The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

Velocimetrics Improves Algo Testing with MdPlay

Subscribe to our newsletter

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.”

Subscribe to our newsletter

Related content

WEBINAR

Recorded Webinar: Regulatory change management – challenges, solutions and case studies

Regulatory change has become part of the fabric of capital markets. It has also become increasingly complex as more regulations are introduced, significant amendments are made frequently, and small changes are made on a rolling basis – the whole made more difficult by jurisdictional interpretation and the UK’s amended regulatory regime post Brexit. If keeping...

BLOG

Regulatory Change Management – What Does the Future Hold?

The ability of financial institutions to respond successfully to regulatory change is essential to ensure the integrity of the financial services industry. Yet operating the requisite change management programmes can often prove costly and onerous. On a recent A-Team Group webinar, a group of industry experts shared their unique thoughts on how to approach an...

EVENT

Data Management Summit London

Now in its 12th year, the Data Management Summit (DMS) in London brings together the European capital markets enterprise data management community, to explore the evolution of data strategy and how to leverage data to drive compliance and business insight.

GUIDE

Regulatory Data Handbook 2021/2022 – Ninth Edition

Welcome to the ninth edition of A-Team Group’s Regulatory Data Handbook, a publication dedicated to helping you gain a full understanding of regulations related to your organisation from the details of requirements to best practice implementation. This edition of the handbook includes a focus on regulations being rolled out to bring order and standardisation to...