in the library as out-of-the-box engines. OneTick's analytical library is completely generic. With built-in functions and complete analytical engines, it empowers clients to build customized analytics on the fly using available components or by dynamically adding their own analytical components which can be used and stored alongside preprogrammed functions.
Highlights:
- Ability to analyze all data - Ability to use analytics with either historical or streaming real- time data
- Client extendable analytics
- Powerful intuitive primitives for:
- - Filtering
- - Performing aggregations such as:
- VWAP
- Time weighted spread
- High, Low, First, Last
- And more
- - Merging
- - Joining data from multiple stream
- Powerful high-level business logic primitives including:
- - Vendor-independent order book building and analytics functionality
- - Multiple order book consolidation
- - Corrections/cancellations logic
- - Portfolio pricing on a tick by tick basis
- - Corporate actions and reference data handling such as:
- Corporate actions adjustments
- Symbol change logic
- Symbol map logic
- Futures rolls
- Option chaining
- Exchange holidays
- Extensive Loading Capabilities - Client generated data such as orders, trades or
calculated values can be loaded easily into OneTick both in real-time and batch
- Seamless Data Analysis - Ability to analyze data coming from multiple historical databases
With a unique understanding of financial data, OneTick drastically reduces development costs by providing users with intuitive business logic that is integrated seamlessly with OneTick's robust analytics. This logic enables OneTick to handle adjustments due to corporate actions, symbol changes and other events. Additionally OneTick can handle corrections and cancellations naturally, and can return data fully corrected or as it looked at any time during the day by applying only the corrections and cancellations that occurred before that time. For back-testing and simulation purposes users, can view data exactly as it arrived.
Highlights:
- Adjustments for Corporate Actions:
- - Splits
- - Cash dividends
- - Stock dividends
- - Spin-offs
- - And more
- Symbol Logic:
- - Symbol continuity/symbol changes
- - Symbol maps - retrieve data using a symbol type different from the one used for
storing data (e.g., CUSIP/Ticker)
- Futures Roll:
- - Splicing multiple contracts
- - Roll date price adjustments
OneTick builds intelligently compressed archives from data collected in real-time (e.g., Reuters, Wombat, direct market feeds, etc.) or from batch sources such as TAQ daily files, NYSE Open Book daily files, LSE daily files, etc. Data archival is completely transparent to users.
Highlights:
- Proprietary Compression - Simultaneously optimizes compression ratio as well as performance characteristics
- Generic Data Container - Allows users to seamlessly store and analyze tick by tick data as well as static data, news, closing prices, fundamental data, etc.
- Data Location Transparency - Provides the ability to fragment a database into smaller segments residing on separate drives
- Unlimited Archive Size - Allows users to store limitless data (e.g., archive can hold a complete TAQ data set from 1993)
- OneTick Data Loaders:
- - Data intelligence. Understand for different vendors:
- Corrections
- Cancellations
- Flags
-
- - Depth of Book Format - Off-the-shelf loaders:
- ARCA
- BrokerTec
- BATS
- EBS
- Eurex
- ICAP
- Chi-X
- CME
- Deutsche Bourse
- Dow Jones Elementized News
- Sinofin
- Euronext
- LAVA
- LSE (level1, order book)
- MarketAxess/Trace
- NYSE Open Book
- OPRA
- RDTH - Reuters Datascope Tick History
- TAQ
- TAQ NBBO
- Toronto
- Additional loaders:
- Generic loaders for any ASCII file
- Custom adapters which can be implemented in just a few hours
Since OneTick can capture streaming market data from any source, clients receive ultra low latency access to the latest tick data. OneTick can collect every tick for all markets globally, regardless of asset class, data volume (including OPRA), peak data rates or type of data (including full depth of book).
Highlights:
- Superior Performance - Ability to collect billions of ticks per day from a single source, as
well as handle easily rates much faster than themaximum observed rates for financial markets
- Data Flexibility - Collection of every trade and quote globally in real time including all stock exchanges, option exchanges and order book data
- Intuitive Development Environment - Easy to use API and highly configurable approach to developing new feed adapters
- Linearly Scalable - Cores can be added as needed
- Fault Tolerance - Synchronization with and seamless failover to the backup collector
- Off-the-Shelf Real-Time Loaders:
- - Wombat
- - Reuters
- - SSL
- - RFA
- - IDC Comstock
- - ACTIV
- - Spryware
- - FeedOS (QuantFACTORY)
OneTick retrieves data from its database at unmatched speeds. It provides users with the flexibility to access data in multiple ways - whether it be from their applications, by using standard language APIs that read data from the OneTick server or archives, by using a command-line tool, or through a GUI.
Highlights:
- Supported Languages/APIs - C++, Java, C#.net, Perl, Python
- Statistical Packages - MATLAB, R, SAS, S-PLUS
- ODBC and JDBC via JDBC/ODBC Bridge - SQL
- Excel - ODBC and JDBC via JDBC/ODBC bridge
- Unmatched Processing Speeds - Ability to process raw historical data at rates of over
five million ticks/second
- Data Flexibility - Capability to retrieve data with corrections/cancellations or exactly as it arrived
- Embedded Calculations - Data retrieval of raw data or complex analytics computed on the fly
- Architecture Configurability - Access to data via a server or directly from archives to allow server side or client-side processing
- Visual Query Building - GUI to specify queries and view results
- Proprietary Archive Structure - Optimized for efficient time-series and bulk data queries and rapid cross-sectional queries (e.g., retrieve last trade before 11:30 a.m. for all stocks in Russell 3000 every day for a month)
- Large Capacity - Single server can respond to more than 10 million queries for raw data or computed analytics daily
- High Concurrency - Ability to manage multiple concurrent queries
- Easy Integration - Standard language APIs connect directly to OneTick's server
- Smart Database Awareness - Transparent data location that provides identical access to most recent ticks as well as years of history
OneTick provides seamless automated failover from data collection to query response, making OneTick highly available and reliable.
Highlights:
- No Batch Processing Downtime - users are able to query the system 24x7 with no downtime
- Seamless Collection Failover - automatic switching between a primary and secondary feed upon detection of an outage or delay
- High Availability - Automatic rerouting of queries from the primary server to a secondary
server when the primary is inaccessible
Capacity and Latency
Highlights:
- Superior Scalability - Unique architecture with excess capacity to meet current daily rate
growth and comply with new requirements such as Regulation NMS
- High Message Capacity - collection rates from 300,000 messages per second per core
(with a high degree of normalization) to 1.5 million ticks per second per core (with low
normalization)
- Low Latency CEP - Full average message processing time is 20 microseconds
- Read Rates - Cold read is one million ticks per second per core, warm read is five million
ticks per second per core