About a-team Marketing Services
The knowledge platform for the financial technology industry
The knowledge platform for the financial technology industry

A-Team Insight Blogs

Data Processing Strides Pave The Way To More TCA Capability

Subscribe to our newsletter

Squarepoint Capital’s expansion of its use of Kx Systems technology for investment research capitalises on the provider’s strength at normalising data, tying together data sources and increasing the speed of its data processing — in a manner that sets the stage for more effective transaction cost analysis (TCA).

Squarepoint uses Kx Systems’ Kdb+ time-series database and recently increased its consumption of large memory resources through Kdb+, according to Fintan Quill, head of software engineering, North America, KxSystems.

“Squarepoint wanted to access tons of historical market data, tying it in with their own internal order execution data for research purposes, to do TCA and back-testing — and discover various alpha patterns in the data,” says Quill.

MiFID II, the Fundamental Review of the Trading Book (FRTB) and other new rules for trading surveillance are making TCA capability a necessity. Kdb+ also serves as an underlying database and analytics engine for Thomson Reuters’ Enterprise Platform For Velocity Analytics, drawing on Thomson Reuters’ market data, as well as other market data sources, says Quill. “With this solution we’re actually tying two data sources together in one place,” he says. “This makes TCA very fast and very applicable. … It can now do real-time surveillance and sniff out the algorithms’ [activity in trading].”

With different trading desks often trying using different systems, all from a single firm, normalising the resulting data and putting that data into a simplified data model enables meaningful risk analysis and TCA surveillance, explains Quill.

Squarepoint’s increased use of Kdb+ fulfills its desire for faster access to data, according to Quill. “Now that memory has become a lot cheaper and a lot larger, people can share these environments,” he says. “You can have various quants all working on their own strategies and all hitting the same data set, but they don’t get in each other’s way.”

Subscribe to our newsletter

Related content

WEBINAR

Upcoming Webinar: Leveraging interoperability: Laying the foundations for unique best-of-breed trading solutions

Date: 23 May 2024 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes Interoperability on the trading desk promises more actionable insights, real-time decision making, faster workflows and reduced errors by ensuring data consistency across frequently used applications. But how can these promises be kept in an environment characterised by multiple applications...

BLOG

Firms in the US Prepare to Meet Compliance Date for UPI in Regulatory Reporting

The Derivatives Service Bureau (DSB) has released figures indicating industry readiness for the first jurisdictional compliance date for the inclusion of the Unique Product Identifier (UPI) in regulatory reporting in the US on 29 January 2024. The US is the first jurisdiction to start UPI reporting in G20 derivatives markets with EU EMIR Refit regulations...

EVENT

Buy AND Build: The Future of Capital Markets Technology, London

Buy AND Build: The Future of Capital Markets Technology London on September 19th at Marriott Hotel Canary Wharf London examines the latest changes and innovations in trading technology and explores how technology is being deployed to create an edge in sell side and buy side capital markets financial institutions.

GUIDE

Regulatory Data Handbook 2023 – Eleventh Edition

Welcome to the eleventh edition of A-Team Group’s Regulatory Data Handbook, a popular publication that covers new regulations in capital markets, tracks regulatory change, and provides advice on the data, data management and implementation requirements of more than 30 regulations across UK, European, US and Asia-Pacific capital markets. This edition of the handbook includes new...