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Refinitiv and MayStreet – Traversing the Latency Spectrum

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Following its acquisition of Refinitiv in 2021, to expand its Data and Analytics business, LSEG signed an agreement to buy US-based market data solutions vendor MayStreet in May this year.

MayStreet was founded in 2012 by two market data practitioners, Michael Lehr & Patrick Flannery. After graduating from Rochester University with a degree in computer science in 2001 and receiving his Masters from the University of Pennsylvania in 2005, Lehr was working in computer vision, which involved real time processing using graphics cards. He joined up with Flannery, a Wall Street software engineer, to explore how they could build market data systems for performance-dependent market makers and proprietary trading firms by applying this type of high bandwidth, low latency processing. Seeing a strong opportunity, together they co-founded MayStreet, bootstrapping the company until they received their first series A funding round in 2020.

The company’s first product was a software-based market data feed handler, which now forms the basis of their flagship Bellport Enterprise ultra-low latency solution. Lehr & Flannery also made the decision early on to collect and store all the market data they were processing in raw PCAP (network packet capture) format. This soon became a product in its own right, the Market Data Lake. They then went on to develop the Analytics Workbench, a cloud-enabled orchestration environment for querying and accessing the 20+ petabytes of historical market data held in the Market Data Lake and linking it with real-time data.

Their technology is now used by some of the most prominent names in the industry, including the US Securities and Exchange Commission (SEC), who in 2019 selected MayStreet to power its Market Information Data Analytics System (MIDAS).

“Back in 2012, Patrick and I had a vision of what we wanted to build,” says Lehr, now Head of Technology, Low Latency at Refinitiv, An LSEG Business. “Ten years later, we haven’t pivoted too far from that vision. We wanted to make it so that large and small trading firms could compete with the smart guys on Wall Street, and to level the playing field for all participants.”

Synergies

LSEG could clearly see some strong synergies between MayStreet and Refinitiv. Together, their products cover the entire latency spectrum, as Rob Lane, Global Head of Business Execution, Low Latency at Refinitiv, An LSEG Business, explains.

“When we were looking for an acquisition partner, having cutting-edge technology around low latency was absolutely the number one priority for us, and MayStreet certainly ticked that box,” he says. “We also wanted to be able to offer our clients capture and storage of PCAP data. MayStreet have filled both of those gaps from a product perspective.”

“MayStreet has the fastest software-based feed handler on the market,” claims Lehr. “We also have our high-quality tick database, and an environment for being able to use that tick data through our Workbench. Refinitiv didn’t have that. But what they do have is an enterprise real time service, which we didn’t have.”

This is a powerful combination, says Lehr. “If a customer wants to be able to start with an easy real time service and then move towards something that’s lower latency, and then integrate it directly into a feed handler, they can decide at the time where they want to go along that latency spectrum. MayStreet fills in some of those gaps, Refinitiv fills in the others. Together, one plus one equals three.”

Accessibility & Flexibility

In a sector where volumes of data are rising exponentially, MayStreet’s product set aims to make market data more accessible, as well as easier to use, store and analyse for customers.

Bellport is an ultra-low latency in-process feed handler that offers a suite of easy-to-use and highly accessible tools for capture, normalization and book-building, explains Lehr. “One core thing with Bellport as a library is that we’ve always been very open with our API,” he says. “Our libraries are C++, our header files are header files, they don’t use opaque pointers where everything is only accessible via functions. It’s very explicit, you can see exactly what’s going on.” This provides more flexibility from an integration perspective, says Lehr. “All of the different components can be taken piecemeal, you can use our data with our orchestration or your own you can use our data with Amazon, you can pick apart lots of our different pieces. The open standards we use make sure that we’re able to fit in with what our customers need, instead of telling them how they should work.”

Market Data Lake is a cloud-based, 20+ petabyte repository of global market data, all of which has been captured directly at PCAP level, timestamped to the nanosecond. For ease of use and analysis, the data can be consumed via the cloud, either in raw PCAP or normalised format. “Historically, clients would have to access this data via an FTP site, which takes time, and then they’d have to buy hardware to store it, and that’s not cheap,” says Lehr. “With the cloud, the timelines and financials are significantly better. Delivery is instantaneous, because we can instantly give clients access and they can start using the data immediately,” says Lehr. “We also provide access to shared storage in AWS, and clients can run their compute there too. Having access to these end-to-end resources in the cloud makes it significantly faster and more cost-efficient for clients to achieve the results that they want.”

Analytics Workbench is MayStreet’s next generation analytics environment for working with both historical and real time market data. The product contains Springboards – pre-configured projects containing interactive examples of code, queries, and other tools – to provide a fast, user-friendly way to query and visualise data.

Pristine Data

What does the future hold as Refinitiv and MayStreet become more integrated?

“Having MayStreet’s cloud expertise and knowledge, and having the ability to run things like BigQuery on the cloud, is amazing,” says Lane. “With the huge amounts of data that we handle, the cloud offers so many opportunities in terms of how we can provide that to customers”.

“Now we can have RICs inside of Bellport, we can stitch everything together, looking at data and usage histories and helping people transition to low latency, not only with the tools that they’re familiar with, but also with the cloud,” says Lehr.

“The reason LSEG acquired MayStreet is that they’re on the right trajectory, they’re doing the right things,” concludes Lane. “If we can build on the combined workflow and accessibility of MayStreet and Refinitiv and make it available to banks, regulators or vendors who are working with archaic infrastructures, we’ll be making things easier and more flexible for them. We want to build on this idea of providing pristine clean data to whoever wants it, in the way that they want it.”

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