A-Team Insight Blogs

Share article

Tick data management specialist OneMarketData has released a European Composite Trade & Quote (ECTQ) Database, which aggregates data from 33 exchanges, multilateral trading facilities (MTFs) and dark pools. The offering is aimed at providing financial institutions with the data they need to perform transaction cost analysis (TCA) in support of the best execution and other regulatory obligations.
The new database covers some 18,000 entities whose securities trade on more than one venue. The service – delivered via OMD’s OneTick and OneTickCloud platforms – provide access to historical data from May 1, 2018, and current day’s composite data prior to the following days’ market open (T+1). Data can be accessed either on a per-ISIN basis or subscription to the all-ISIN universe.
According to Jeff Banker, senior vice president at OMD, the launch aims to ease the data collection infrastructure burden for financial institutions posed by the “significantly increased market volumes and message rates” resulting from recent market volatility. “ECTQ consolidates these sources and enables clients to access just the data they need, without the significant overhead associated with maintaining their own tick data infrastructure, reference data and high performance time series database,” he says.
According to OMD, the ECTQ service provides a range of functions, including:
  • Symbol mapping – ISINs are mapped to historical and current symbols that trade across multiple venues, and data can be provided in either the trading or base currency.
  • Adjustment factors – Composite trades can be delivered adjusted or unadjusted, for current and historical data.
  • Data aggregation – ECTQ includes a daily storage universe of venues in excess of 40GB, which is required to identify and compute composite data, and over 20TB to store the data for a 24- month period.
  • Timestamps – All trades are ordered by exchange matching engine timestamp using OneTick’s cloud server aggregation technology, and published timestamps are also supported from trades and quotes to address inconsistent timestamp granularity.
  • Trade conditions – Can be attributed to each trade and filtered to include only relevant trades, such as auction trades and off-book trades.

Leave a comment

Your email address will not be published. Required fields are marked *

*

Related content

WEBINAR

Recorded Webinar: The Transformation of Buy-Side Market Surveillance

Asset managers, hedge funds, insurance firms, and other buy-side firms globally are becoming more active in their approach to market surveillance, as regulatory pressure to up their game mounts. Buy-side firms are now building out their surveillance infrastructure as they seek to respond to the requirements posed by Dodd-Frank, MiFID II and the Market Abuse...

BLOG

McKay Brothers Forges Fastest Link to Korea Markets

Microwave-based low-latency market data specialist McKay Brothers International has raised the bar for connectivity to the Korean Stock Exchange with the launch of what it claims is the fastest links between Busan and Tokyo and Illinois. The rollout of the company’s hybrid microwave / fibre private bandwidth services will be a boost to firms in...

EVENT

Data Management Summit Europe Virtual

We’re thrilled to introduce you to our new Data Management Summit Europe Virtual event. Yes that’s right, all the fantastic content shared by A-Team’s unique community of practitioner experts that you’ve come to know and love from our Data Management Summit live events in London is now going to be made available to you online, so you can watch or listen at your leisure – whether that’s in your office, on your commute, or from the comfort of your own home.

GUIDE

Solvency II Data Management Handbook

Want to get a handle on Solvency II and what it means for data management? Need to make sure you have all the bases covered for the looming January 2016 deadline? Our Solvency II Data Management Handbook is now available for free download to help you. This Handbook is the ultimate guide to all things...