onetick rpast.rinfinance.com/agenda/2013/talk/mariabelianina.pdf · tick data with milli-, micro-,...
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ONE TICK®
Accelerating Quant Research and Trading
OneTick & RHandling High & Low Frequency Data
Historical & Real-Time
6 Minute6 Minute6 Minute6 Minute Crash CourseCrash CourseCrash CourseCrash Course
Maria Belianina, Ph.D.Director, Pre-Sales Engineering Support
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ONE TICK®
Accelerating Quant Research and Trading
What is OneTick?ONETICK time series database & analytics
Tick data management and super fast analytics for Finance.
Capture, store, retrieve and analyze real-time and historical tick data
for any asset class, any size & period of time, any granulairty
ONETICK CEP real-time analytics
Low latency Complex Event Processing seamlessly integrating the analysis of real-time streaming and historical market data
ONETICK reference data file - Smooth time series data with Corporate actions, symbol name changes and more
Archives:
History
History:
Data
Archives:
History
HistoryIn-memoryDatabase:
Today’s
TAQTAQTAQLoaders
Real-time market feedsCollectors
Reference
Data
CEPServer
TickServer
Analytics
Analytics
Markets
Markets
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ONE TICK®
Accelerating Quant Research and Trading
� Hedge Funds & Proprietary
Trading Firms
� Market Makers
� Large Asset Managers
� Banks & Brokers
� Marketplaces / Exchanges
� Technology & Information
Providers
� Universities
� Backtesting & Quantitative Research
� High frequency trading signal generation
� Pre- & Post- Trade TCA
� Venue Analysis
� Backbone for Charting / Time and Sales
� Compliance & Regulatory Reporting
� Risk & Portfolio Analytics
� Generic time series analysis
Our clients:
Who is using OneTick and why?
Business Cases:
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OneTick GUI: Query Language
Query Example:Bollinger Bands Buy/Sell Signals
RunsHistorical(for research
& backtesting)
or
Real-Time(alerts & signal
generation)
A “Nested query”
for Bollinger Bands
calculations
NOTE: One of the nodes can be a custom function coded in Ror C++, C#, Java, Python, Perl
NOTE: One of the nodes can be a custom function coded in Ror C++, C#, Java, Python, Perl
Tra
des
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High Frequency Time Series? Yes.
Some facts:
� Processing rate –more than 6 million ticks/second/core
� Ability to capture, store & analyze all ticks globally (currently over 7billion ticks/day)
� Linux, Windows, etc64 or 32 bit
� Multi-threaded processing
Some facts:
� Processing rate –more than 6 million ticks/second/core
� Ability to capture, store & analyze all ticks globally (currently over 7billion ticks/day)
� Linux, Windows, etc64 or 32 bit
� Multi-threaded processing
� Tick data with milli-, micro-, nano-second granularity� Trades, prices, orders, executions & any other time series� Aggregate, filter, adjust, join, compute in OneTick� Mix OneTick analytics with R code as needed (see below)� Historical & Real Time continuous queries
� Tick data with milli-, micro-, nano-second granularity� Trades, prices, orders, executions & any other time series� Aggregate, filter, adjust, join, compute in OneTick� Mix OneTick analytics with R code as needed (see below)� Historical & Real Time continuous queries
BB
O
…
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High Frequency Time Series? Yes.� Tick data with milli-, micro-, nano-second granularity� Trades, prices, orders, executions & any other time series� Aggregate, filter, adjust, join, compute in OneTick� Mix OneTick analytics with R code as needed (see below)� Historical & Real Time continuous queries
� Tick data with milli-, micro-, nano-second granularity� Trades, prices, orders, executions & any other time series� Aggregate, filter, adjust, join, compute in OneTick� Mix OneTick analytics with R code as needed (see below)� Historical & Real Time continuous queries
Generic OneTick bucket
aggregation parameters
R in-process call parameters
OneTick R Event Processor Parameters
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Low Frequency Time Series? Fine.
� Load & store time series for unlimited range of dates� Enrich daily prices with corporate actions and more� Aggregate, filter, adjust and return results back to R
� Load & store time series for unlimited range of dates� Enrich daily prices with corporate actions and more� Aggregate, filter, adjust and return results back to R
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ONE TICK®
Accelerating Quant Research and Trading
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THANK YOU
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