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

Recorded Webinar: Data platform modernisation: Best practice approaches for unifying data, real time data and automated processing

Financial institutions are evolving their data platform modernisation programmes, moving beyond data-for-cloud capabilities and increasingly towards artificial intelligence-readiness. This has shifted the data management focus in the direction of data unification, real-time delivery and automated governance. The drivers of this transition are improved operational efficiency as manual processes are replaced by faster, more accurate automated...

BLOG

Barclays Deepens Market Data Strategy with Multiyear FactSet Agreement

Barclays has agreed a multiyear strategic collaboration with FactSet that marks a shift in how the bank is approaching market data and analytics infrastructure as part of a broader enterprise-level data strategy. The arrangement will see Barclays integrate a broad suite of FactSet products, data and technology solutions into its workflows to support data-driven decision-making...

EVENT

RepRisk Sustainability Breakfast Roundtable London

The London sustainability breakfast is part of the global roundtable thought leadership event series hosted by RepRisk in key markets, including, New York, Toronto, London, Frankfurt, Oslo, Copenhagen, Stockholm, Hong Kong and Singapore in 2026.

GUIDE

Tackling the Data Management Challenges of FATCA

As the July 1, 2014 deadline for compliance with the Foreign Account Tax Compliance Act – or FATCA – approaches, financial institutions around the world are working to ensure their data management and operational systems will meet the requirements of the US legislation. This report discusses the requirements of FATCA and how the legislation is...