Traders have a heavy dependence on accurate market data to help them determine their trading strategy. They need to capture and analyse current market prices, volumes, historical activity, and major news items, and be able to manipulate the data to help them make the appropriate decisions. A major problem is that the data usually originates from multiple sources, arrives in different formats, and is released from source at different time intervals. Data granularity is also important – some traders require end-of-day; others require intra-day, sometimes down to individual tic level. Higher data granularity often leads to data processing speed bottlenecks, and can be a limiting factor on the trade decision process.
In today’s volatile and fast-moving markets, there is greater emphasis on the use of real-time data. Analysis must be completed and displayed almost as soon as the data arrive, lest an important trading or arbitrage opportunity be missed. Data is more often useful in graphical form than numerical/tabular. Traders prefer detailed charts with clear price, volume and technical indicators, the ability to mark entry and exit points, and display other trading aids. For traders who calculate their own spread relationships and proprietary indicators, the need to superimpose these over the underlying primary market data is vital.
Incoming data must also be validated and declared “fit for purpose” prior to their use in business-critical processes such as trading, pricing, valuation, risk management, and physical asset optimisation. Audit procedures often require the archiving and maintenance of price histories to allow deconstruction of past trading decisions, so historical data must be readily retrievable.
To meet traders’ need for data capture, validation, analysis, visualisation, and reporting, Tradelogic has produced its EIH solution as a module within its Tradelogic application suite. EIH is an integrated market data analysis and repository system, whose performance is optimised to meet the analytical needs of the modern energy and commodities trader.
EIH has a number of connectors to various data feeds of information, ranging from a configurable CSV Importer through to real-time trading venues such as Trayport GlobalVision, ICE and Spectron. The connectors model data as a time series in a generic form for charting and manipulating. EIH has charting capabilities that allow the trader to select any time series, choose the chart type, aggregation levels and viewing periods and chart them against each other for direct comparison. As new data is collected, the chart automatically updates to give the trader the most up-to-date information possible.