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With Quant Tools in Demand, Bloomberg Licenses OneMarketData's CEP Engine

Bloomberg will utilize OneMarketData's CEP engine and tick database to develop real-time intraday analytics for clients of EMSX to perform transaction cost analysis and analyze trading venues.

Bloomberg has licensed OneMarketData’s complex event processing engine and tick database to provide traders with real-time intraday analytics through its widely used Bloomberg Execution Management System (EMSX).

The move is a sign of how providers of EMSs are incorporating more advanced analytics to understand trading patterns, measure trading costs and perform venue analysis.

By incorporating the OneTick CEP engine and historical database, Bloomberg EMSX will give users access to real-time venue analytics, intra-day market impact analytics, and advanced liquidity signal indicators as part of their subscription to the Bloomberg Professional Service, according to the release.

Bloomberg EMSX is an integrated component of the Bloomberg Professional Service used by more then 13,000 buy and sell side institutions to trade global equities, options and futures.

“They are using OneTick to augment trading analytics and all the other data natively in EMSX,” said Richard Chmiel, SVP at OneMarketData in New York.

“What OneTick has is a unique graphical query language as opposed to a complex standard programming language, said Chmiel. “We expose a list of core analytics, parameterize them or you can embed your own code,” said Chmiel.. The engine is listening to streaming data based on the analytic devised with the OneTick query language, he added.

Bloomberg will hook up OneTick to it’s own internal streaming market data feed just as any client would need to do. Every customer has either a B-Pipe feed or Reuters or an ACTIV feed which they connect to the CEP engine, said Chmiel.

Then, Bloomberg’s own quants will write analytics using the query language. They are very proficient in designing OneTick queries, he said.

With the trading environment growing more complex, liquidity fragmented across dozens of venues, traders are looking for quantitative tools to analyze the liquidity and determine the best execution.

“The idea is that you are trying to make traders as productive and efficient as possible and the way you do that is have your trading tools use automation and other features to maximize the efficiency of the human trader,” said Chmiel. “The market is so complex and high speed — those two factors necessitate better analytics,” he said.

“You can interpret the liquidity at various trading venues to understand what’s happening now, versus what’s happened in the past,” for example, illustrated Chmiel. “If you select a security to trade at certain venues, it helps to know which venue can get you the best execution,” he said, offering a second example.

OneMarketData has licensed the technology to other firms including TradingScreen, an EMS provider, and different brokers. This is not the first type of usage, said Chmiel, adding, “We’re very pleased about it given Bloomberg’s position, he said.

“This is Bloomberg interacting with their customers, providing functionality for their customers. Their goal was to improve the user experience on EMSX,” said Chmiel.

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

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