RSJ, among the biggest traders on NYSE Liffe and other derivatives exchanges, has chosen Kx Systems’ Kdb+ high performance database and time series analysis products to support its algorithmic trading.
As the largest trader of financial derivatives in the Czech Republic, RSJ, a fully licensed securities trader based in Prague, needs to process vast quantities of data at very speeds, according to the release. The company collects data on numerous instruments, including over 10 million records per day on Eurodollar futures alone. It uses several months of tick data from the most liquid securities in the world, mostly Eurex, NYSE Liffe and CME futures, to run intra-day trading simulations and what-if scenarios.
“We are seeing substantial improvements with Kx’s kdb+. As well as very significant reductions in processing times, where previously a query on a day’s data would take a couple of hours - which is far too slow – with kdb+ we can write a query in a couple of minutes and see the results in seconds,” said Martin Ducháček, head of algorithmic system development at RSJ, in the release. TThis allows us to react to market situations almost immediately. kdb+ provides us with quick support for brainstorming and allows us to do things we were previously unable to do.”
During the evaluation process, RSJ pushed potential systems to the limit before concluding that Kx Systems was the best performer in terms of speed and the ability to process complex requests and large data sets.
According to Simon Garland, chief strategist at Kx Systems, RSJ makes use of Kx’s unique combination of powerful language and high performance database. “RSJ collects huge quantities of tick data and needs to access and query it very quickly in order to be able to create and test models, test strategies, identify unusual market situations and react to them,” said Garland in the release.
RSJ worked with DEVnet, a strategic partner of Kx Systems, to integrate the Kx technology on its existing standard hardware immediately. After three days of support from DEVnet, the engineers at RSJ were able to build a historical database for tick data and then leverage the analytics using the expressive q language without the need for further consultancy, according to Robin Mess, director of business development at DEVNet in the release.
RSJ’s Duchacek added that RSJ continues to explore Kdb+ and expects to do more with it as the project progresses, and it anticipates better performance as it optimizes more processes.
Ivy is Editor-at-Large for Advanced Trading and Wall Street & Technology. Ivy is responsible for writing in-depth feature articles, daily blogs and news articles with a focus on automated trading in the capital markets. As an industry expert, Ivy has reported on a myriad ... View Full Bio