A Product Suite for Full Life Cycle Coverage

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.

The diagram below illustrates the Alpha Generation Lifecycle from a process-flow perspective.

The full lifecycle is often implemented with a combination of different vendor software products. Whilst this can work, this approach has a number of drawbacks versus the benefits of a single-vendor platform:

Multiple Instrument Types

Equities, options, futures, currencies, baskets and custom synthetic instruments are supported.

Rapid Alpha Generation Research

Easy and intuitive model development framework (either C# programming and/or visual “drag and drop”) combined with the integrated time-series database and visual rendering of results makes for rapid model development.

Unparalleled Performance

Exceptional performance capabilities enable rapid analysis of thousands of instruments for daily, intraday and tick data.

Open and Flexible Architecture

An open architecture environment allows seamless and robust integration with multiple data feeds (e.g. Bloomberg, Thomson/Reuters etc.) and best-in-class software solutions including those for tick processing order execution management and statistical analysis (e.g. Matlab).

Standard Infrastructure

No specialized hardware is required. Deltix software runs on standard Windows machines, or Linux/UNIX for some modules. The software is written in C# and Java.

Modules for Specific Situations

The Deltix Product Suite comprises modules (all developed in-house by Deltix) which have optimal interaction with each other, but which also can be deployed as modules for specific situations.

Download the Deltix Product Suite Data Sheet

For a demo, please contact us at sales@deltixlab.com or call 1-800-856-6120

Time Series Data Warehouse

TimeBase is a high performance event-oriented enterprise-level data warehouse for aggregating, normalizing, storing and validating financial data from multiple data sources and delivering that data for subsequent use by both QuantOffice and third-party software. High volumes of data are handled with superior performance. Processing speeds are measured in millions of messages per second on terabytes of data. TimeBase can be populated with historical data and receive real-time data feeds. TimeBase has a sophisticated time-series join engine, capable of efficient on-the-fly merging of multiple data streams with arbitrary temporal characteristics into a unified query response. This capability is central to the TimeBase architecture and is available regardless of the nature of the data source.

Data Feeds

TimeBase supports digitized news, fundamental data, Level I and Level II data. Please contact us for the current list of available data adapters, for both data providers and exchanges.

Multiple data feeds can populate TimeBase simultaneously, even for the same instrument.

Instruments

Equities, options, futures, currencies, baskets and custom synthetic instruments are supported. Synthetic instruments range from baskets, to the output of strategies themselves.

Data Periodicities and Regularity

Any periodicity of data can be handled: down to 1 millisecond intervals such as tick and Level II data. Data can be both regular and irregular. For example, irregular tick data can be maintained and converted into bar data (regular).  

Bar Creation

When recording tick or intra-day data, TimeBase  can create and maintain time-based bars automatically. In QuantOffice, users can create bars using more complex techniques, which are then stored in TimeBase. For example, users can define logic for “by equal volume” or “by equal trade number” bar generation. Such bars are stored in TimeBase in real-time and are accessible to QuantOffice in real-time.

Data Population

TimeBase supports historical population, backfilling and real-time data feeds. Deployed with QuantOffice, TimeBase  can be used for both back-testing and managing strategies in production.

User Interaction

TimeBase has a Graphical User Interface (GUI), called TimeBase Administrator, which provides system and data configuration and graphing capabilities which are capable of displaying years’ worth of tick data across thousands of instruments in seconds. With the GUI, the user can zoom into the graphs to inspect data at the most granular level. All graphs and the raw data can be downloaded.

TimeBase Administrator - Data View

TimeBase Administrator – Graph View (Depth of Market)

Deltix Product Suite

Together with the QuantOffice products, TimeBase is a core component of the Deltix Product Suite that addresses all stages of the Alpha Generation Process. As such, TimeBase  is either deployed as part of a QuantServer and QuantOffice deployment, or stand-alone, integrated with a client’s in-house or third-party applications.

Architecture and Design

TimeBase provides diverse ways of specifying data types, as well as hints for encoding values for transmission and persistence. One benefit of such diversity is a more native representation of user's data model. For example, TimeBase natively supports enumerations. As an example, consider a data item whose value is 'SPOT', 'FORWARD', 'SWAP' or 'N/A' , in TimeBase, one can define an enumeration, and everyone will always know what the allowed values are. Additionally, this data item can map to native Java or C# enumerations for programming clarity.

The use of rich data types enhances system performance. This is achieved by TimeBase knowing the detailed data type of every value, and the user's ability to define at a very fine-grained level how the data should be encoded. TimeBase can then allocate less resource (memory, network bandwidth, disk space) and process data quicker. In the above example of an enumeration, each enumerated data item only requires 2 bits to store its value (there are only 4 possible values), even if it appears to the user as a text constant.

TimeBase supports special compression for small alphanumeric codes which allows the data item to appear as text, while it is internally stored in extremely compressed form. Examples of alphanumeric codes include exchange codes, currency codes, liquidity provider codes, or any other codes the user desires to define.

