Advantages Of Recording Your Own Market Data

Recently, Deltix was spotlighted in two industry publications – CTA Intelligence and e-FOREX. Below are synopses of the two articles and links to view the original articles (no subscription or login needed).

DIY Execution Analysis

The CTA Intelligence Special Report: Managed Futures 2016 included an article by Stuart Farr titled “DIY Execution Analysis.” In the article, Stuart talks about the high cost and potentially undesirable characteristics of purchasing historical market data versus recording your own market data. Unless you’re running a start-up firm, it’s better to record real time market data for use in back-testing and execution analysis (or TCA).

The article discusses multiple advantages of recording your own market data. For example:

  • You can capture all of the latencies and idiosyncrasies inherent in your own infrastructure and market data feeds. This is most important for strategies or analysis (like execution quality) that require tick and market depth data.
  • If you’re doing forensic execution analysis, it is doubly necessary as the time-stamping of orders, executions and market data needs to be fully sequenced. Such forensic execution analysis may not be required on a continuous basis, but is essential when there is an unexpected or unexplained change in execution quality.
  • For orders executed algorithmically, ongoing analysis is useful to track performance of the algos. Analysis can provide comfort or alert to unacceptable changes in execution quality measured in both ticks and dollar value. Time-series analysis of executions can be used to look for patterns of over/under performance and improve execution algo selection and parameterization.
  • A practical key to success is to demonstrably and frequently improve trading performance by fine-tuning execution. There is nothing like showing real dollar improvement to keep researchers, technologists and traders motivated and focused.

Stuart goes into detail about each of these points. You can access the article here (no registration or login required).

Strategy Back Testing Platforms

e-FOREX published an article, “Sharpening the tools of the trade: New Developments with FX Strategy Back Testing Platforms”, that features comments from Ilya Gorelik on the topic of back testing foreign exchange (FX) trading strategies. This article talks about the challenges in signal generation and back testing in FX and how new technologies (e.g. cloud) can assist.

The subject of the e-FOREX article is back-testing only. As Deltix clients already appreciate, it is extremely important to be able to deploy a backtested trading strategy “as is” with no re-coding. This helps to protect the fidelity of actual results versus back-tested results. It also reduces time-to-market and the overall cost of the strategy development and deployment process. Deltix is the only institutional grade platform that provides this full, research-to-live-deployment capability.

You can read this article here (no registration or login required).

The Deltix Product Suite provides end-to-end support of all phases of the alpha discovery process, including data collection and aggregation, model development, back-testing, simulation and deployment to production. Learn more here.

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The Deltix Quantitative Research Team