Exclusive Online Only ContentBlueCrest Taps StreamBase, Vertica for Market Data Infrastructure
December 9, 2008
London-based hedge fund BlueCrest Capital Management said Monday that it has deployed technology from StreamBase Systems and Vertica Systems in a real-time market data infrastructure.
“Great data management is as important to us as quantitative trading models,” said Justo Ruiz-Ferrer, head of trading strategy systems and quantitative development at BlueCrest, in a statement. “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.” BlueCrest said it wanted to be able to quickly reconfigure data feed connections and plug the information into real-time models.
The fund, which has more than $15 billion in assets under management, is the first to publicly state that it is leveraging a partnership, announced last year, between Lexington, Mass.-based StreamBase and Vertica of Andover, Mass. Michael Stonebraker, co-founder and CTO of StreamBase, a five-year-old complex event processing (CEP) technology provider, in 2005 co-founded Vertica, which offers a relational database for business intelligence. The companies also share two of the same investors--Highland Capital Partners and Bessemer Venture Partners.
BlueCrest’s new market data infrastructure aggregates feeds across fixed income, equities, foreign exchange and related derivatives, exotic commodities and energy instruments, among other asset classes. According to the companies, the Vertica Analytic Database stores each tick, while the StreamBase CEP platform calculates real-time analytics against the historical data. Trading strategies can be modified in real time in response to market conditions, and the performance of algorithms can be maintained for benchmarking purposes.
The integrated technology “gives firms the flexibility, time-to-market and performance needed in these volatile times,” said Vertica CEO Ralph Breslauer, adding that the partnership lets firms develop adaptable market data management systems “capable of storing and analyzing terabytes of market data from multiple venues and data sources.” According to Breslauer, the combined offering is faster and cheaper than comparable solutions.
Vertica, which counts JP Morgan Chase & Co. and Pink OTC Markets as clients, says its grid-enabled, column-oriented data management technology can be used to execute queries much more quickly than traditional, row-oriented relational databases.
Vertica is linking to StreamBase’s event processing platform through the StreamBase Chronicle component, which is comprised of a bulk loader, a high-performance operator for retrieval of stored data and a feed simulator for back-testing algorithms against historical time-series data.
Financial firms, confronted with rising market data volumes, have increasingly turned to CEP engines for their analysis and risk mitigation needs. The alliance between StreamBase and Vertica represents a growing movement among providers of streaming technology to incorporate historical data, allowing hedge funds and investment banks to apply better analytics over shorter timeframes. “The goal is to allow for improved real-time decisionmaking and back-testing of strategies to find more opportunities for alpha,” said StreamBase CEO Mark Palmer.
Event processing is “not just for algorithmic trading anymore,” added Palmer in a statement. “BlueCrest’s system illustrates an innovative market data management approach that provides competitive trading advantage and cost optimization at the same time.”
In May, StreamBase announced plans to offer a joint market data storage and analysis solution with Los Gatos, Calif.-based Vhayu Technologies, a data management technology provider. RBC Capital Markets said last month that it has implemented the offering, which ties together StreamBase’s CEP platform with the Vhayu Velocity product.
