As order books get bigger - the Tabb Group recently estimated that in just equities and options, the volume of market data messages across the global exchanges will soar from under four billion messages per day in 2006 to nearly 130 billion per day by 2010, as the number and variety of trading venues increases, as trades become smaller (e.g. 100 shares per order), as cancels and replacements accelerate, and as Reg NMS and MiFID make it necessary for firms to prove best execution, the need for an engine that can process and store that order book data efficiently becomes greater.These were the motivations behind Vhayu's release of Velocity Order Book Analyzer 2.0 today, the company says, saying that this is the first liquidity discovery solution to combine real-time and historical data analysis and storage. Vhayu further says this is one of the few complex event processing products that can handle fixed income, equities and options data. "Customers are saying they need a better look at order book data to support algorithmic strategies that look deep into the book to prove best execution," says John Coulter, vice president marketing and business development at Vhayu. "Some are even using trade execution reports as a marketing tool. They're also looking through the order book historical data for patterns, and they need to have real-time and historical data in one place."
Some firms may use the underlying Velocity engine already without realizing it -- Reuters resells it as the Reuters Tick Capture Engine. Reuters also uses Velocity for its wealth management service, which it is merging with its Reuters Knowledge product - the new product, Reuters Knowledge Wealth Management, will be announced at the end of the year.
The Velocity engine processes massive streams of data in real-time, provides an analytic engine for trading ideas and stores the data. It provides market data mapping and normalization. Unlike most complex event processing (CEP) products, it is not a toolkit or a do-it-yourself platform, it is an application that needs to be written and modified in C++. Also unlike other CEP products, Velocity has been focused solely on market data for 20 years.
More than 50 customers use this platform, including, according to Vhayu, eight of the top ten financial institutions. An implementation can cost $100,000 to hundreds of thousands, depending on the application. The software is deployed on customers' hardware.