Prague-based securities trader RSJ evaluated a number of open source databases and SAP’s Sybase IQ solution before selecting Kx Systems’ kdb+ database platform to support its algorithmic trading. Kdb+ replaces in-house developed proprietary solutions at RSJ, which is the largest trader of financial derivatives in the Czech Republic, the biggest trader on NYSE Liffe and a trader on other derivatives exchanges including the CME in Chicago and Eurex in Frankfurt.
RSJ selected kdb+ as it best matched requirements for speed and ability to process complex requests and large datasets. The company worked with DEVnet, a strategic sales and consultancy partner to Kx Systems that is based in Munich and operates in local languages across Europe and Asia, to implement the first phase of a kdb+ based project.
Martin Duchá?ek, head of algorithmic system development at RSJ, explains: “DEVnet helped us a lot at the beginning of the first phase of the project. We had a three-day workshop here in Prague where we went through all the concepts and prepared a first version of the kdb+ database. We are now planning another workshop in which we would like to consult on the performance of the current solution and consider the next steps with kdb+.”
The database platform has been in production since early 2013 and is delivering substantial improvements in speed of data access and transformation.
Duchá?ek says: “As well as significant reductions in processing times – previously a query on a day’s data would take a couple of hours, which is far too slow – with kdb+ we can write a query in a couple of minutes and see the results in seconds. This allows us to react to market situations almost immediately. kdb+ also provides us with quick support for brainstorming and allows us to do things we were previously unable to do.”
RSJ has integrated kdb+ with its own proprietary .NET algorithmic trading application and uses its own transformed data to drive trading. The company declines to specify the frequency of intra-day simulations and how long they take, but in the context of speed and performance notes that, depending on overall trading activity in markets, it handles an average 255 million trade records a day.
Looking forward to further phases of the project, Duchá?ek says: “We are still in the process of exploring the capabilities of kdb+ and expect to be able to do much more with it as the project progresses and anticipate even better performance as we optimise more processes.”
For Kx Systems, RSJ is its first customer in the Czech Republic. Simon Garland, chief strategist at Kx Systems, says: “RSJ is the ideal client for making good use of Kx’s combination of powerful language and high-performance database. It collects huge quantities of tick data and needs to access and query it very quickly in order to create and test models, test strategies, identify unusual market situations and react to them.”
Considering the company’s target markets, he notes ongoing work with large customers as they build out to support additional asset classes and new wins with customers such as RSJ that are using kdb+ to develop low-latency infrastructures to support their proprietary trading expertise.