Market data introduction
• Detailed update on market data services and current industry activity
– What does the industry want and is it getting it?
– How is the market data industry adapting to new challenges?
- How does data flow work?
- How are data sources integrated and how do they differ?
– Data types for various instruments
> Describing and defining data
> Delivery options and sources
– Exchanges, third party feeds, data vendors, front end trading systems
> Speed, complexity and availability
• Effects of a fragmented market place
– Is too much variety a good thing?
> Dark books, crossing networks, ECNs, ATSs
– New opportunities for data use and provision
Market Data Microstructure: Direct Market Access Liquidity Pools and Crossing Networks
• Description of current Direct Market Access (DMA) systems
- liquidity pools and
-crossing networks
• Market data and Network infrastructure
– Data management and database usage
– Middle ware
• Protocols
– FIX
• APIs and Mission Critical Applications
> Data flow via an API
> Low latency platforms
Market Data Uses
• How do practitioners utilize market price, trade and order data?
Transaction processes
– Different types of execution Algorithm
– Order management systems (OMS)
– Execution management systems (EMS)
Data Aggregation and Consolidation
• How are OMS and EMS now integrated?
• Aggregation of sources of market data
– Price Montage
– Reliance on Speed
– Low cost and low latency requirements
• The consolidated order book
– Central limit order book and market depth
– Feeds integration
– Data distribution
– Data display
• Broker feeds
– Breadth of services provided
> One stop shopping
> Challenges for brokers
– Future developments
> Pre trade analytics
> Assistive tools
• What is data delivery governed by?
– Trading practices and demands of the users
> High and low touch
– How have trading practices changed and what has been
the effect?
• How is transaction performance measured?
– Transaction Costs Analysis (TCA)
– Pre trade analytics
– Post trade analytics
– Are there industry standards for utilizing data and content?
– Who owns data?
– Data ownership at third party level
> Distributing data
> Modifying data
– What determines the cost of data?
> Third party costs
> Data dissemination costs
• Realtime and delayed data
– What use is delayed data?
> How is client permissioning handled?
> What data requirements differ for each user
> Server proximity to data source
> Impact on decision making/algorithms
– Delayed data versus streaming for mark to market
• Market Interconnectivity – US Securities and Options market study
– US equity market, ECNs
– US options market model
> Distributed marketplaces, same products
Data Management Challenges
• Data Sources: how have they adapted to the demands of the market?
– Exchanges and OTC market places
– Third parties
– Front end and data Vendors
• What value do we put on realtime/delayed data?
– Establishing data value and price
Regulatory Issues
• Description of the challenges as a result of RegNMS and MiFID
– Describe goals/ challenges of RegNMS and MiFID
– FSA and SEC ongoing challenges
> Best execution
> Innovation
Industry Requirements for Market Data
• The data requirements for financial markets institutions
– How does it all fit together?
> Exchanges
> Liquidity aggregation platforms
> Broker routing networks
> Crossing networks, ATSs
> Dark pools
> Markit BOAT, Turquoise, OMX and Plus Markets, Chi-x
– How is the industry developing?
– Increased reach and depth
• Managing data
• Visualization of data
– What, why and how important is it?
> Edward Tufte
> Data visualization techniques
• Developments in Market Data Services
– Delivery options
> Exchanges, third party feeds, vendors, front end system providers,
> Feed handlers
– Data access control systems
– Caching
• Broker feeds and liquidity pools
– Aggregated feed handlers
> Interactive dataplus feed
Market Data Vendors
• Market Data Vendor services, their range and how companies are using them
- Thompson Reuters Market data Services
– Fidessa
– Sungard Market Data Services
– Bloomberg
– Interactive Data Corporation
Practical Uses of Data in Front-Line Trading
• Data uses
-Research
-Portfolio Analytics
-Charts
-News
-Quotes
• Trading opportunities
– Options market making
> Options, theoreticals and pricing
– Algorithmic trade types
– Prop Equity Strategy selection
> Trend confirmation
> Support resistance levels
> Long/short
> Best execution
• News Information
– News information/CNBC
– Reuters/Bloomberg
> Share price performance
– News and trading activity performance
> Share ownership data
> Broker forecasts
Smart Order Routing and Complex Event Processing
• Realtime strategy augmentation
– Pre trading algorithms and approaches
– Post trade measures
– Realtime market analysis
> Strategy augmentation
> Cross-market and intra-market
• New assistive trading tools
– Blockers, assemblers,
– Capturing performance data and augmenting decisions
> Trader psychometrics and interpreting market conditions
• Complex event processing and realtime decision making
– Quantifying decision-making
> Decision support cues
> Event and batch processing
> Scripting languages to support complex event processing
– Complex event processing scenarios
> Apama, Aleri, KdB KX, OneTick and Vhayu