TimeBase supports so-called relative encoding. In a price bar, it makes sense to store close as a number, and open, high, low as a delta from close. This saves space and increases speed. In TimeBase the relative encoding is a generic part of the type system and can be used with any user-defined data structure, not only price bars.

TimeBase has a built-in message broker. All interactions with the database, either via Deltix products, user or third-party applications, are handled by this message broker.

TimeBase Logical Design

Hardware

It is a common misconception that high performance requires either accelerated or very high end (that is, expensive) hardware. It does not. But, high performance does require superior software engineering: a skill often forgotten in a world of ever more powerful computers. TimeBase is written in Java, and so runs on Windows and Linux platforms.

API

TimeBase has a rich API, against which C#, C++ and Java code can be written. Examples are shown below:

Interfacing with the TimeBase API: C# and Java code examples

Download the TimeBase Product Data Sheet

For a demo, please contact us at sales@deltixlab.com or call 1-800-856-6120]]>http://www.deltixlab.com/solutions/quantoffice.htmlDeltix Administrator2010-04-29T20:00:00Z2010-04-29T20:00:00Z 

Alpha Discovery and Optimized Execution

Visual Strategy Designer

 QuantOffice: Studio provides a full C# development environment including two-way integration with Microsoft Visual Studio, Matlab and R. QuantOffice: Studio also provides a rich set of libraries of industry standard technical indicators, statistical and econometric models with which to develop strategies. In addition to creating strategies and models in C#, users can also use the visual process logic builder. Using “drag and drop”, users create a process logic flow diagram; pressing a button then generates the underlying C# code. Conversely, users can generate process logic diagram from the code; that is, they can toggle between the code and graphical representation of the strategy or model.

Visual Alpha: Wizard-based Model Development

Visual Alpha is special version of QuantOffice which obviates the need for any C# development: be that coding or the process logic builder. Users simply use a wizard and select one or more pre-defined indicators, statistical and econometric models from the wizard’s library and populate the required parameters. Further, the definition of these strategies can be expressed using a simple lexicon, maintained and manipulated in Excel, and re-run/run in Visual Alpha.

Complex Event Processing (CEP)

QuantOffice is deployed with TimeBase as its data source. As such, QuantOffice utilizes TimeBase’s integrated message bus for CEP. Strategy developers can use provided events (e.g. OnBarClose , OnBarOpen , OnTick ) or develop more sophisticated events, e.g. events created as interim output of the strategy itself, or a “meta strategy”, that is a model which orchestrates other “sub strategies”.

Rapid Visual Analysis

The output of strategies (indicators, trading signals, orders, executions and P&L) is rapidly displayed graphically, at the instrument and portfolio levels. Microscopic inspection of this output can be performed to see the movement of ticks within bars and the generation of signals, orders and executions at tick periodicities. This allows for rapid evaluation, refinement and re-running of models in an iterative process. The performance of the charting is extraordinary: it takes mere seconds to back-test all instruments in the S&P500 across years’ of tick data.

All data can also be shown in tabular form. For example, right mouse-clicking on a single point on a graph, will show all the underlying market data before, on and after that point. All data can dumped out into Excel, csv and PDF formats.

Performance

The run-time operation of the models (in back-testing and simulation modes) is immensely fast, as a result of message processing measured in millions of records per second.  The output of models operating over hundreds of instruments across years’ worth of tick data literally takes seconds. In addition to superior engineering, QuantOffice performance is enhanced by the ability to pre-load events from TimeBase into memory cache.  

Supported Instruments

Equities, options, futures, currencies, pairs, baskets and custom synthetic instruments are supported. Synthetic instruments range from baskets, to the output of strategies themselves.

Supported Data and Periodicities

Daily, intra-day and tick periodicity data, Level I and Level II (market depth/order book), news and fundamental data are supported.  Users can combine different periodicities to construct a strategy. For example, the user may use quarterly fundamental data combined with daily bar data for daily portfolio rebalancing and minute-bar, news or tick data for refinement of execution strategies.   

Bar Creation

In addition to accessing time-based bars created by TimeBase, QuantOffice can be used to create bars using more complex techniques, which are then stored in TimeBase. For example, users can define logic for “by equal volume” or “by equal trade number” bar generation. Such bars are stored in TimeBase in real-time and are accessible to QuantOffice in real-time.

Optimization

QuantOffice supports optimization of model parameters by brute-force, genetic and dynamic (walk-forward) methods. One of the exciting features of dynamic optimization is the ability to define a “meta strategy”, that is, a strategy which controls, in respect of when they run, other “sub” strategies created in QuantOffice. 

Trading Calendars, Trading Sessions and Exchanges

QuantOffice maintains trading calendars and holidays for all exchanges. Within these constraints, users can define custom trading sessions such as different trading intervals, “no trading” days and continuous 24-hour trading. For synthetic instruments, QuantOffice automatically defines trading session intervals as the intersection of trading sessions for the source exchanges of the synthetic instrument.

