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A-Team Insight Blogs

Velocimetrics Improves Algo Testing with MdPlay

By Zoe Schiff

Velocimetrics continues to build out its data tracking and performance analysis technologies with the addition of mdPlay, a service that allows subscribers to accurately re-experience the market data sent or received during any selected trading period in their pre-production environment.

Firms using market data provided by mdPlay can improve the precision of testing practices, resolve trading issues more quickly and reduce the possibility of trading systems or algorithms responding in an unintended manner to changing market conditions. In turn, mdPlay can help firms minimise the potential of trading losses and support MiFID II’s algo testing requirements.

Steve Rodgers, head of engineering at Velocimetrics, explains: “With the mdPlay service, firms operating algos can run as many testing scenarios as they like as relevant market data is made available for replay in their test environment. They can build libraries of replays and these can be updated on an ongoing basis, allowing algos to be tested in many scenarios and reducing the possibility of an algo responding in an unexpected manner to a rare combination of events in the market. This supports MiFID II’s objective of limiting the potential of an algo to contribute to disorderly trading conditions and negatively impact the fair and orderly functioning of the market.”

Velocimetrics’ mdPlay avoids the problem of using artificial market data in the testing environment and instead allows subscribers to access actual market data streams that were received at any particular time and use the data in the pre-production environment. Live scenarios can be precisely replicated and engineers can quickly understand why certain components reacted in a particular way and identify a problem’s root cause without the need to trawl through log files. Once a problem has been resolved, testing teams can repeatedly replay the market data in the test environment to ensure systems will react more positively if the same market events reoccur.

Steve Colwill, CEO at Velocimetrics, says: “These days, automated trading decisions are made in small fractions of a second, but software-only capture replay solutions cannot replicate the true timing subtleties of fast moving markets. mdPlay can be up and running within hours, enabling replay of a precise replica of the market conditions experienced during any given trading period. Because the data is replayed with +/-20 nanosecond precision, testing teams can increase the accuracy and effectiveness of functional and load testing practices. This means that when algorithms and their supporting components are released into production, mdPlay users can have a higher degree of confidence in their behaviour, resulting in fewer production problems and more profitable trading.”

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