Thomson Reuters has teamed up with Kx to enhance its Velocity Analytics platform and deliver ultra-high-speed processing of real time, streaming and historical data to meet the requirements of Markets in Financial Instruments Directive II (MiFID II).
The platform has been refreshed and released as Version 8, with Kx high-performance computing technology replacing high-speed processing technology provided by Vhayu, a California based company bought by Thomson Reuters back in 2009. It supports use cases such as best execution, transaction cost analysis, and quantitative and systematic trading. It will also support multi-asset best execution and systematic internaliser determination in 2018. Brennan Carley, head of enterprise propositions at Thomson Reuters, explains: “MiFID II is a data problem. The challenge is how to source data, aggregate it and then use analytics to be compliant. Firms don’t necessarily have the content and tools required for compliance, although they need to demonstrate best execution and determine systematic internalisers in particular securities. We identified the need for a platform that could manage market data, firms own trading data and analytics, and decided to refresh Velocity Analytics, add new use cases and deliver a MiFID II solution.”
The combination of Kx technology with Velocity Analytics allows huge volumes of data from multiple sources to be processed in real time. By integrating the platform with Datascope Select and its pricing services, Thomson Reuters has expanded the historical and reference data available for processing on the platform. It has also developed adapters to integrate the platform with its enterprise platform so that firms can take advantage of existing infrastructure investments to access streaming analytics.
Carley says Velocity Analytics Version 8 will be delivered in phases, with the platform and adaptors to plug into data sources initially being offered to large firms that want to build their own models for MiFID II compliance. Later in the year, the company plans to begin releasing off-the-shelf models for smaller banks and banks with small IT teams. A best execution model is likely to be the first release, with a systemic internaliser determinator model due for release in December 2018.
The company is working with banks on more use cases for Velocity Analytics and will work with existing users of the platform, whose use cases are not primarily MiFID II and are more likely to be vwap calculations and building trading models, to migrate to Version 8 over time.
Carley expects the platform to find favour among existing and new clients. He concludes: “By taking our technology and content, and combining it with Kx technology, we have made it as easy and cost-effective as possible to implement MiFID II solutions.”