OneTick is the premier enterprise-wide solution for tick data capture, streaming analytics, data management and research. It captures, compresses, archives and provides uniform access to global historical data, up to and including the latest tick. OneTick has no limitations on data volumes, peak rates or length of stored history, and it collects every tick for all asset class types including equities, fixed income, futures, FX and options, as well as full order book data.
OneTick's powerful analytical tools enable clients to run historical simulations and back-tests, develop trading and market-making strategies, build transaction-cost models, perform real-time surveillance and answer regulatory compliance requirements. With its superior features and unmatched functionality, OneTick is being embraced enthusiastically by leading hedge funds, mutual funds, banks, brokerages, market makers, data vendors and exchanges.
OneTick is built from the ground up to understand market data. Its engine is finely-tuned to understand the nuances of trading, quoting and order book processing. We provide a broad set of in-built functions we call Event Processors focused on trading and quantitative research for tick data. While we are asset-class neutral, our library of analytical functions provides a means to research the relationship between trades and quotes, to instantly merge Order Books from multiple sources, to convert currencies for cross-border arbitrage and hundreds of other in-built functions expressly purposed for analysing markets. These analytics functions or Event Processors are easily amenable to other data such as executions, RFQ systems and user-definable content.
The Query Designer is a visual design tool enabling a user to graphically construct or model queries using a collection of query elements called Event Processors. Event Processors are nodes on a graph and can be linked in series or in parallel using a directed graph construct. A query’s graph is assembled using a drag-n-drop, “paint a canvas” metaphor. Each Event Processor has its own unique parameter set. Parameter values can be simple static values, reference values (i.e. tick stream fields), evaluated conditions, or user-supplied input (e.g. aggregation interval) that can be supplied at query runtime.
Our Python interface provides data scientists and quantitative researchers with the convenience of Python and the performance of OneTick.
OneTick analytics have been extended to incorporate Machine Learning (ML) capabilities, using well-known open source ML libraries. Customers can use OneTick's machine learning event processors for training, prediction, performance evaluation, and real-time learning/prediction on-the-fly. These operations can be performed natively within OneTick, without having to export any data.
OneTick's ML algorithms address common machine learning categories such as classification, regression, and clustering. Specific algorithms include support vector machines, relevance vector machines, kernel ridge regression, and k-means clustering. The trained models are themselves stored as OneTick databases.
OneTick includes a dashboard designer that can be used to build new dashboards both for visualizing results of queries in historical or real-time CEP mode, and as control interfaces. Visual Dashboards support historical and real-time CEP queries. OneTick Dashboards can run either as deployed Windows applications or as HTML5 web-based dashboards
A drag-n-drop paradigm is used to add visualization and control elements to a new dashboard. Behind each display or control component (e.g. charts, tables) are one or more OneTick queries that connect to Tick Servers at the back end, which allows advanced functionality to be deployed quickly. Dashboard components can also communicate by way of messages.
Real-time CEP dashboard displays continuously or with frequency predefined by the query parameters (for example, a real-time market monitor dashboard updates market-maker obligation metrics grids and charts), and can also examine historical data. At the back-end, the OneTick streaming analytics engine collects real-time market and transaction data and calculates the obligation metrics.
In this application, user dashboards can be started any time. The latest calculated values and the recent history of calculated values will be available to dashboards immediately when they connect, and, from the user’s perspective, will update continuously on the dashboard thereafter.
Applications such as a real-time execution quality monitor can be configured to generate alerts on various conditions. These events can flow into an existing, configurable alert management workflow dashboard for reviewing, assigning, commenting on, and closing execution quality alerts.
This is a screenshot of an existing trade practice surveillance alert examination dashboard, which is an example of a specific configuration of the alerts-management component.