Calculates real-time analytics against historic data to get low latency.
US-based StreamBase and Vertica have announced that UK-based BlueCrest Capital Management has deployed their technologies in a real-time market data management application infrastructure.
BlueCrest’s market data management infrastructure aggregates fixed income, equities, FX and related derivatives, exotic commodities, energy, and alternative asset classes. It stores each tick in the Vertica analytic database and using StreamBase calculates real-time analytics against the historic data in Vertica, ranging from simple data like last trade price to complex event-based analytics like volatility surfaces and correlation signals with time windows. The resulting system is expected to provide a firm-wide infrastructure to access, conflate, enrich and distribute market data with minimal latency and assured compliance, in real time.
Justo Ruiz-Ferrer, head of trading strategy systems and quantitative development at BlueCrest, said: The combination of StreamBase and Vertica enables us to get a low-latency, aggregated view of ‘everything that ticks’ in the increasingly complicated, fragmented, high-speed financial markets. Their joint solution helped us get to market quickly and, more importantly, change our system quickly in response to new opportunities.
Mark Palmer, CEO of StreamBase, said: BlueCrest’s innovation is further evidence that complex event processing and analytic databases are becoming a critical piece of the broader electronic trading landscape. It’s not just for algorithmic trading anymore. In the turbulent financial markets of today, firms are looking for smarter ways to optimize their market data.