Strategies and Accounts

Strategies can be defined as “sub” strategies of “meta” strategies. Likewise, trading accounts can be grouped into master accounts.

Reporting Engine

QuantOffice comes with a set of standard reports including trade (order and execution) reports, performance (P&L, drawdown, Sharpe, Sortino etc). There are various definable report criteria such as time interval, strategy, strategy groups as well as the ability to create user-defined reports.

Production Deployment

Once created and optimized, models which are ready for production deployment are deployed as is in QuantServer: UHF Trader. As such, there is no “model deployment risk” which can occur when a model is re-engineered in the production trading environment.

In addition, having deployed the model in production, users can see the actual performance of the model against real-time market data in QuantOffice – the same environment where the model was created and optimized.

“Warm Up Mode”: Seamless Transition from Simulation to Production

A classic issue when moving to production deployment is that the strategy needs to “know” all its time series indicators based on previous historical data. QuantOffice can run in “warm up mode”, in which state it constantly checks the “strategy time” against market data timestamps. Thus, QuantOffice runs the strategy on historical data until real-time data is reached at which time trading signals seamlessly generate orders for real-time trading.

Order Execution Management

Particularly in high frequency trading strategies with low margins per trade, the performance of any alpha generation is highly dependent on the success of the translation of trading signals into executed transactions with minimal slippage. In order to enable close coupling between alpha generation and order execution, QuantOffice has order execution capability where users can define their own, or embed, execution algorithms.

Trading Simulator

A key challenge in the successful creation of alpha generation strategies is minimizing the difference in the returns observed during back-testing and those returns actually achieved during live trading. In addition to avoiding “overfitting” the strategy to the training data set, a key component in achieving consistency of returns between back-testing and production is an effective trading simulator. The QuantOffice trading simulator enables precise control of trading assumptions, e.g. specifying the number of ticks which elapse between order creation and execution, percentage order completion.

Architecture and Design

QuantOffice is written in C# and runs on Windows. A rich and documented API allows for direct interaction with the QuantOffice environment. Users can also create their models, or use existing models, written in C++ and use the QuantOffice API to integrate them into the QuantOffice environment, with consequential full access to TimeBase and QuantServer.

Download the QuantOffice Product Data Sheet

For a demo, please contact us at sales@deltixlab.com or call 1-800-856-6120

Execution Management

QuantServer comprises UHF Trader and Trading Console: the two modules required for production deployment of trading strategies created in QuantOffice. Once created, a strategy is “published” in UHF Trader. UHF Trader converts trading signals into FIX orders and executes them according to the execution strategy defined in QuantOffice, potentially via multiple brokers. The progress of the trading (that it is: status of orders, execution, P&L and performance) are monitored in Trading Console.

UHF Trader is designed for very high performance, processing hundreds of thousands of messages per second, arising from hundreds of instruments and hundreds of strategies.

Strategy Deployment: Live vs. Simulated Trading vs. Back-Testing Transparency

The exact same program which is the trading strategy can be taken from QuantOffice and deployed in production for live trading. The switch between the trading simulators, paper trading and live trading is transparent to the trading strategy. With a single click of a button, a user-defined strategy is uploaded to the server, instantiated and hooked up to the data feeds and trading services. There are graphical tools for deploying algorithms to remote data centers. 

Market Data Transparency

UHF Trader is provided with real-time (and historic) data from TimeBase. As such, switching market data vendors is transparent for trading strategies. The strategy determines which data is required; this data is provided from TimeBase.

API

Trading models have access to QuantServer’s API for order creation and management. The API is vendor-independent and provides complete access to the capabilities supported by the FIX protocol, as well as the ability to utilize individual vendor extensions, if so desired.

Time Management

The strategy can set a timer to run, for example, 30 minutes before the market opens, or every 30 seconds. UHF Trader will wake up the strategy to perform required work.

Infrastructure

UHF Trader is written in Java, and so runs on Windows and Linux platforms. A standard Windows server or workstation can process all of North American Level I equity and option data in real-time.

A high-volume production UHF Trader deployment involves the installation of one or multiple UHF Trader servers and message brokers in a specialized hosting center, which has high-bandwidth connections to the electronic markets. A typical setup is shown below.

Trading Console

QuantOffice: Trading Console is a set of real-time monitors of order and execution status, P&L and performance, risk and portfolio analytics. The trade blotter monitor, allows for “grey box trading”, that is, users may interact with the model by cancelling some or all of the orders created by the model.

Download the QuantServer Product Data Sheet

For a demo, please contact us at sales@deltixlab.com or call 1-800-856-6120

• Training in the most efficient use of our products
• Data population (e.g. back-population of market or fundamental data)
• Strategy development
• Algorithm development
• Custom software development

Many of the professional staff have advanced degrees in mathematics or computer science.